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Author : Annina Saluz
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (95 download)
Download or read book Stochastic Loss Reserving with Emphasis on the Bornhuetter-Ferguson Method written by Annina Saluz and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Michael Radtke
Publisher : Springer
ISBN 13 : 3319300563
Total Pages : 317 pages
Book Rating : 4.3/5 (193 download)
Download or read book Handbook on Loss Reserving written by Michael Radtke and published by Springer. This book was released on 2016-10-26 with total page 317 pages. Available in PDF, EPUB and Kindle. Book excerpt: This handbook presents the basic aspects of actuarial loss reserving. Besides the traditional methods, it also includes a description of more recent ones and a discussion of certain problems occurring in actuarial practice, like inflation, scarce data, large claims, slow loss development, the use of market statistics, the need for simulation techniques and the task of calculating best estimates and ranges of future losses. In property and casualty insurance the provisions for payment obligations from losses that have occurred but have not yet been settled usually constitute the largest item on the liabilities side of an insurer's balance sheet. For this reason, the determination and evaluation of these loss reserves is of considerable economic importance for every property and casualty insurer. Actuarial students, academics as well as practicing actuaries will benefit from this overview of the most important actuarial methods of loss reserving by developing an understanding of the underlying stochastic models and how to practically solve some problems which may occur in actuarial practice.
Author : Greg Taylor
Publisher :
ISBN 13 : 9780996889704
Total Pages : 100 pages
Book Rating : 4.8/5 (897 download)
Download or read book Stochastic Loss Reserving Using Generalized Linear Models written by Greg Taylor and published by . This book was released on 2016-05-04 with total page 100 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this monograph, authors Greg Taylor and Gráinne McGuire discuss generalized linear models (GLM) for loss reserving, beginning with strong emphasis on the chain ladder. The chain ladder is formulated in a GLM context, as is the statistical distribution of the loss reserve. This structure is then used to test the need for departure from the chain ladder model and to consider natural extensions of the chain ladder model that lend themselves to the GLM framework.
Author : J. van Eeghen
Publisher :
ISBN 13 :
Total Pages : 120 pages
Book Rating : 4.3/5 (91 download)
Download or read book Loss Reserving Methods written by J. van Eeghen and published by . This book was released on 1981 with total page 120 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Mario V. Wüthrich
Publisher : John Wiley & Sons
ISBN 13 : 0470772727
Total Pages : 438 pages
Book Rating : 4.4/5 (77 download)
Download or read book Stochastic Claims Reserving Methods in Insurance written by Mario V. Wüthrich and published by John Wiley & Sons. This book was released on 2008-04-30 with total page 438 pages. Available in PDF, EPUB and Kindle. Book excerpt: Claims reserving is central to the insurance industry. Insurance liabilities depend on a number of different risk factors which need to be predicted accurately. This prediction of risk factors and outstanding loss liabilities is the core for pricing insurance products, determining the profitability of an insurance company and for considering the financial strength (solvency) of the company. Following several high-profile company insolvencies, regulatory requirements have moved towards a risk-adjusted basis which has lead to the Solvency II developments. The key focus in the new regime is that financial companies need to analyze adverse developments in their portfolios. Reserving actuaries now have to not only estimate reserves for the outstanding loss liabilities but also to quantify possible shortfalls in these reserves that may lead to potential losses. Such an analysis requires stochastic modeling of loss liability cash flows and it can only be done within a stochastic framework. Therefore stochastic loss liability modeling and quantifying prediction uncertainties has become standard under the new legal framework for the financial industry. This book covers all the mathematical theory and practical guidance needed in order to adhere to these stochastic techniques. Starting with the basic mathematical methods, working right through to the latest developments relevant for practical applications; readers will find out how to estimate total claims reserves while at the same time predicting errors and uncertainty are quantified. Accompanying datasets demonstrate all the techniques, which are easily implemented in a spreadsheet. A practical and essential guide, this book is a must-read in the light of the new solvency requirements for the whole insurance industry.
