Loss Models
From Data to Decisions
(Sprache: Englisch)
An update of one of the most trusted books on constructing and analyzing actuarial models
Written by three renowned authorities in the actuarial field, Loss Models, Third Edition upholds the reputation for excellence that has made this book required...
Written by three renowned authorities in the actuarial field, Loss Models, Third Edition upholds the reputation for excellence that has made this book required...
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An update of one of the most trusted books on constructing and analyzing actuarial modelsWritten by three renowned authorities in the actuarial field, Loss Models, Third Edition upholds the reputation for excellence that has made this book required reading for the Society of Actuaries (SOA) and Casualty Actuarial Society (CAS) qualification examinations. This update serves as a complete presentation of statistical methods for measuring risk and building models to measure loss in real-world events.
This book maintains an approach to modeling and forecasting that utilizes tools related to risk theory, loss distributions, and survival models. Random variables, basic distributional quantities, the recursive method, and techniques for classifying and creating distributions are also discussed. Both parametric and non-parametric estimation methods are thoroughly covered along with advice for choosing an appropriate model. Features of the Third Edition include:
Extended discussion of risk management and risk measures, including Tail-Value-at-Risk (TVaR)
New sections on extreme value distributions and their estimation
Inclusion of homogeneous, nonhomogeneous, and mixed Poisson processes
Expanded coverage of copula models and their estimation
Additional treatment of methods for constructing confidence regions when there is more than one parameter
The book continues to distinguish itself by providing over 400 exercises that have appeared on previous SOA and CAS examinations. Intriguing examples from the fields of insurance and business are discussed throughout, and all data sets are available on the book's FTP site, along with programs that assist with conducting loss model analysis.
Loss Models, Third Edition is an essential resource for students and aspiring actuaries who are preparing to take the SOA and CAS preliminary examinations. It is also a must-have reference for professional actuaries, graduate students in the actuarial field, and anyone who works with
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loss and risk models in their everyday work.
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Written by three renowned authorities in the actuarial field, Loss Models, Third Edition upholds the reputation for excellence that has made this book required reading for the Society of Actuaries (SOA) and Casualty Actuarial Society (CAS) qualification examinations. This update serves as a complete presentation of statistical methods for measuring risk and building models to measure loss in real-world events. It provides over 400 exercises that have appeared on previous SOA and CAS examinations, as well as Intriguing examples from the fields of insurance and business.
Inhaltsverzeichnis zu „Loss Models “
PrefaceBR />PART I: INTRODUCTIONBR />
1. ModelingBR />
2. Random variablesBR />
3. Basic distributional quantitiesBR />
PART II: ACTUARIAL MODELSBR />
4. Characteristics of Actuarial ModelsBR />
5. ContinuousmodelsBR />
6. Discrete distributions and processesBR />
7. MultivariatemodelsBR />
8. Frequency and severity with coverage modificationsBR />
9. Aggregate loss modelsBR />
10. Discrete-time ruin modelsBR />
11. Continuous-time ruin modelsBR />
PART III: CONSTRUCTION OF EMPIRICAL MODELSBR />
12. Review of mathematical statisticsBR />
13. Estimation for complete dataBR />
14. Estimation for modified dataBR />
PART IV: PARAMETRIC STATISTICAL METHODSBR />
15. Parameter estimationBR />
16. Model selectionBR />
17. Estimation and model selection for more complex modelsBR />
18. Five examplesBR />
PART V: ADJUSTED ESTIMATESBR />
19. Interpolation and smoothingBR />
20. CredibilityBR />
PART VI: SIMULATIONBR />
21. SimulationBR />
Appendix A: An inventory of continuous distributionsBR />
Appendix B: An inventory of discrete distributionsBR />
Appendix C: Frequency and severity relationshipsBR />
Appendix D: The recursive formulaBR />
Appendix E: Discretization of the severity distributionBR />
Appendix F: Numerical optimization and solution of systems of equationsBR />
References
Autoren-Porträt von Stuart A. Klugman, Harry H. Panjer, Gordon E. Willmot
STUART A. KLUGMAN, PhD, is Principal Financial Group Distinguished Professor of Actuarial Science at Drake University. A Fellow of the Society of Actuaries, Dr. Klugman was vice president of the SOA from 2001-2003.HARRY H. PANJER, PhD, is Professor Emeritus in the Department of Statistics and Actuarial Science at the University of Waterloo, Canada. Past president of both the Canadian Institute of Actuaries and the Society of Actuaries, Dr. Panjer has published numerous articles on risk modeling in the fields of finance and actuarial science.
GORDON E. WILLMOT, PhD, is Munich Re Chair in Insurance and Professor in the Department of Statistics and Actuarial Science at the University of Waterloo, Canada. Dr. Willmot has authored or coauthored over sixty published articles in the areas of risk theory, queueing theory, distribution theory, and stochastic modeling in insurance.
Bibliographische Angaben
- Autoren: Stuart A. Klugman , Harry H. Panjer , Gordon E. Willmot
- 2008, 3. Auflage., 760 Seiten, Maße: 25,7 cm, Gebunden, Englisch
- Verlag: Wiley & Sons
- ISBN-10: 0470187816
- ISBN-13: 9780470187814
Sprache:
Englisch
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