Risk Theory And Reinsurance

Author : Griselda Deelstra,Guillaume Plantin
Publisher : Springer Science & Business Media
Page : 78 pages
File Size : 51,8 Mb
Release : 2013-11-22
Category : Business & Economics
ISBN : 9781447155683

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Risk Theory and Reinsurance by Griselda Deelstra,Guillaume Plantin Pdf

Reinsurance is an important production factor of non-life insurance. The efficiency and the capacity of the reinsurance market directly regulate those of insurance markets. The purpose of this book is to provide a concise introduction to risk theory, as well as to its main application procedures to reinsurance. The first part of the book covers risk theory. It presents the most prevalent model of ruin theory, as well as a discussion on insurance premium calculation principles and the mathematical tools that enable portfolios to be ordered according to their risk levels. The second part describes the institutional context of reinsurance. It first strives to clarify the legal nature of reinsurance transactions. It describes the structure of the reinsurance market and then the different legal and technical features of reinsurance contracts, known as reinsurance ‘treaties’ by practitioners. The third part creates a link between the theories presented in the first part and the practice described in the second one. Indeed, it sets out, mostly through examples, some methods for pricing and optimizing reinsurance. The authors aim is to apply the formalism presented in the first part to the institutional framework given in the second part. It is reassuring to find such a relationship between approaches seemingly abstract and solutions adopted by practitioners. Risk Theory and Reinsurance is mainly aimed at master's students in actuarial science but will also be useful for practitioners wishing to revive their knowledge of risk theory or to quickly learn about the main mechanisms of reinsurance.

Author : Guillaume Gorge
Publisher : Lulu.com
Page : 394 pages
File Size : 43,9 Mb
Release : 2016
Category : Insurance companies
ISBN : 9781300935452

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Insurance Risk Management and Reinsurance by Guillaume Gorge Pdf

"Risk being its raw material, insurance has developed various techniques of valuation and risk transfer. Nowadays, these techniques - and first of all reinsurance, the favourite way of transferring risk- are entirely reassessed considering the development of Corporate Finance theory. Therefore, the approach retained here, originally for the actuarial course at Ensae, Paris may surprise some readers and students as it proposes a extended view of risk. We cover not only the mathematical aspects of Risk Management but also other fields relevant for Risk Management from economy or finance. We aim here at making bridges between all these fields through practical application to cat and life risk-management."--

Author : Hanspeter Schmidli
Publisher : Springer
Page : 242 pages
File Size : 49,6 Mb
Release : 2018-04-04
Category : Business & Economics
ISBN : 9783319720050

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Risk Theory by Hanspeter Schmidli Pdf

This book provides an overview of classical actuarial techniques, including material that is not readily accessible elsewhere such as the Ammeter risk model and the Markov-modulated risk model. Other topics covered include utility theory, credibility theory, claims reserving and ruin theory. The author treats both theoretical and practical aspects and also discusses links to Solvency II. Written by one of the leading experts in the field, these lecture notes serve as a valuable introduction to some of the most frequently used methods in non-life insurance. They will be of particular interest to graduate students, researchers and practitioners in insurance, finance and risk management.

Author : Stephen J. Mildenhall,John A. Major
Publisher : John Wiley & Sons
Page : 564 pages
File Size : 51,8 Mb
Release : 2022-06-15
Category : Business & Economics
ISBN : 9781119755678

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Pricing Insurance Risk by Stephen J. Mildenhall,John A. Major Pdf

PRICING INSURANCE RISK A comprehensive framework for measuring, valuing, and managing risk Pricing Insurance Risk: Theory and Practice delivers an accessible and authoritative account of how to determine the premium for a portfolio of non-hedgeable insurance risks and how to allocate it fairly to each portfolio component. The authors synthesize hundreds of academic research papers, bringing to light little-appreciated answers to fundamental questions about the relationships between insurance risk, capital, and premium. They lean on their industry experience throughout to connect the theory to real-world practice, such as assessing the performance of business units, evaluating risk transfer options, and optimizing portfolio mix. Readers will discover: Definitions, classifications, and specifications of risk An in-depth treatment of classical risk measures and premium calculation principles Properties of risk measures and their visualization A logical framework for spectral and coherent risk measures How risk measures for capital and pricing are distinct but interact Why the cost of capital, not capital itself, should be allocated The natural allocation method and how it unifies marginal and risk-adjusted probability approaches Applications to reserve risk, reinsurance, asset risk, franchise value, and portfolio optimization Perfect for actuaries working in the non-life or general insurance and reinsurance sectors, Pricing Insurance Risk: Theory and Practice is also an indispensable resource for banking and finance professionals, as well as risk management professionals seeking insight into measuring the value of their efforts to mitigate, transfer, or bear nonsystematic risk.

