Lectures On Insurance Models

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Lectures on Insurance Models

S. Ramasubramanian
Lectures on Insurance Models Book PDF

Author : S. Ramasubramanian
Publisher : Springer
Page : 212 pages
File Size : 51,7 Mb
Release : 2009-04-15
Category : Mathematics
ISBN : 9789386279446

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Lectures on Insurance Models by S. Ramasubramanian Pdf

Insurance has become a necessary aspect of modern society. The mathematical basis of insurance modeling is best expressed in terms of continuous time stochastic processes. This introductory text on actuarial risk theory deals with the Cramer-Lundberg model and the renewal risk model. Their basic structure and properties, including the renewal theorems as well as the corresponding ruin problems, are studied. There is a detailed discussion of heavy tailed distributions, which have become increasingly relevant. The Lundberg risk process with investment in risky asset is also considered. This book will be useful to practitioners in the field and to graduate students interested in this important branch of applied probability.

Premium Calculation in Insurance

F. Etienne De Vylder,Marc Goovaerts,J. Haezendonck
Premium Calculation in Insurance Book PDF

Author : F. Etienne De Vylder,Marc Goovaerts,J. Haezendonck
Publisher : Springer
Page : 564 pages
File Size : 50,9 Mb
Release : 2011-10-13
Category : Mathematics
ISBN : 9400963564

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Premium Calculation in Insurance by F. Etienne De Vylder,Marc Goovaerts,J. Haezendonck Pdf

I am pleased to participate in this Summer School and look forward to sharing some ideas with you over the next few days. At the outset I would like to describe the approach I will take in 1 presenting the material. I aim to present the material in a non rigorous way and hopefully in an intuitive manner. At the same time I will draw attention to some of the major technical problems. It is pitched at someone who is unfamiliar with the area. The results presented here are unfamiliar to actuaries and insurance mathematicians although they are well known in some other fields. During the next few minutes I will make some preliminary comments. The purpose of these comments is to place the lectures in perspective and motivate the upcoming material. After this I will outline briefly the topics to be covered during the rest of this lecture and in the lectures that will follow. One of the central themes of these lectures is RISK-SHARING. Risk-sharing is a common response to uncertainty. Such uncertainty can arise from natural phenomena or social causes. One particular form of risk-sharing is the insurance mechanism. I will be dealing with models which have a natural application in the insurance area but they have been applied in other areas as well. In fact some of the paradigms to be discussed have the capacity to provide a unified treatment of problems in diverse fields.

Generalized Linear Models for Insurance Data

Piet de Jong,Gillian Z. Heller
Generalized Linear Models for Insurance Data Book PDF

Author : Piet de Jong,Gillian Z. Heller
Publisher : Cambridge University Press
Page : 207 pages
File Size : 41,8 Mb
Release : 2008-02-28
Category : Business & Economics
ISBN : 9781139470476

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Generalized Linear Models for Insurance Data by Piet de Jong,Gillian Z. Heller Pdf

This is the only book actuaries need to understand generalized linear models (GLMs) for insurance applications. GLMs are used in the insurance industry to support critical decisions. Until now, no text has introduced GLMs in this context or addressed the problems specific to insurance data. Using insurance data sets, this practical, rigorous book treats GLMs, covers all standard exponential family distributions, extends the methodology to correlated data structures, and discusses recent developments which go beyond the GLM. The issues in the book are specific to insurance data, such as model selection in the presence of large data sets and the handling of varying exposure times. Exercises and data-based practicals help readers to consolidate their skills, with solutions and data sets given on the companion website. Although the book is package-independent, SAS code and output examples feature in an appendix and on the website. In addition, R code and output for all the examples are provided on the website.

Non-Life Insurance Pricing with Generalized Linear Models

Esbjörn Ohlsson,Björn Johansson
Non Life Insurance Pricing with Generalized Linear Models Book PDF

Author : Esbjörn Ohlsson,Björn Johansson
Publisher : Springer Science & Business Media
Page : 181 pages
File Size : 50,8 Mb
Release : 2010-03-18
Category : Mathematics
ISBN : 9783642107917

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Non-Life Insurance Pricing with Generalized Linear Models by Esbjörn Ohlsson,Björn Johansson Pdf

Non-life insurance pricing is the art of setting the price of an insurance policy, taking into consideration varoius properties of the insured object and the policy holder. Introduced by British actuaries generalized linear models (GLMs) have become today a the standard aproach for tariff analysis. The book focuses on methods based on GLMs that have been found useful in actuarial practice and provides a set of tools for a tariff analysis. Basic theory of GLMs in a tariff analysis setting is presented with useful extensions of standarde GLM theory that are not in common use. The book meets the European Core Syllabus for actuarial education and is written for actuarial students as well as practicing actuaries. To support reader real data of some complexity are provided at www.math.su.se/GLMbook.

