A Multivariate Claim Count Model for Applications in Insurance - Couverture rigide

Livre 3 sur 9: Springer Actuarial

Selch, Daniela Anna; Scherer, Matthias

 
9783319928678: A Multivariate Claim Count Model for Applications in Insurance
Couverture rigide
ISBN 10 : 3319928678 ISBN 13 : 9783319928678
Editeur : Springer International Publishing AG, 2018

Synopsis

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.

Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.

À propos de l?auteur

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.

Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.

Éditeur
Springer International Publishing AG
Date d'édition
2018
Langue
anglais
ISBN 10 
3319928678
ISBN 13 
9783319928678
Reliure
Relié
Nombre de pages
158
Coordonnées du fabricant
non disponible
Personne responsable
CMN Printpool Inh. Mathis Neumann
https://www.also.com/ec/cms5/en_6000/6000/index.jsp

Friedrich-Karl-Str. 9
Hamburg
Allemagne

Autres éditions populaires du même titre

9783030065379: A Multivariate Claim Count Model for Applications in Insurance

Edition présentée

ISBN 10 :  3030065375 ISBN 13 :  9783030065379
Editeur : Springer, 2019
Couverture souple