Author : Paul Markham Kahn
Publisher : Unknown
Page : 120 pages
File Size : 53,6 Mb
Release : 1961
Category : Insurance
ISBN : OCLC:3064321

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Some Applications of Collective Risk Theory to Reinsurance and Group Experience Rating by Paul Markham Kahn Pdf

Author : K.H. Borch,A. Sandmo,K.K. Aase
Publisher : Elsevier
Page : 418 pages
File Size : 53,8 Mb
Release : 2014-07-14
Category : Business & Economics
ISBN : 9781483294902

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Economics of Insurance by K.H. Borch,A. Sandmo,K.K. Aase Pdf

The theory of insurance is presented in this book, discussed from the viewpoint of the theory of economics of uncertainty. The principle of premium calculation which the book uses is based on economic equilibrium theory and differs from many of the premium systems discussed by actuaries.Reinsurance is developed in the framework of general economic equilibrium theory under uncertainty. Here ordering of risks, preferences and utility theory play an important role. The book discusses the markets for insurance and divides them into three classes: (i) life insurance (ii) business insurance and (iii) household insurance, and these classes are each treated extensively in three separate chapters. Finally uninsurable risks are presented under "asymmetric information". Here moral hazard and adverse selection are treated and illustrations are given, some based on game theory.

Author : J. François Outreville
Publisher : Springer Science & Business Media
Page : 342 pages
File Size : 42,8 Mb
Release : 2012-12-06
Category : Business & Economics
ISBN : 9781461561873

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Theory and Practice of Insurance by J. François Outreville Pdf

Insurance is a concept, a technique, and an economic institution. It is a major tool of risk management, and plays an important role in the economic, social, and political life of all countries. Economic growth throughout the world has even expanded the role of insurance. Theory and Practice of Insurance aims to describe the significance of insurance institutions, the reasons they exist and how they function. The author emphasizes fundamental principles in risk and insurance, using an international frame of reference. This volume begins with an introduction to the concept of risk, then proceeds to cover insurance and its relationship to the economy; the principles of risk management and insurance; and the characteristics and performance of insurance companies.

Author : Marc Goovaerts,F. Etienne De Vylder,J. Haezendonck
Publisher : Springer Science & Business Media
Page : 477 pages
File Size : 53,7 Mb
Release : 2012-12-06
Category : Business & Economics
ISBN : 9789400946200

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Insurance and Risk Theory by Marc Goovaerts,F. Etienne De Vylder,J. Haezendonck Pdf

Canadian financial institutions have been in rapid change in the past five years. In response to these changes, the Department of Finance issued a discussion paper: The Regulation of Canadian Financial Institutions, in April 1985, and the government intends to introduce legislation in the fall. This paper studi.es the combinantion of financial institutions from the viewpoint of ruin probability. In risk theory developed to describe insurance companies [1,2,3,4,5J, the ruin probability of a company with initial reserve (capital) u is 6 1 -:;-7;;f3 u 1jJ(u) = H6 e H6 (1) Here,we assume that claims arrive as a Poisson process, and the claim amount is distributed as exponential distribution with expectation liS. 6 is the loading, i.e., premium charged is (1+6) times expected claims. Financial institutions are treated as "insurance companies": the difference between interest charged and interest paid is regarded as premiums, loan defaults are treated as claims.

Author : Niels Viggo Haueter,Geoffrey Jones
Publisher : Oxford University Press
Page : 376 pages
File Size : 53,9 Mb
Release : 2017
Category : Business & Economics
ISBN : 9780198754916

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Managing Risk in Reinsurance by Niels Viggo Haueter,Geoffrey Jones Pdf

This publication traces the global development of reinsurance from the early 19th-century until today. It gives a detailed account of how the nature of risk itself changed over the last 200 years, and highlights all aspects relevant in shaping the industry including the development of risk, risk engineering and risk management, actuarial science, market conditions, impacts of politics, and the effects of regulatory changes.

