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Author : Hilary L. Seal
Publisher : Unknown
Page : 0 pages
File Size : 46,9 Mb
Release : 1995
Category : Risk (Insurance)
ISBN : OCLC:1338488339
Author : Rob Kaas,Marc Goovaerts,Jan Dhaene
Publisher : Springer Science & Business Media
Page : 394 pages
File Size : 41,5 Mb
Release : 2008-12-03
Category : Business & Economics
ISBN : 9783540867364
Modern Actuarial Risk Theory contains what every actuary needs to know about non-life insurance mathematics. It starts with the standard material like utility theory, individual and collective model and basic ruin theory. Other topics are risk measures and premium principles, bonus-malus systems, ordering of risks and credibility theory. It also contains some chapters about Generalized Linear Models, applied to rating and IBNR problems. As to the level of the mathematics, the book would fit in a bachelors or masters program in quantitative economics or mathematical statistics. This second and.
Author : Hilary L. Seal
Publisher : John Wiley & Sons
Page : 124 pages
File Size : 45,9 Mb
Release : 1978
Category : Business & Economics
ISBN : WISC:89011870417
Historical introduction; The random variables Y and T; Barrois and dormoy; Filip lundberg; The poisson process; Lundberg's formula for F(x, t), the df of aggregate claims; The spielfonds and ruin of the company; The choices for p n(t) and B(.); the simplest model of a nonlife company; and the use of queueing techniques; The poisson, negative binomial and generalized waring distributions; Distributions used for B(.); Queueing models; U(w, t) for the M/M/1 case; Arfwedson's formula for U(w, t); Survival through the n th claim; Vale to queueing techniques; A computational accessory - the laplace transform; De Moivre's Lemma; Numerical illustration; Inverting a generating funcition; Fourier reciprocal relations and the Laplace transform; Inversion formulas; Numerical illustration; Real and imaginary forms of B(s); The probability of t-year survival; An operational formula for U(w, t); Arfwedson and Thyrion: an imaginary collaboration; Numerical evaluation of relation; Beard's formula for Wn(w); Approximations and controls; Approximations to F(x, t); Approximate calculation of U(w, t); Calculation of U(w).
Author : Regina C. Elandt-Johnson,Norman L. Johnson
Publisher : John Wiley & Sons
Page : 490 pages
File Size : 44,6 Mb
Release : 1980-09-17
Category : Mathematics
ISBN : 0471031747
Survival analysis deals with the distribution of life times, essentially the times from an initiating event such as birth or the start of a job to some terminal event such as death or pension. This book, originally published in 1980, surveys and analyzes methods that use survival measurements and concepts, and helps readers apply the appropriate method for a given situation. Four broad sections cover introductions to data, univariate survival function, multiple-failure data, and advanced topics.
Author : J. David Cummins,Richard A. Derrig
Publisher : Springer Science & Business Media
Page : 184 pages
File Size : 45,7 Mb
Release : 2012-12-06
Category : Business & Economics
ISBN : 9789400926776
The problem of solvency is, in fact, as old as insurance. The history of the industry knows many ways to meet the risks involved with underwriting, such as spreading the risk portfolio (Cato, Senior already applied it), risk selection, reserve funds, reinsurance, etc. Whilst these measures too often proved ineffective, the establish ment of legislative control and public supervision ensued. However, not until the last few decades has the solvency issue become an ob ject of intensive studies, very much thanks to the progress of related empirical and theoretical knowledge, and in the under standing of the concerned complicated processes. The research activities have grown extensively in many countries in recent years. The more the studies advance the more new relevant aspects are detected and a great variety of alternative proposals have come up for discussion. Therefore, it has become necessary to attempt a survey of the whole problem area in order to be able to place the quite numerous pieces of knowledge in their proper context, and also, among other things, to avoid the pitfalls of handling isolated problems omitting vital tie-ins to the environment. Many of the rele vant problems and subproblems are still lacking adequate and well tested solutions. Therefore, a survey of the whole problem area can also hopefully serve as guidance for future research efforts.
