A Multivariate Claim Count Model for Applications in Insurance
Buch in deiner Nähe kaufen
Beschreibung
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.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.Presents a new modelling approach to multivariate claim arrivals in insurance Explores simulation strategies, estimation procedures and convergence results Includes a thorough literature review of related models for univariate and multivariate counting processes
Autor*in
Daniela Anna Selch
Themen in »A Multivariate Claim Count Model for Applications in Insurance«
modelling multivariate claim count data reinsurance contracts pricing modelling multiple lines of business in a holistic perspective over-dispersion in claim count data simultaneous jump arrivals dynamic modelling approach modelling dependence in claim count data multivariate Cox process simultaneous jump arrivals multivariate Lévy subordinator quantitative finance
Stimmen zu »A Multivariate Claim Count Model for Applications in Insurance«
“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)
()