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Asymptotic Statistics In Insurance Risk Theory
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Book Synopsis Asymptotic Statistics in Insurance Risk Theory by : Yasutaka Shimizu
Download or read book Asymptotic Statistics in Insurance Risk Theory written by Yasutaka Shimizu and published by Springer Nature. This book was released on 2022-01-21 with total page 119 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book begins with the fundamental large sample theory, estimating ruin probability, and ends by dealing with the latest issues of estimating the Gerber–Shiu function. This book is the first to introduce the recent development of statistical methodologies in risk theory (ruin theory) as well as their mathematical validities. Asymptotic theory of parametric and nonparametric inference for the ruin-related quantities is discussed under the setting of not only classical compound Poisson risk processes (Cramér–Lundberg model) but also more general Lévy insurance risk processes. The recent development of risk theory can deal with many kinds of ruin-related quantities: the probability of ruin as well as Gerber–Shiu’s discounted penalty function, both of which are useful in insurance risk management and in financial credit risk analysis. In those areas, the common stochastic models are used in the context of the structural approach of companies’ default. So far, the probabilistic point of view has been the main concern for academic researchers. However, this book emphasizes the statistical point of view because identifying the risk model is always necessary and is crucial in the final step of practical risk management.
Book Synopsis Modern Actuarial Risk Theory by : Rob Kaas
Download or read book Modern Actuarial Risk Theory written by Rob Kaas and published by Springer Science & Business Media. This book was released on 2008-12-03 with total page 394 pages. Available in PDF, EPUB and Kindle. Book excerpt: Modern Actuarial Risk Theory contains what every actuary needs to know about non-life insurance mathematics. It starts with the standard material like utility theory, individual and collective model and basic ruin theory. Other topics are risk measures and premium principles, bonus-malus systems, ordering of risks and credibility theory. It also contains some chapters about Generalized Linear Models, applied to rating and IBNR problems. As to the level of the mathematics, the book would fit in a bachelors or masters program in quantitative economics or mathematical statistics. This second and.
Book Synopsis Fundamentals of Nonparametric Bayesian Inference by : Subhashis Ghosal
Download or read book Fundamentals of Nonparametric Bayesian Inference written by Subhashis Ghosal and published by Cambridge University Press. This book was released on 2017-06-26 with total page 671 pages. Available in PDF, EPUB and Kindle. Book excerpt: Bayesian nonparametrics comes of age with this landmark text synthesizing theory, methodology and computation.
Book Synopsis Asymptotic Analysis of Random Walks by : A. A. Borovkov
Download or read book Asymptotic Analysis of Random Walks written by A. A. Borovkov and published by Cambridge University Press. This book was released on 2020-10-29 with total page 437 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is a companion book to Asymptotic Analysis of Random Walks: Heavy-Tailed Distributions by A.A. Borovkov and K.A. Borovkov. Its self-contained systematic exposition provides a highly useful resource for academic researchers and professionals interested in applications of probability in statistics, ruin theory, and queuing theory. The large deviation principle for random walks was first established by the author in 1967, under the restrictive condition that the distribution tails decay faster than exponentially. (A close assertion was proved by S.R.S. Varadhan in 1966, but only in a rather special case.) Since then, the principle has always been treated in the literature only under this condition. Recently, the author jointly with A.A. Mogul'skii removed this restriction, finding a natural metric for which the large deviation principle for random walks holds without any conditions. This new version is presented in the book, as well as a new approach to studying large deviations in boundary crossing problems. Many results presented in the book, obtained by the author himself or jointly with co-authors, are appearing in a monograph for the first time.
Book Synopsis Asymptotic Statistics by : Petr Mandl
Download or read book Asymptotic Statistics written by Petr Mandl and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 463 pages. Available in PDF, EPUB and Kindle. Book excerpt: In particular up-to-date-information is presented in detection of systematic changes, in series of observation, in robust regression analysis, in numerical empirical processes and in related areas of actuarial sciences.
Book Synopsis Generalized Poisson Models and their Applications in Insurance and Finance by : Vladimir E. Bening
Download or read book Generalized Poisson Models and their Applications in Insurance and Finance written by Vladimir E. Bening and published by Walter de Gruyter. This book was released on 2012-06-11 with total page 456 pages. Available in PDF, EPUB and Kindle. Book excerpt: The series is devoted to the publication of high-level monographs and surveys which cover the whole spectrum of probability and statistics. The books of the series are addressed to both experts and advanced students.