Author : C. Corduneanu,I Sandberg
Publisher : CRC Press
Page : 512 pages
File Size : 41,5 Mb
Release : 2000-01-10
Category : Mathematics
ISBN : 9781482287424
This volume comprises selected papers presented at the Volterra Centennial Symposium and is dedicated to Volterra and the contribution of his work to the study of systems - an important concept in modern engineering. Vito Volterra began his study of integral equations at the end of the nineteenth century and this was a significant development in th
Author : Marc Goovaerts,F. Etienne De Vylder,J. Haezendonck
Publisher : Springer Science & Business Media
Page : 477 pages
File Size : 50,6 Mb
Release : 2012-12-06
Category : Business & Economics
ISBN : 9789400946200
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 : Hansjörg Albrecher,Jan Beirlant,Jozef L. Teugels
Publisher : John Wiley & Sons
Page : 366 pages
File Size : 43,8 Mb
Release : 2017-11-06
Category : Mathematics
ISBN : 9780470772683
Reinsurance: Actuarial and Statistical Aspects provides a survey of both the academic literature in the field as well as challenges appearing in reinsurance practice and puts the two in perspective. The book is written for researchers with an interest in reinsurance problems, for graduate students with a basic knowledge of probability and statistics as well as for reinsurance practitioners. The focus of the book is on modelling together with the statistical challenges that go along with it. The discussed statistical approaches are illustrated alongside six case studies of insurance loss data sets, ranging from MTPL over fire to storm and flood loss data. Some of the presented material also contains new results that have not yet been published in the research literature. An extensive bibliography provides readers with links for further study.
Author : Charles S. Tapiero
Publisher : Springer Science & Business Media
Page : 518 pages
File Size : 53,6 Mb
Release : 2013-02-13
Category : Business & Economics
ISBN : 9781461462347
Risk models are models of uncertainty, engineered for some purposes. They are “educated guesses and hypotheses” assessed and valued in terms of well-defined future states and their consequences. They are engineered to predict, to manage countable and accountable futures and to provide a frame of reference within which we may believe that “uncertainty is tamed”. Quantitative-statistical tools are used to reconcile our information, experience and other knowledge with hypotheses that both serve as the foundation of risk models and also value and price risk. Risk models are therefore common to most professions, each with its own methods and techniques based on their needs, experience and a wisdom accrued over long periods of time. This book provides a broad and interdisciplinary foundation to engineering risks and to their financial valuation and pricing. Risk models applied in industry and business, heath care, safety, the environment and regulation are used to highlight their variety while financial valuation techniques are used to assess their financial consequences. This book is technically accessible to all readers and students with a basic background in probability and statistics (with 3 chapters devoted to introduce their elements). Principles of risk measurement, valuation and financial pricing as well as the economics of uncertainty are outlined in 5 chapters with numerous examples and applications. New results, extending classical models such as the CCAPM are presented providing insights to assess the risks and their price in an interconnected, dependent and strategic economic environment. In an environment departing from the fundamental assumptions we make regarding financial markets, the book provides a strategic/game-like approach to assess the risk and the opportunities that such an environment implies. To control these risks, a strategic-control approach is developed that recognizes that many risks resulting by “what we do” as well as “what others do”. In particular we address the strategic and statistical control of compliance in large financial institutions confronted increasingly with a complex and far more extensive regulation.