Paris-Princeton Lectures on Mathematical Finance 2004

René Carmona,Ivar Ekeland,Jean-Michel Lasry,Pierre-Louis Lions,Huyên Pham,Erik Taflin
Paris Princeton Lectures on Mathematical Finance 2004 Book PDF

Author : René Carmona,Ivar Ekeland,Jean-Michel Lasry,Pierre-Louis Lions,Huyên Pham,Erik Taflin
Publisher : Springer
Page : 248 pages
File Size : 48,6 Mb
Release : 2007-08-10
Category : Mathematics
ISBN : 9783540733270

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Paris-Princeton Lectures on Mathematical Finance 2004 by René Carmona,Ivar Ekeland,Jean-Michel Lasry,Pierre-Louis Lions,Huyên Pham,Erik Taflin Pdf

This is the third volume in the Paris-Princeton Lectures in Financial Mathematics, which publishes, on an annual basis, cutting-edge research in self-contained, expository articles from outstanding specialists, both established and upcoming. Coverage includes articles by René Carmona, Ivar Ekeland/Erik Taflin, Arturo Kohatsu-Higa, Pierre-Louis Lions/Jean-Michel Lasry, and Huyên Pham.

Lectures on Risk Theory

Anonim
Lectures on Risk Theory Book PDF

Author : Anonim
Publisher : Springer Science & Business Media
Page : 212 pages
File Size : 51,6 Mb
Release : 2012-12-06
Category : Technology & Engineering
ISBN : 9783322905703

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Lectures on Risk Theory by Anonim Pdf

Twenty-five years ago, Hans Blihlmann published his famous monograph Mathe matical Methods in Risk Theory in the series Grundlehren der Mathematischen Wis8enschaften and thus established nonlife actuarial mathematics as a recognized subject of probability theory and statistics with a glance towards economics. This book was my guide to the subject when I gave my first course on nonlife actuarial mathematics in Summer 1988, but at the same time I tried to incorporate into my lectures parts of the rapidly growing literature in this area which to a large extent was inspired by Blihlmann's book. The present book is entirely devoted to a single topic of risk theory: Its subject is the development in time of a fixed portfolio of risks. The book thus concentrates on the claim number process and its relatives, the claim arrival process, the aggregate claims process, the risk process, and the reserve process. Particular emphasis is laid on characterizations of various classes of claim number processes, which provide alternative criteria for model selection, and on their relation to the trinity of the binomial, Poisson, and negativebinomial distributions. Special attention is also paid to the mixed Poisson process, which is a useful model in many applications, to the problems of thinning, decomposition, and superposition of risk processe8, which are important with regard to reinsurance, and to the role of martingales, which occur in a natural way in canonical situations.

Insurance Theory and Practice

Rob Thoyts
Insurance Theory and Practice Book PDF

Author : Rob Thoyts
Publisher : Routledge
Page : 340 pages
File Size : 49,9 Mb
Release : 2010-06-21
Category : Business & Economics
ISBN : 9781136963452

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Insurance Theory and Practice by Rob Thoyts Pdf

Presents a comprehensive overview of the theory, functioning, management and legal background of the insurance industry. This title begins with an examination of the insurance concept, its guiding principles and legal rules before moving on to an analysis of the market, its players and their roles and relationships.

Financial Modeling, Actuarial Valuation and Solvency in Insurance

Mario V. Wüthrich,Michael Merz
Financial Modeling Actuarial Valuation and Solvency in Insurance Book PDF

Author : Mario V. Wüthrich,Michael Merz
Publisher : Springer Science & Business Media
Page : 438 pages
File Size : 40,6 Mb
Release : 2013-04-04
Category : Mathematics
ISBN : 9783642313929

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Financial Modeling, Actuarial Valuation and Solvency in Insurance by Mario V. Wüthrich,Michael Merz Pdf

Risk management for financial institutions is one of the key topics the financial industry has to deal with. The present volume is a mathematically rigorous text on solvency modeling. Currently, there are many new developments in this area in the financial and insurance industry (Basel III and Solvency II), but none of these developments provides a fully consistent and comprehensive framework for the analysis of solvency questions. Merz and Wüthrich combine ideas from financial mathematics (no-arbitrage theory, equivalent martingale measure), actuarial sciences (insurance claims modeling, cash flow valuation) and economic theory (risk aversion, probability distortion) to provide a fully consistent framework. Within this framework they then study solvency questions in incomplete markets, analyze hedging risks, and study asset-and-liability management questions, as well as issues like the limited liability options, dividend to shareholder questions, the role of re-insurance, etc. This work embeds the solvency discussion (and long-term liabilities) into a scientific framework and is intended for researchers as well as practitioners in the financial and actuarial industry, especially those in charge of internal risk management systems. Readers should have a good background in probability theory and statistics, and should be familiar with popular distributions, stochastic processes, martingales, etc.

