A Multivariate Claim Count Model for Applications in Insurance (Springer Actuarial) - Hardcover

Buch 3 von 9: Springer Actuarial

Selch, Daniela Anna; Scherer, Matthias

 
9783319928678: A Multivariate Claim Count Model for Applications in Insurance (Springer Actuarial)
Hardcover
ISBN 10: 3319928678 ISBN 13: 9783319928678
Verlag: Springer, 2018

Inhaltsangabe

This monograph presents a time-dynamic model for multivariate claim counts in actuarial applications.

Inspired by real-world claim arrivals, the model balances interesting stylized facts (such as dependence across the components, over-dispersion and the clustering of claims) with a high level of mathematical tractability (including estimation, sampling and convergence results for large portfolios) and can thus be applied in various contexts (such as risk management and pricing of (re-)insurance contracts). The authors provide a detailed analysis of the proposed probabilistic model, discussing its relation to the existing literature, its statistical properties, different estimation strategies as well as possible applications and extensions.

Actuaries and researchers working in risk management and premium pricing will find this book particularly interesting. Graduate-level probability theory, stochastic analysis and statistics are required.

Die Inhaltsangabe kann sich auf eine andere Ausgabe dieses Titels beziehen.

Über die Autorin bzw. den Autor

Daniela Selch currently works as a quantitative analyst for the Equities – Structured Products and Strategies team of Barclays Quantitative Analytics in London. Previously, she was a research assistant at the Chair of Mathematical Finance at the Technical University of Munich, where she earned her PhD for the results summarized in this book. Her PhD thesis was awarded the SCOR-price for actuarial sciences and she presented at several scientific conferences, including the ICBI Global Derivatives Trading & Risk Management 2016, Budapest as invited speaker.

Matthias Scherer is Professor for Financial Mathematics at the Technical University of Munich, member of the board of the German Society for Insurance and Financial Mathematics (DGVFM), and associate editor of the journals Dependence Modelling and RISIKO MANAGER. He has (co-)authored scientific papers in the areas finance and actuarial science, multivariate statistics, probability theory,and quantitative risk management. 

Von der hinteren Coverseite

This monograph presents a time-dynamic model for multivariate claim counts in actuarial applications.

Inspired by real-world claim arrivals, the model balances interesting stylized facts (such as dependence across the components, over-dispersion and the clustering of claims) with a high level of mathematical tractability (including estimation, sampling and convergence results for large portfolios) and can thus be applied in various contexts (such as risk management and pricing of (re-)insurance contracts). The authors provide a detailed analysis of the proposed probabilistic model, discussing its relation to the existing literature, its statistical properties, different estimation strategies as well as possible applications and extensions.

Actuaries and researchers working in risk management and premium pricing will find this book particularly interesting. Graduate-level probability theory, stochastic analysis and statistics are required.

„Über diesen Titel“ kann sich auf eine andere Ausgabe dieses Titels beziehen.

Verlag
Springer
Erscheinungsdatum
2018
Sprache
Englisch
ISBN 10 
3319928678
ISBN 13 
9783319928678
Einband
Gebundene Ausgabe
Auflage
1
Anzahl der Seiten
170
Kontakt zum Hersteller
ROXIO
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Hamburg
22391
Deutschland

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Softcover