Author : Narayanaswamy Balakrishnan
Publisher : John Wiley & Sons
Page : 735 pages
File Size : 48,5 Mb
Release : 2010-07-13
Category : Mathematics
ISBN : 9780470405109
Inspired by the Encyclopedia of Statistical Sciences, Second Edition, this volume presents the tools and techniques that are essential for carrying out best practices in the modern business world The collection and analysis of quantitative data drives some of the most important conclusions that are drawn in today's business world, such as the preferences of a customer base, the quality of manufactured products, the marketing of products, and the availability of financial resources. As a result, it is essential for individuals working in this environment to have the knowledge and skills to interpret and use statistical techniques in various scenarios. Addressing this need, Methods and Applications of Statistics in Business, Finance, and Management Science serves as a single, one-of-a-kind resource that guides readers through the use of common statistical practices by presenting real-world applications from the fields of business, economics, finance, operations research, and management science. Uniting established literature with the latest research, this volume features classic articles from the acclaimed Encyclopedia of Statistical Sciences, Second Edition along with brand-new contributions written by today's leading academics and practitioners. The result is a compilation that explores classic methodology and new topics, including: Analytical methods for risk management Statistical modeling for online auctions Ranking and selection in mutual funds Uses of Black-Scholes formula in finance Data mining in prediction markets From auditing and marketing to stock market price indices and banking, the presented literature sheds light on the use of quantitative methods in research relating to common financial applications. In addition, the book supplies insight on common uses of statistical techniques such as Bayesian methods, optimization, simulation, forecasting, mathematical modeling, financial time series, and data mining in modern research. Providing a blend of traditional methodology and the latest research, Methods and Applications of Statistics in Business, Finance, and Management Science is an excellent reference for researchers, managers, consultants, and students in the fields of business, management science, operations research, supply chain management, mathematical finance, and economics who must understand statistical literature and carry out quantitative practices to make smart business decisions in their everyday work.
Author : Cuthbert Daniel
Publisher : John Wiley & Sons
Page : 326 pages
File Size : 48,5 Mb
Release : 1976-06-23
Category : Mathematics
ISBN : 0471194697
Other volumes in the Wiley Series in Probability and MathematicalStatistics, Ralph A. Bradley, J. Stuart Hunter, David G. Kendall,& Geoffrey S. Watson, Advisory Editors Statistical Models inApplied Science Karl V. Bury Of direct interest to engineers andapplied scientists, this book presents general principles ofstatistics and specific distribution methods and models. Prominentdistribution properties and methods that are useful over a widerange of applications are covered in detail. The strengths andweaknesses of the distributional models are fully described, givingthe reader a firm, intuitive approach to the selection of the modelmost appropriate to the problem at hand. 1975 656 pp. FittingEquations To Data Computer Analysis of Multifactor Data forScientists and Engineers Cuthbert Daniel & Fred S. Wood Withthe assistance of John W. Gorman The purpose of this book is tohelp the serious data analyst, scientist, or engineer with acomputer to: recognize the strengths and limitations of his data;test the assumptions implicit in the least squares methods used tofit the data; select appropriate forms of the variables; judgewhich combinations of variables are most influential; and state theconditions under which the fitted equations are applicable.Throughout, mathematics is kept at the level of college algebra.1971 342 pp. Methods for Statistical Analysis of Reliability AndLife Data Nancy R. Mann, Ray E. Schafer & Nozer D. SingpurwallaThis book introduces failure models commonly used in reliabilityanalysis, and presents the most useful methods for analyzing thelife data of these models. Highlights include: material onaccelerated life testing; a comprehensive treatment of estimationand hypothesis testing; a critical survey of methods forsystem-reliability confidence bonds; and methods for simulation oflife data and for testing fit. 1974 564 pp.
Author : Donald B. Rubin
Publisher : John Wiley & Sons
Page : 258 pages
File Size : 45,5 Mb
Release : 2009-09-25
Category : Mathematics
ISBN : 9780470317365
Demonstrates how nonresponse in sample surveys and censuses can be handled by replacing each missing value with two or more multiple imputations. Clearly illustrates the advantages of modern computing to such handle surveys, and demonstrates the benefit of this statistical technique for researchers who must analyze them. Also presents the background for Bayesian and frequentist theory. After establishing that only standard complete-data methods are needed to analyze a multiply-imputed set, the text evaluates procedures in general circumstances, outlining specific procedures for creating imputations in both the ignorable and nonignorable cases. Examples and exercises reinforce ideas, and the interplay of Bayesian and frequentist ideas presents a unified picture of modern statistics.