Gerber–Shiu Risk Theory

Andreas E. Kyprianou
Gerber Shiu Risk Theory Book PDF

Author : Andreas E. Kyprianou
Publisher : Springer Science & Business Media
Page : 95 pages
File Size : 41,8 Mb
Release : 2013-10-02
Category : Mathematics
ISBN : 9783319023038

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Gerber–Shiu Risk Theory by Andreas E. Kyprianou Pdf

Motivated by the many and long-standing contributions of H. Gerber and E. Shiu, this book gives a modern perspective on the problem of ruin for the classical Cramér–Lundberg model and the surplus of an insurance company. The book studies martingales and path decompositions, which are the main tools used in analysing the distribution of the time of ruin, the wealth prior to ruin and the deficit at ruin. Recent developments in exotic ruin theory are also considered. In particular, by making dividend or tax payments out of the surplus process, the effect on ruin is explored. Gerber-Shiu Risk Theory can be used as lecture notes and is suitable for a graduate course. Each chapter corresponds to approximately two hours of lectures.

Risk Modeling for Hazards and Disasters

Gero Michel
Risk Modeling for Hazards and Disasters Book PDF

Author : Gero Michel
Publisher : Elsevier
Page : 338 pages
File Size : 53,9 Mb
Release : 2017-08-29
Category : Science
ISBN : 9780128040935

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Risk Modeling for Hazards and Disasters by Gero Michel Pdf

Risk Modeling for Hazards and Disasters covers all major aspects of catastrophe risk modeling, from hazards through to financial analysis. It explores relevant new science in risk modeling, indirect losses, assessment of impact and consequences to insurance losses, and current changes in risk modeling practice, along with case studies. It also provides further insight into the shortcomings of current models and examines model risk and ideas to diversify risk assessment. Risk Modeling for Hazards and Disasters instructs readers on how to assess, price and then hedge the losses from natural and manmade catastrophes. This book reviews current model development and science and explains recent changes in the catastrophe modeling space, including new initiatives covering uncertainty and big data in the assessment of risk for insurance pricing and portfolio management. Edited by a leading expert in both hazards and risk, this book is authored by a global panel including major modeling vendors, modeling consulting firms, and well-known catastrophe modeling scientists. Risk Modeling for Hazards and Disasters provides important insight into how models are used to price and manage risk. Includes high profile case studies such as the Newcastle earthquake, Hurricane Andrew and Hurricane Katrina Provides crucial information on new ideas and platforms that will help address the new demands for risk management and catastrophe risk reporting Presents the theory and practice needed to know how models are created and what is and what is not important in the modeling process Covers relevant new science in risk modeling, indirect losses, assessment of impact and consequences to insurance losses, and current changes in risk modeling practice, along with case studies

Stationary Processes and Discrete Parameter Markov Processes

Rabi Bhattacharya,Edward C. Waymire
Stationary Processes and Discrete Parameter Markov Processes Book PDF

Author : Rabi Bhattacharya,Edward C. Waymire
Publisher : Springer Nature
Page : 449 pages
File Size : 53,7 Mb
Release : 2022-12-01
Category : Mathematics
ISBN : 9783031009433

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Stationary Processes and Discrete Parameter Markov Processes by Rabi Bhattacharya,Edward C. Waymire Pdf

This textbook explores two distinct stochastic processes that evolve at random: weakly stationary processes and discrete parameter Markov processes. Building from simple examples, the authors focus on developing context and intuition before formalizing the theory of each topic. This inviting approach illuminates the key ideas and computations in the proofs, forming an ideal basis for further study. After recapping the essentials from Fourier analysis, the book begins with an introduction to the spectral representation of a stationary process. Topics in ergodic theory follow, including Birkhoff’s Ergodic Theorem and an introduction to dynamical systems. From here, the Markov property is assumed and the theory of discrete parameter Markov processes is explored on a general state space. Chapters cover a variety of topics, including birth–death chains, hitting probabilities and absorption, the representation of Markov processes as iterates of random maps, and large deviation theory for Markov processes. A chapter on geometric rates of convergence to equilibrium includes a splitting condition that captures the recurrence structure of certain iterated maps in a novel way. A selection of special topics concludes the book, including applications of large deviation theory, the FKG inequalities, coupling methods, and the Kalman filter. Featuring many short chapters and a modular design, this textbook offers an in-depth study of stationary and discrete-time Markov processes. Students and instructors alike will appreciate the accessible, example-driven approach and engaging exercises throughout. A single, graduate-level course in probability is assumed.