Author : Peter Borscheid,David Gugerli,Tobias Straumann
Publisher : Oxford University Press
Page : 497 pages
File Size : 42,7 Mb
Release : 2013-12
Category : Business & Economics
ISBN : 9780199689804

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The Value of Risk by Peter Borscheid,David Gugerli,Tobias Straumann Pdf

This book explains how today's insurance industry developed and highlights the role of the reinsurance industry in spreading risks globally. The book examines the development of insurance markets and of the reinsurance industry in particular, and the history of Swiss Re, one of the leading reinsurance companies in the world.

Author : Eugene N. Gurenko
Publisher : World Bank Publications
Page : 366 pages
File Size : 48,7 Mb
Release : 2004
Category : Banks and Banking Reform
ISBN : 9781904339205

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Catastrophe Risk and Reinsurance by Eugene N. Gurenko Pdf

Including the latest invaluable insights into catastrophe reinsurance, this book provides you with a wealth of risk management expertise gained from many of the largest catastrophe risk transfer programmes worldwide.

Author : C.D. Daykin,T. Pentikainen,Martti Pesonen
Publisher : CRC Press
Page : 572 pages
File Size : 43,8 Mb
Release : 1993-12-01
Category : Mathematics
ISBN : 0412428504

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Practical Risk Theory for Actuaries by C.D. Daykin,T. Pentikainen,Martti Pesonen Pdf

This classic textbook covers all aspects of risk theory in a practical way. It builds on from the late R.E. Beard's extremely popular book Risk Theory, but features more emphasis on simulation and modeling and on the use of risk theory as a practical tool. Practical Risk Theory is a textbook for practicing and student actuaries on the practical aspects of stochastic modeling of the insurance business. It has its roots in the classical theory of risk but introduces many new elements that are important in managing the insurance business but are usually ignored in the classical theory. The authors avoid overcomplicated mathematics and provide an abundance of diagrams.

Author : Anonim
Publisher : Springer Science & Business Media
Page : 212 pages
File Size : 55,5 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.

Author : Konstantinides Dimitrios George
Publisher : #N/A
Page : 508 pages
File Size : 40,8 Mb
Release : 2017-07-07
Category : Mathematics
ISBN : 9789813223165

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Risk Theory: A Heavy Tail Approach by Konstantinides Dimitrios George Pdf

This book is written to help graduate students and young researchers to enter quickly into the subject of Risk Theory. It can also be used by actuaries and financial practitioners for the optimization of their decisions and further by regulatory authorities for the stabilization of the insurance industry. The topic of extreme claims is especially presented as a crucial feature of the modern ruin probability.

Author : E. Beard
Publisher : Springer Science & Business Media
Page : 206 pages
File Size : 41,6 Mb
Release : 2013-03-09
Category : Science
ISBN : 9789400957817

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Risk Theory by E. Beard Pdf

whioh the developments are appropriate in an elementary text book is open to doubt. Fortunately the proceedings of the conference arranged by the Society of Actuaries Research Committee in September 1974 provide an effective review of the ourrent position (Credibility, Theory and Applications, Ed. P. M. Kahn, Academic Press, 1975). It is doubtful if any practical use is now made of the Esscher approximation and the N-P method is much more convenient and of adequate accuracy in most practical work. Thus the first half of Chapter 6 is now largely of historical interest. Chapter 11 dealing with ruin probability during a finite time interval does not give an adequate view of the current importanoe of this topic but the position is fluid because of the considerable effort being expended in the search for practical methods of calcu lation. Formulae are, in general, complicated and involve extensive computer based quadratures or simulation techniques. The paper by Seal in the Scandinavian Actuarial Journal (The Numerical Calculation of U(w,t) the Probability of Non-ruin in an Interval (O,t) 1974) gives a recent treatment and a fairly complete list of relevant references. In many countries studies are currently in progress in the develop ment of models for business planning where the basic operations involve a stochastic process. Not only are insurance companies interested but in many commercial and industrial firms the needs are significant so that a very large field exists for applications.