Practical Risk Theory for Actuaries
eBook - PDF

Practical Risk Theory for Actuaries

  1. 576 pages
  2. English
  3. PDF
  4. Available on iOS & Android
eBook - PDF

Practical Risk Theory for Actuaries

About this book

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 asp

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Yes, you can access Practical Risk Theory for Actuaries by C.D. Daykin,T. Pentikainen,Martti Pesonen, D.R. Cox, N. Reid, Valerie Isham, R.J. Tibshirani, Thomas A. Louis, Howell Tong, Niels Keiding in PDF and/or ePUB format, as well as other popular books in Mathematics & Mathematics General. We have over one million books available in our catalogue for you to explore.

Information

Publisher
Chapman and Hall/CRC
Year
1993
eBook ISBN
9781482289046
Edition
1
Topic
Mathematics
Subtopic
Mathematics General
Index
Mathematics

Table of contents

  1. Cover
  2. Half Title
  3. Title Page
  4. Copyright Page
  5. Contents
  6. Preface
  7. Nomenclature
  8. PART ONE FOUNDATIONS OF PRACTICAL RISK THEORY
  9. 1 Some preliminary ideas
  10. 1.1 Cash flow and emerging costs
  11. 1.2 Accounting model
  12. 1.3 Some features of the classical theory
  13. 1.4 Notation and some concepts from probability theory
  14. 2 The number of claims
  15. 2.1 Introduction
  16. 2.2 The Poisson distribution
  17. 2.3 Properties of Poisson variables
  18. 2.4 Mixed Poisson claim number variable
  19. 2.5 The Polya case: negative binomial distribution
  20. 2.6 Variation of risk propensity within the portfolio
  21. 3 The amount of claims
  22. 3.1 Compound aggregate claim amount model
  23. 3.2 Properties of compound distributions
  24. 3.3 The claim size distribution
  25. 3.4 Claims and reinsurance
  26. 4 Calculation of a compound claim d.f. F
  27. 4.1 Recursion formula for F
  28. 4.2 Approximate formulae for F
  29. 5 Simulation
  30. 5.1 Introductory remarks
  31. 5.2 Random numbers
  32. 5.3 Simulation of claim numbers
  33. 5.4 Simulation of compoun dvariables
  34. 5.5 Outlines for simulation of more complex insurance processes
  35. 6 Applications involving short-term claim fluctuation
  36. 6.1 Background to the short-term fluctuation problem
  37. 6.2 Evaluating the capital at risk
  38. 6.3 Rules for maximum retention
  39. 6.4 An application to rate-making
  40. 6.5 Experience-rating
  41. 6.6 Optimal risk sharing
  42. PART TWO STOCHASTIC ANALYSIS OF INSURANCE BUSINESS
  43. 7 Inflation
  44. 7.1 Introductory remarks
  45. 7.2 Inflation and insurance
  46. 7.3 Modelling inflation
  47. 8 Investment
  48. 8.1 Investment as part of the insurance business
  49. 8.2 Investment returns
  50. 8.3 Modelling investment prices and returns
  51. 8.4 The Wilkie model
  52. 8.5 Other model structures
  53. 8.6 Asset/liability considerations
  54. 9 Claims with an extended time horizon
  55. 9.1 Description of the problem
  56. 9.2 Claim number process
  57. 9.3 Claim amounts
  58. 9.4 Simulation of the claim process
  59. 9.5 The settlement of claims
  60. 9.6 Catastrophes
  61. 10 Premiums
  62. 10.1 General framework
  63. 10.2 Theoretical background
  64. 10.3 Premiums in practice
  65. 11 Expenses, taxes and dividends
  66. 11.1 Expenses
  67. 11.2 Taxes
  68. 11.3 Dividends
  69. 12 The insurance process
  70. 12.1 Basic equation
  71. 12.2 Empirical observations
  72. 12.3 Business cycles, analysis of causes and mechanisms
  73. 12.4 Simulation of the insurance process
  74. 13 Applications to long-term processes
  75. 13.1 General features
  76. 13.2 Capital requirements of an insurance company
  77. 13.3 Evaluation of an insurer's net retention limits
  78. 14 Managing uncertainty
  79. 14.1 Review of applications
  80. 14.2 Basic equations
  81. 14.3 The insurer and the market
  82. 14.4 Measuring and managing financial strength
  83. 14.5 Corporate planning
  84. 14.6 Public solvency control
  85. 15 Life insurance
  86. 15.1 Recapitulation of some basic formulae of life insurance mathematics
  87. 15.2 Stochastic cohort approach
  88. 15.3 Analysis of the total business
  89. 16 Pension schemes
  90. 16.1 Pension structures and definitions
  91. 16.2 Pension formulae
  92. 16.3 Deterministic method sof pension funding
  93. 16.4 Stochastic methods for pensions
  94. APPENDICES
  95. A Derivation of the Poisson formula
  96. A.l Individual and collective approaches
  97. A.2 Derivation of the Poisson distribution la w
  98. B Polya and Gamma distributions
  99. C Asymptotic behaviour of the compound mixed Poisson d.f
  100. D Numerical calculation of the normal d.f
  101. E Derivation of the recursion formula for F
  102. F Simulation
  103. F.l Uniformly distributed random numbers
  104. F.2 Normally distributed random numbers
  105. F.3 Graphical presentation of outcomes
  106. F.4 Numerical outputs and their accuracy
  107. F.5 Simulation of the insurance business
  108. G Time series
  109. G.l Basic concepts
  110. G.2 Autoregressive process of first order
  111. G.3 Autoregressive process of second order
  112. G.4 Generalizations an dvariants
  113. H Portfolio selection
  114. I Solutions to exercises
  115. Bibliography
  116. Subject index
  117. Author index