Author : Eric M. Mann
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (777 download)
Download or read book A Comparison of Stochastic Claim Reserving Methods written by Eric M. Mann and published by . This book was released on 2011 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Estimating unpaid liabilities for insurance companies is an extremely important aspect of insurance operations. Consistent underestimation can result in companies requiring more reserves which can lead to lower profits, downgraded credit ratings, and in the worst case scenarios, insurance company insolvency. Consistent overestimation can lead to inefficient capital allocation and a higher overall cost of capital. Due to the importance of these estimates and the variability of these unpaid liabilities, a multitude of methods have been developed to estimate these amounts. This paper compares several actuarial and statistical methods to determine which are relatively better at producing accurate estimates of unpaid liabilities. To begin, the Chain Ladder Method is introduced for those unfamiliar with it. Then a presentation of several Generalized Linear Model (GLM) methods, various Generalized Additive Model (GAM) methods, the Bornhuetter-Ferguson Method, and a Bayesian method that link the Chain Ladder and Bornhuetter-Ferguson methods together are introduced, with all of these methods being in some way connected to the Chain Ladder Method. Historical data from multiple lines of business compiled by the National Association of Insurance Commissioners is used to compare the methods across different loss functions to gain insight as to which methods produce estimates with the minimum loss and to gain a better understanding of the relative strengths and weaknesses of the methods. Key.
Author : Mark R. Shapland
Publisher :
ISBN 13 : 9780996889742
Total Pages : 116 pages
Book Rating : 4.8/5 (897 download)
Download or read book Using the ODP Bootstrap Model written by Mark R. Shapland and published by . This book was released on 2016 with total page 116 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : David F. Hendry
Publisher : Princeton University Press
ISBN 13 : 1400845653
Total Pages : 378 pages
Book Rating : 4.4/5 (8 download)
Download or read book Econometric Modeling written by David F. Hendry and published by Princeton University Press. This book was released on 2012-06-21 with total page 378 pages. Available in PDF, EPUB and Kindle. Book excerpt: Econometric Modeling provides a new and stimulating introduction to econometrics, focusing on modeling. The key issue confronting empirical economics is to establish sustainable relationships that are both supported by data and interpretable from economic theory. The unified likelihood-based approach of this book gives students the required statistical foundations of estimation and inference, and leads to a thorough understanding of econometric techniques. David Hendry and Bent Nielsen introduce modeling for a range of situations, including binary data sets, multiple regression, and cointegrated systems. In each setting, a statistical model is constructed to explain the observed variation in the data, with estimation and inference based on the likelihood function. Substantive issues are always addressed, showing how both statistical and economic assumptions can be tested and empirical results interpreted. Important empirical problems such as structural breaks, forecasting, and model selection are covered, and Monte Carlo simulation is explained and applied. Econometric Modeling is a self-contained introduction for advanced undergraduate or graduate students. Throughout, data illustrate and motivate the approach, and are available for computer-based teaching. Technical issues from probability theory and statistical theory are introduced only as needed. Nevertheless, the approach is rigorous, emphasizing the coherent formulation, estimation, and evaluation of econometric models relevant for empirical research.
Author : Greg Taylor
Publisher :
ISBN 13 :
Total Pages : 17 pages
Book Rating : 4.:/5 (13 download)
Download or read book An Iterated Bornhuetter-Ferguson Model written by Greg Taylor and published by . This book was released on 2018 with total page 17 pages. Available in PDF, EPUB and Kindle. Book excerpt: The iterated Bornhuetter-Ferguson loss reserving method generates an infinite sequence of reserve formulas, with the chain ladder and Bornhuetter-Ferguson formulas at opposite extremes. The sequence also contains the Benktander-Hovinen formula. Although the literature contains parametric stochastic models for the first two of these three, it does not contain models for the remainder of the sequence. The present paper fills this gap with a sequence of Bayesian chain ladder models, one for each iterate. Each is an ODP chain ladder model, with each row parameter drawn from a gamma prior. The parameters vary from iterate to iterate. Equality between each Bayesian chain ladder model and its corresponding iterate is achieved by suitable choice of the coefficients of variation of the row parameters. Thus, each iterate is a special case of the general Gamma-ODP model. Applications of this sequence of models are illustrated, first the application of the sequence of Bayesian chain ladder models directly to loss reserving, and second to a hierarchy of proportional reinsurance arrangements. In the first of these applications, the parameter selection for the Gamma-ODP special cases will not always be natural or intuitive. The use of the general Gamma-ODP model with more natural parameter values may be preferable.
Author : David Hindley
Publisher : Cambridge University Press
ISBN 13 : 1107076935
Total Pages : 513 pages
Book Rating : 4.1/5 (7 download)
Download or read book Claims Reserving in General Insurance written by David Hindley and published by Cambridge University Press. This book was released on 2017-10-26 with total page 513 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is a single comprehensive reference source covering the key material on this subject, and describing both theoretical and practical aspects.