Book Synopsis Image Analysis, Random Fields and Markov Chain Monte Carlo Methods by : Gerhard Winkler
Download or read book Image Analysis, Random Fields and Markov Chain Monte Carlo Methods written by Gerhard Winkler and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 389 pages. Available in PDF, EPUB and Kindle. Book excerpt: "This book is concerned with a probabilistic approach for image analysis, mostly from the Bayesian point of view, and the important Markov chain Monte Carlo methods commonly used....This book will be useful, especially to researchers with a strong background in probability and an interest in image analysis. The author has presented the theory with rigor...he doesn’t neglect applications, providing numerous examples of applications to illustrate the theory." -- MATHEMATICAL REVIEWS
Download or read book Reinsurance written by Hansjörg Albrecher and published by John Wiley & Sons. This book was released on 2017-08-17 with total page 368 pages. Available in PDF, EPUB and Kindle. Book excerpt: Reinsurance: Actuarial and Statistical Aspects provides a survey of both the academic literature in the field as well as challenges appearing in reinsurance practice and puts the two in perspective. The book is written for researchers with an interest in reinsurance problems, for graduate students with a basic knowledge of probability and statistics as well as for reinsurance practitioners. The focus of the book is on modelling together with the statistical challenges that go along with it. The discussed statistical approaches are illustrated alongside six case studies of insurance loss data sets, ranging from MTPL over fire to storm and flood loss data. Some of the presented material also contains new results that have not yet been published in the research literature. An extensive bibliography provides readers with links for further study.
Book Synopsis Stochastic Networks and Queues by : Philippe Robert
Download or read book Stochastic Networks and Queues written by Philippe Robert and published by Springer Science & Business Media. This book was released on 2013-04-17 with total page 406 pages. Available in PDF, EPUB and Kindle. Book excerpt: Queues and stochastic networks are analyzed in this book with purely probabilistic methods. The purpose of these lectures is to show that general results from Markov processes, martingales or ergodic theory can be used directly to study the corresponding stochastic processes. Recent developments have shown that, instead of having ad-hoc methods, a better understanding of fundamental results on stochastic processes is crucial to study the complex behavior of stochastic networks. In this book, various aspects of these stochastic models are investigated in depth in an elementary way: Existence of equilibrium, characterization of stationary regimes, transient behaviors (rare events, hitting times) and critical regimes, etc. A simple presentation of stationary point processes and Palm measures is given. Scaling methods and functional limit theorems are a major theme of this book. In particular, a complete chapter is devoted to fluid limits of Markov processes.
Book Synopsis Stochastic Simulation: Algorithms and Analysis by : Søren Asmussen
Download or read book Stochastic Simulation: Algorithms and Analysis written by Søren Asmussen and published by Springer Science & Business Media. This book was released on 2007-07-14 with total page 490 pages. Available in PDF, EPUB and Kindle. Book excerpt: Sampling-based computational methods have become a fundamental part of the numerical toolset of practitioners and researchers across an enormous number of different applied domains and academic disciplines. This book provides a broad treatment of such sampling-based methods, as well as accompanying mathematical analysis of the convergence properties of the methods discussed. The reach of the ideas is illustrated by discussing a wide range of applications and the models that have found wide usage. The first half of the book focuses on general methods; the second half discusses model-specific algorithms. Exercises and illustrations are included.
Book Synopsis Wave Propagation and Time Reversal in Randomly Layered Media by : Jean-Pierre Fouque
Download or read book Wave Propagation and Time Reversal in Randomly Layered Media written by Jean-Pierre Fouque and published by Springer Science & Business Media. This book was released on 2007-06-30 with total page 623 pages. Available in PDF, EPUB and Kindle. Book excerpt: The content of this book is multidisciplinary by nature. It uses mathematical tools from the theories of probability and stochastic processes, partial differential equations, and asymptotic analysis, combined with the physics of wave propagation and modeling of time reversal experiments. It is addressed to a wide audience of graduate students and researchers interested in the intriguing phenomena related to waves propagating in random media. At the end of each chapter there is a section of notes where the authors give references and additional comments on the various results presented in the chapter.