Author : Gordon E. Willmot,Jae-Kyung Woo
Publisher : Springer
Page : 225 pages
File Size : 44,5 Mb
Release : 2017-12-21
Category : Business & Economics
ISBN : 9783319713625
This carefully written monograph covers the Sparre Andersen process in an actuarial context using the renewal process as the model for claim counts. A unified reference on Sparre Andersen (renewal risk) processes is included, often missing from existing literature. The authors explore recent results and analyse various risk theoretic quantities associated with the event of ruin, including the time of ruin and the deficit of ruin. Particular attention is given to the explicit identification of defective renewal equation components, which are needed to analyse various risk theoretic quantities and are also relevant in other subject areas of applied probability such as dams and storage processes, as well as queuing theory. Aimed at researchers interested in risk/ruin theory and related areas, this work will also appeal to graduate students in classical and modern risk theory and Gerber-Shiu analysis.
Author : J. K. Skwirzynski
Publisher : Springer Science & Business Media
Page : 728 pages
File Size : 48,8 Mb
Release : 2012-12-06
Category : Computers
ISBN : 9783642820144
This volume contains the complete proceedings of a NATO Advanced Study Institute on various aspects of the reliability of electronic and other systems. The aim of the Insti~ute was to bring together specialists in this subject. An important outcome of this Conference, as many of the delegates have pointed out to me, was complementing theoretical concepts and practical applications in both software and hardware. The reader will find papers on the mathematical background, on reliability problems in establishments where system failure may be hazardous, on reliability assessment in mechanical systems, and also on life cycle cost models and spares allocation. The proceedings contain the texts of all the lectures delivered and also verbatim accounts of panel discussions on subjects chosen from a wide range of important issues. In this introduction I will give a short account of each contribution, stressing what I feel are the most interesting topics introduced by a lecturer or a panel member. To visualise better the extent and structure. of the Institute, I present a tree-like diagram showing the subjects which my co-directors and I would have wished to include in our deliberations (Figures 1 and 2). The names of our lecturers appear underlined under suitable headings. It can be seen that we have managed to cover most of the issues which seemed important to us. VI SYSTEM EFFECTIVENESS _---~-I~--_- Performance Safety Reliability ~intenance ~istic Lethality Hazards Support S.N.R. JARDINE Max. Vel. etc.
Author : Brian D. Ripley
Publisher : John Wiley & Sons
Page : 258 pages
File Size : 55,5 Mb
Release : 2009-09-25
Category : Mathematics
ISBN : 9780470317389
WILEY-INTERSCIENCE PAPERBACK SERIES The Wiley-Interscience Paperback Series consists of selected books that have been made more accessible to consumers in an effort to increase global appeal and general circulation. With these new unabridged softcover volumes, Wiley hopes to extend the lives of these works by making them available to future generations of statisticians, mathematicians, and scientists. ". . .this is a very competently written and useful addition to the statistical literature; a book every statistician should look at and that many should study!" —Short Book Reviews, International Statistical Institute ". . .reading this book was an enjoyable learning experience. The suggestions and recommendations on the methods [make] this book an excellent reference for anyone interested in simulation. With its compact structure and good coverage of material, it [is] an excellent textbook for a simulation course." —Technometrics ". . .this work is an excellent comprehensive guide to simulation methods, written by a very competent author. It is especially recommended for those users of simulation methods who want more than a 'cook book'. " —Mathematics Abstracts This book is a comprehensive guide to simulation methods with explicit recommendations of methods and algorithms. It covers both the technical aspects of the subject, such as the generation of random numbers, non-uniform random variates and stochastic processes, and the use of simulation. Supported by the relevant mathematical theory, the text contains a great deal of unpublished research material, including coverage of the analysis of shift-register generators, sensitivity analysis of normal variate generators, analysis of simulation output, and more.