Choose an application

• Reference Manager
• EndNote
• RefWorks (Direct export to RefWorks)

This book offers a mathematical introduction to non-life insurance and, at the same time, to a multitude of applied stochastic processes. It gives detailed discussions of the fundamental models for claim sizes, claim arrivals, the total claim amount, and their probabilistic properties. Throughout the book the language of stochastic processes is used for describing the dynamics of an insurance portfolio in claim size space and time. In addition to the standard actuarial notions, the reader learns about the basic models of modern non-life insurance mathematics: the Poisson, compound Poisson and renewal processes in collective risk theory and heterogeneity and Bühlmann models in experience rating. The reader gets to know how the underlying probabilistic structures allow one to determine premiums in a portfolio or in an individual policy. Special emphasis is given to the phenomena which are caused by large claims in these models. What makes this book special are more than 100 figures and tables illustrating and visualizing the theory. Every section ends with extensive exercises. They are an integral part of this course since they support the access to the theory. The book can serve either as a text for an undergraduate/graduate course on non-life insurance mathematics or applied stochastic processes. Its content is in agreement with the European "Groupe Consultatif" standards. An extensive bibliography, annotated by various comments sections with references to more advanced relevant literature, make the book broadly and easiliy accessible.

Insurance --- Stochastic processes. --- Mathematics. --- -Stochastic processes --- 368.00151962 --- Random processes --- Probabilities --- Assurance (Insurance) --- Coverage, Insurance --- Indemnity insurance --- Insurance coverage --- Insurance industry --- Insurance protection --- Mutual insurance --- Underwriting --- Finance --- Mathematics --- Stochastic processes --- Assurance --- Processus stochastiques --- Mathématiques --- Economics, Mathematical . --- Quantitative Finance. --- Economics --- Mathematical economics --- Econometrics --- Methodology

Choose an application

• Reference Manager
• EndNote
• RefWorks (Direct export to RefWorks)

Actuarial mathematics --- Insurance --- Poisson processes --- 368.00 --- 51 --- AA / International- internationaal --- 368 --- 368 Verzekeringswezen --- Verzekeringswezen --- Processes, Poisson --- Point processes --- Business mathematics --- Actuarial science --- Mathematics --- Theorieën over verzekeringen. Actuariële wetenschappen --- Wiskunde

Choose an application

• Reference Manager
• EndNote
• RefWorks (Direct export to RefWorks)

This book deals with extreme value theory for univariate and multivariate time series models characterized by power-law tails. These include the classical ARMA models with heavy-tailed noise and financial econometrics models such as the GARCH and stochastic volatility models. Rigorous descriptions of power-law tails are provided through the concept of regular variation. Several chapters are devoted to the exploration of regularly varying structures. The remaining chapters focus on the impact of heavy tails on time series, including the study of extremal cluster phenomena through point process techniques. A major part of the book investigates how extremal dependence alters the limit structure of sample means, maxima, order statistics, sample autocorrelations. This text illuminates the theory through hundreds of examples and as many graphs showcasing its applications to real-life financial and simulated data. The book can serve as a text for PhD and Master courses on applied probability, extreme value theory, and time series analysis. It is a unique reference source for the heavy-tail modeler. Its reference quality is enhanced by an exhaustive bibliography, annotated by notes and comments making the book broadly and easily accessible. .

Extreme value theory. --- Probabilities. --- Mathematical statistics. --- Applied Probability. --- Mathematical Statistics.

Choose an application

• Reference Manager
• EndNote
• RefWorks (Direct export to RefWorks)

The volume offers a mathematical introduction to non-life insurance and, at the same time, to a multitude of applied stochastic processes. It includes detailed discussions of the fundamental models regarding claim sizes, claim arrivals, the total claim amount, and their probabilistic properties. Throughout the volume the language of stochastic processes is used for describing the dynamics of an insurance portfolio in claim size, space and time. Special emphasis is given to the phenomena which are caused by large claims in these models. The reader learns how the underlying probabilistic structures allow determining premiums in a portfolio or in an individual policy. The second edition contains various new chapters that illustrate the use of point process techniques in non-life insurance mathematics. Poisson processes play a central role. Detailed discussions show how Poisson processes can be used to describe complex aspects in an insurance business such as delays in reporting, the settlement of claims and claims reserving. Also the chain ladder method is explained in detail. More than 150 figures and tables illustrate and visualize the theory. Every section ends with numerous exercises. An extensive bibliography, annotated with various comments sections with references to more advanced relevant literature, makes the volume broadly and easily accessible.

Quantitative methods (economics) --- Financial analysis --- verzekeringen --- financiële analyse

Choose an application

• Reference Manager
• EndNote
• RefWorks (Direct export to RefWorks)

Both in insurance and in finance applications, questions involving extremal events (such as large insurance claims, large fluctuations in financial data, stock market shocks, risk management, ...) play an increasingly important role. This book sets out to bridge the gap between the existing theory and practical applications both from a probabilistic as well as from a statistical point of view. Whatever new theory is presented is always motivated by relevant real-life examples. The numerous illustrations and examples, and the extensive bibliography make this book an ideal reference text for students, teachers and users in the industry of extremal event methodology.

Business mathematics. --- Insurance --- Mathematics. --- Business mathematics --- Insurance - Mathematics --- 332.015195 --- Mathematical models --- 10.03.a --- 305.6 --- AA / International- internationaal --- 330.105 --- Actuarial science --- 330.105 Wiskundige economie. Wiskundige methoden in de economie --- Wiskundige economie. Wiskundige methoden in de economie --- Arithmetic, Commercial --- Business --- Business arithmetic --- Business math --- Commercial arithmetic --- Finance --- Mathematics --- Actuariaat ; Algemeen --- Risicotheorie, speltheorie. Risicokapitaal. Beslissingsmodellen --- Mathematical statistics --- Probabilités --- Statistique --- Mathématiques financières --- Assurance --- Mathématiques