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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."synopsis" may belong to another edition of this title.
About the Author
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.
Review
“The monograph is an in-depth work concerning important topics in the actuarial field; it is designed to present a time-dynamic model for multivariate claim counts and its applications in the actuarial framework. ... The monograph represents a reference book for researchers and actuaries.” (Emilia Di Lorenzo, zbMATH 1417.91006, 2019)
"About this title" may belong to another edition of this title.
- PublisherSpringer
- Publication date2018
- ISBN 10 3319928678
- ISBN 13 9783319928678
- BindingHardcover
- LanguageEnglish
- Edition number1
- Number of pages170
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A Multivariate Claim Count Model for Applications in Insurance.
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XII, 158 p. Hardcover. Versand aus Deutschland / We dispatch from Germany via Air Mail. Einband bestoßen, daher Mängelexemplar gestempelt, sonst sehr guter Zustand. Imperfect copy due to slightly bumped cover, apart from this in very good condition. Stamped. Sprache: Englisch. Seller Inventory # 2111MB
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Multivariate Claim Count Model for Applications in Insurance
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A Multivariate Claim Count Model for Applications in Insurance (Hardcover)
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Springer International Publishing AG, Cham, 2018
ISBN 10: 3319928678
ISBN 13: 9783319928678
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Hardcover. Condition: new. Hardcover. 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. Shipping may be from multiple locations in the US or from the UK, depending on stock availability. Seller Inventory # 9783319928678
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Multivariate Claim Count Model for Applications in Insurance
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A Multivariate Claim Count Model for Applications in Insurance
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ISBN 10: 3319928678
ISBN 13: 9783319928678
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Buch. Condition: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -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. 172 pp. Englisch. Seller Inventory # 9783319928678
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A Multivariate Claim Count Model for Applications in Insurance
Published by
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ISBN 10: 3319928678
ISBN 13: 9783319928678
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Buch. Condition: Neu. Druck auf Anfrage Neuware - Printed after ordering - 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. Seller Inventory # 9783319928678
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Multivariate Claim Count Model for Applications in Insurance
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A Multivariate Claim Count Model for Applications in Insurance
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A Multivariate Claim Count Model for Applications in Insurance
Published by
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ISBN 10: 3319928678
ISBN 13: 9783319928678
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Gebunden. Condition: New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. Presents a new modelling approach to multivariate claim arrivals in insuranceExplores simulation strategies, estimation procedures and convergence resultsIncludes a thorough literature review of related models for univariate and multivariat. Seller Inventory # 224215289
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