Book Synopsis Statistics of Random Processes II by : Robert S. Liptser
Download or read book Statistics of Random Processes II written by Robert S. Liptser and published by Springer Science & Business Media. This book was released on 2013-03-14 with total page 409 pages. Available in PDF, EPUB and Kindle. Book excerpt: "Written by two renowned experts in the field, the books under review contain a thorough and insightful treatment of the fundamental underpinnings of various aspects of stochastic processes as well as a wide range of applications. Providing clear exposition, deep mathematical results, and superb technical representation, they are masterpieces of the subject of stochastic analysis and nonlinear filtering....These books...will become classics." --SIAM REVIEW
Book Synopsis Risk Theory: A Heavy Tail Approach by : Dimitrios George Konstantinides
Download or read book Risk Theory: A Heavy Tail Approach written by Dimitrios George Konstantinides and published by #N/A. This book was released on 2017-07-07 with total page 507 pages. Available in PDF, EPUB and Kindle. Book excerpt: 'Heavy-tailed risk modelling plays a central role in modern risk theory; within this perspective, the book provides an excellent guide concerning problems and solutions in risk theory.'zbMATHThis book is written to help graduate students and young researchers to enter quickly into the subject of Risk Theory. It can also be used by actuaries and financial practitioners for the optimization of their decisions and further by regulatory authorities for the stabilization of the insurance industry. The topic of extreme claims is especially presented as a crucial feature of the modern ruin probability.
Book Synopsis Fundamentals of Queueing Networks by : Hong Chen
Download or read book Fundamentals of Queueing Networks written by Hong Chen and published by Springer Science & Business Media. This book was released on 2013-04-17 with total page 407 pages. Available in PDF, EPUB and Kindle. Book excerpt: This accessible book aims to collect in a single volume the essentials of stochastic networks. Stochastic networks have become widely used as a basic model of many physical systems in a diverse range of fields. Written by leading authors in the field, this book is meant to be used as a reference or supplementary reading by practitioners in operations research, computer systems, communications networks, production planning, and logistics.
Book Synopsis Handbook of Insurance by : Georges Dionne
Download or read book Handbook of Insurance written by Georges Dionne and published by Springer Science & Business Media. This book was released on 2013-12-02 with total page 1133 pages. Available in PDF, EPUB and Kindle. Book excerpt: This new edition of the Handbook of Insurance reviews the last forty years of research developments in insurance and its related fields. A single reference source for professors, researchers, graduate students, regulators, consultants and practitioners, the book starts with the history and foundations of risk and insurance theory, followed by a review of prevention and precaution, asymmetric information, risk management, insurance pricing, new financial innovations, reinsurance, corporate governance, capital allocation, securitization, systemic risk, insurance regulation, the industrial organization of insurance markets and other insurance market applications. It ends with health insurance, longevity risk, long-term care insurance, life insurance financial products and social insurance. This second version of the Handbook contains 15 new chapters. Each of the 37 chapters has been written by leading authorities in risk and insurance research, all contributions have been peer reviewed, and each chapter can be read independently of the others.
Book Synopsis Mathematical Risk Analysis by : Ludger Rüschendorf
Download or read book Mathematical Risk Analysis written by Ludger Rüschendorf and published by Springer Science & Business Media. This book was released on 2013-03-12 with total page 414 pages. Available in PDF, EPUB and Kindle. Book excerpt: The author's particular interest in the area of risk measures is to combine this theory with the analysis of dependence properties. The present volume gives an introduction of basic concepts and methods in mathematical risk analysis, in particular of those parts of risk theory that are of special relevance to finance and insurance. Describing the influence of dependence in multivariate stochastic models on risk vectors is the main focus of the text that presents main ideas and methods as well as their relevance to practical applications. The first part introduces basic probabilistic tools and methods of distributional analysis, and describes their use to the modeling of dependence and to the derivation of risk bounds in these models. In the second, part risk measures with a particular focus on those in the financial and insurance context are presented. The final parts are then devoted to applications relevant to optimal risk allocation, optimal portfolio problems as well as to the optimization of insurance contracts. Good knowledge of basic probability and statistics as well as of basic general mathematics is a prerequisite for comfortably reading and working with the present volume, which is intended for graduate students, practitioners and researchers and can serve as a reference resource for the main concepts and techniques.
Author :Robert Shevilevich Lipt︠s︡er Publisher :Springer Science & Business Media ISBN 13 :9783540639282 Total Pages :428 pages Book Rating :4.6/5 (392 download)
Book Synopsis Statistics of Random Processes II by : Robert Shevilevich Lipt︠s︡er
Download or read book Statistics of Random Processes II written by Robert Shevilevich Lipt︠s︡er and published by Springer Science & Business Media. This book was released on 2001 with total page 428 pages. Available in PDF, EPUB and Kindle. Book excerpt: "Written by two renowned experts in the field, the books under review contain a thorough and insightful treatment of the fundamental underpinnings of various aspects of stochastic processes as well as a wide range of applications. Providing clear exposition, deep mathematical results, and superb technical representation, they are masterpieces of the subject of stochastic analysis and nonlinear filtering....These books...will become classics." --SIAM REVIEW