Solutions Manual for Actuarial Mathematics for Life Contingent Risks

David C. M. Dickson,Mary R. Hardy,Howard R. Waters
Solutions Manual for Actuarial Mathematics for Life Contingent Risks Book PDF

Author : David C. M. Dickson,Mary R. Hardy,Howard R. Waters
Publisher : Cambridge University Press
Page : 180 pages
File Size : 46,6 Mb
Release : 2012-03-26
Category : Business & Economics
ISBN : 9781107608443

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Solutions Manual for Actuarial Mathematics for Life Contingent Risks by David C. M. Dickson,Mary R. Hardy,Howard R. Waters Pdf

"This manual presents solutions to all exercises from Actuarial Mathematics for Life Contingent Risks (AMLCR) by David C.M. Dickson, Mary R. Hardy, Howard Waters; Cambridge University Press, 2009. ISBN 9780521118255"--Pref.

Forward-Looking Decision Making

Robert E. Hall
Forward Looking Decision Making Book PDF

Author : Robert E. Hall
Publisher : Princeton University Press
Page : 152 pages
File Size : 42,5 Mb
Release : 2010-02-08
Category : Business & Economics
ISBN : 9781400835263

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Forward-Looking Decision Making by Robert E. Hall Pdf

Individuals and families make key decisions that impact many aspects of financial stability and determine the future of the economy. These decisions involve balancing current sacrifice against future benefits. People have to decide how much to invest in health care, exercise, their diet, and insurance. They must decide how much debt to take on, and how much to save. And they make choices about jobs that determine employment and unemployment levels. Forward-Looking Decision Making is about modeling this individual or family-based decision making using an optimizing dynamic programming model. Robert Hall first reviews ideas about dynamic programs and introduces new ideas about numerical solutions and the representation of solved models as Markov processes. He surveys recent research on the parameters of preferences--the intertemporal elasticity of substitution, the Frisch elasticity of labor supply, and the Frisch cross-elasticity. He then examines dynamic programming models applied to health spending, long-term care insurance, employment, entrepreneurial risk-taking, and consumer debt. Linking theory with data and applying them to real-world problems, Forward-Looking Decision Making uses dynamic optimization programming models to shed light on individual behaviors and their economic implications.

Lectures on the Mathematical Method in Analytical Economics

Jacob T. Schwartz
Lectures on the Mathematical Method in Analytical Economics Book PDF

Author : Jacob T. Schwartz
Publisher : Courier Dover Publications
Page : 304 pages
File Size : 50,9 Mb
Release : 2018-11-14
Category : Mathematics
ISBN : 9780486835594

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Lectures on the Mathematical Method in Analytical Economics by Jacob T. Schwartz Pdf

An early but still useful and frequently cited contribution to the science of mathematical economics, this volume is geared toward graduate students in the field. Prerequisites include familiarity with the basic theory of matrices and linear transformations and with elementary calculus. Author Jacob T. Schwartz begins his treatment with an exploration of the Leontief input-output model, which forms a general framework for subsequent material. An introductory treatment of price theory in the Leontief model is followed by an examination of the business-cycle theory, following ideas pioneered by Lloyd Metzler and John Maynard Keynes. In the final section, Schwartz applies the teachings of previous chapters to a critique of the general equilibrium approach devised by Léon Walras as the theory of supply and demand, and he synthesizes the notions of Walras and Keynes. 1961 edition.

Insurance and the Law of Obligations

Rob Merkin,Jenny Steele
Insurance and the Law of Obligations Book PDF

Author : Rob Merkin,Jenny Steele
Publisher : OUP Oxford
Page : 464 pages
File Size : 41,6 Mb
Release : 2013-08-29
Category : Law
ISBN : 9780191507922

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Insurance and the Law of Obligations by Rob Merkin,Jenny Steele Pdf

It is widely acknowledged that insurance has a major impact on the operation of tort and contract law regimes in practice, yet there is little sustained analysis of their interaction. The majority of academic private lawyers have little knowledge of insurance law in its own right, and the amount of discussion directed to insurance in private law theory is disproportionately small in relation to its practical importance. Filling this substantial gap in the literature, this book explores the multiple influences of insurance in the law of obligations, and the nature and impact of insurance law as an inherent and significant aspect of private law. It combines conceptual and doctrinal analysis, informing the theoretical discussion of the nature of private law, including the role of judicial and public purpose, and the place of formalism and of contextualism in normative theories of private law. Arguing for the wider recognition of the multiple impacts of insurance, the book claims that recognition of the presence of insurance necessarily marks a departure from the two-party framework sometimes described as definitive of private law. The structured exploration and interpretation of the contemporary role of insurance in the law of obligations, and of its implications, illuminates this under-explored area of private law, and equips the reader for further enquiry and debate.