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Copulas (mathematical statistics) --- Stochastic models

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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.

Multivariate analysis --- Data processing. --- Distribution (Probability theory. --- Statistics. --- Mathematical statistics. --- Finance. --- Probability Theory and Stochastic Processes. --- Actuarial Sciences. --- Statistics for Business, Management, Economics, Finance, Insurance. --- Statistical Theory and Methods. --- Quantitative Finance. --- Funding --- Funds --- Economics --- Currency question --- Statistical analysis --- Statistical data --- Statistical methods --- Statistical science --- Mathematics --- Econometrics --- Distribution functions --- Frequency distribution --- Characteristic functions --- Probabilities --- Statistical inference --- Statistics, Mathematical --- Statistics --- Sampling (Statistics) --- Probabilities. --- Actuarial science. --- Statistics . --- Economics, Mathematical . --- Mathematical economics --- Insurance --- Probability --- Combinations --- Chance --- Least squares --- Mathematical statistics --- Risk --- Methodology

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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.

Statistical science --- Finance --- Operational research. Game theory --- Mathematical statistics --- Actuarial mathematics --- Probability theory --- Business economics --- financieel management --- waarschijnlijkheidstheorie --- stochastische analyse --- statistiek --- financiën --- econometrie --- wiskunde --- actuariaat --- kansrekening --- statistisch onderzoek --- Actuarial Sciences. --- Actuarial science. --- Economics, Mathematical . --- Probabilities. --- Probability Theory and Stochastic Processes. --- Quantitative Finance. --- Statistical Theory and Methods. --- Statistics . --- Statistics for Business, Management, Economics, Finance, Insurance.

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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.

Statistical science --- Finance --- Operational research. Game theory --- Mathematical statistics --- Actuarial mathematics --- Probability theory --- Business economics --- financieel management --- waarschijnlijkheidstheorie --- stochastische analyse --- statistiek --- financiën --- econometrie --- wiskunde --- actuariaat --- kansrekening --- statistisch onderzoek