Author : Guangyuan Gao
Publisher : Springer
ISBN 13 : 9811336091
Total Pages : 205 pages
Book Rating : 4.8/5 (113 download)
Download or read book Bayesian Claims Reserving Methods in Non-life Insurance with Stan written by Guangyuan Gao and published by Springer. This book was released on 2018-12-31 with total page 205 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book first provides a review of various aspects of Bayesian statistics. It then investigates three types of claims reserving models in the Bayesian framework: chain ladder models, basis expansion models involving a tail factor, and multivariate copula models. For the Bayesian inferential methods, this book largely relies on Stan, a specialized software environment which applies Hamiltonian Monte Carlo method and variational Bayes.
Author : David Hindley
Publisher : Cambridge University Press
ISBN 13 : 1108514847
Total Pages : 514 pages
Book Rating : 4.1/5 (85 download)
Download or read book Claims Reserving in General Insurance written by David Hindley and published by Cambridge University Press. This book was released on 2017-10-26 with total page 514 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is a comprehensive and accessible reference source that documents the theoretical and practical aspects of all the key deterministic and stochastic reserving methods that have been developed for use in general insurance. Worked examples and mathematical details are included, along with many of the broader topics associated with reserving in practice. The key features of reserving in a range of different contexts in the UK and elsewhere are also covered. The book contains material that will appeal to anyone with an interest in claims reserving. It can be used as a learning resource for actuarial students who are studying the relevant parts of their professional bodies' examinations, as well as by others who are new to the subject. More experienced insurance and other professionals can use the book to refresh or expand their knowledge in any of the wide range of reserving topics covered in the book.
Author : Rob Kaas
Publisher : Springer Science & Business Media
ISBN 13 : 3540867368
Total Pages : 394 pages
Book Rating : 4.5/5 (48 download)
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.
Author : Philip J. Boland
Publisher : CRC Press
ISBN 13 : 158488696X
Total Pages : 368 pages
Book Rating : 4.5/5 (848 download)
Download or read book Statistical and Probabilistic Methods in Actuarial Science written by Philip J. Boland and published by CRC Press. This book was released on 2007-03-05 with total page 368 pages. Available in PDF, EPUB and Kindle. Book excerpt: Statistical and Probabilistic Methods in Actuarial Science covers many of the diverse methods in applied probability and statistics for students aspiring to careers in insurance, actuarial science, and finance. The book builds on students' existing knowledge of probability and statistics by establishing a solid and thorough understanding of
Author : Thomas Mikosch
Publisher : Springer Science & Business Media
ISBN 13 : 3540882332
Total Pages : 435 pages
Book Rating : 4.5/5 (48 download)
Download or read book Non-Life Insurance Mathematics written by Thomas Mikosch and published by Springer Science & Business Media. This book was released on 2009-04-21 with total page 435 pages. Available in PDF, EPUB and Kindle. Book excerpt: "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....The reader gets to know how the underlying probabilistic structures allow one to determine premiums in a portfolio or in an individual policy." --Zentralblatt für Didaktik der Mathematik
Author : Annamaria Olivieri
Publisher : Springer
ISBN 13 : 3319213776
Total Pages : 521 pages
Book Rating : 4.3/5 (192 download)
Download or read book Introduction to Insurance Mathematics written by Annamaria Olivieri and published by Springer. This book was released on 2015-09-30 with total page 521 pages. Available in PDF, EPUB and Kindle. Book excerpt: This second edition expands the first chapters, which focus on the approach to risk management issues discussed in the first edition, to offer readers a better understanding of the risk management process and the relevant quantitative phases. In the following chapters the book examines life insurance, non-life insurance and pension plans, presenting the technical and financial aspects of risk transfers and insurance without the use of complex mathematical tools. The book is written in a comprehensible style making it easily accessible to advanced undergraduate and graduate students in Economics, Business and Finance, as well as undergraduate students in Mathematics who intend starting on an actuarial qualification path. With the systematic inclusion of practical topics, professionals will find this text useful when working in insurance and pension related areas, where investments, risk analysis and financial reporting play a major role.
Author :
Publisher :
ISBN 13 :
Total Pages : 620 pages
Book Rating : 4.3/5 (91 download)
Download or read book Foundations of Casualty Actuarial Science written by and published by . This book was released on 1996 with total page 620 pages. Available in PDF, EPUB and Kindle. Book excerpt:
