Non-Life Insurance Pricing with Generalized Linear Models

Springer Science & Business Media
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Non-life insurance pricing is the art of setting the price of an insurance policy, taking into consideration varoius properties of the insured object and the policy holder. Introduced by British actuaries generalized linear models (GLMs) have become today a the standard aproach for tariff analysis.

The book focuses on methods based on GLMs that have been found useful in actuarial practice and provides a set of tools for a tariff analysis. Basic theory of GLMs in a tariff analysis setting is presented with useful extensions of standarde GLM theory that are not in common use.

The book meets the European Core Syllabus for actuarial education and is written for actuarial students as well as practicing actuaries. To support reader real data of some complexity are provided at www.math.su.se/GLMbook.

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Additional Information

Publisher
Springer Science & Business Media
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Published on
Mar 18, 2010
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Pages
174
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ISBN
9783642107917
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Best For
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Language
English
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Genres
Business & Economics / Accounting / General
Business & Economics / General
Business & Economics / Statistics
Mathematics / Applied
Mathematics / Probability & Statistics / General
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Content Protection
This content is DRM protected.
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The topic of credibility theory has been for many years — and still is — one of our major interests. This interest has led us not only to many publications, but also has been the motivation for teaching many courses on this topic over more than 20 years. These courses have undergone considerable changes over time. What we present here, “A Course in Credibility Theory and its Applications”, is the ?nal product of this evolution. Credibility theory can be seen as the basic paradigm underlying the pricing of insurance products. It resides on the two fundamental concepts “individual risk” and “collective” and solves in a rigorous way the problem of how to analyse the information obtained from these sources to arrive at the “insurance premium”. The expression “credibility” was originally coined for the weight given to the experience from the “individual risk”. Credibility theory as a mathematical discipline borrows its methods from 2 many ?elds of mathematics, e. g. Bayesian statistics, L Hilbert space te- niques, least squares, and state space modelling to mention only the most important ones. However, credibility theory remains a lifeless topic if it is not linked closely with its applications. Only through these applications has cr- ibility won its status in insurance thinking. The present book aims to convey this dual aspect of credibility and to transmit the ?avour of the insurance applications also to those readers who are not directly involved in insurance activities.
Understand Up-to-Date Statistical Techniques for Financial and Actuarial Applications

Since the first edition was published, statistical techniques, such as reliability measurement, simulation, regression, and Markov chain modeling, have become more prominent in the financial and actuarial industries. Consequently, practitioners and students must acquire strong mathematical and statistical backgrounds in order to have successful careers.

Financial and Actuarial Statistics: An Introduction, Second Edition enables readers to obtain the necessary mathematical and statistical background. It also advances the application and theory of statistics in modern financial and actuarial modeling. Like its predecessor, this second edition considers financial and actuarial modeling from a statistical point of view while adding a substantial amount of new material.

New to the Second Edition

Nomenclature and notations standard to the actuarial field Excel exercises with solutions, which demonstrate how to use Excel functions for statistical and actuarial computations Problems dealing with standard probability and statistics theory, along with detailed equation links A chapter on Markov chains and actuarial applications Expanded discussions of simulation techniques and applications, such as investment pricing Sections on the maximum likelihood approach to parameter estimation as well as asymptotic applications Discussions of diagnostic procedures for nonnegative random variables and Pareto, lognormal, Weibull, and left truncated distributions Expanded material on surplus models and ruin computations Discussions of nonparametric prediction intervals, option pricing diagnostics, variance of the loss function associated with standard actuarial models, and Gompertz and Makeham distributions Sections on the concept of actuarial statistics for a collection of stochastic status models

The book presents a unified approach to both financial and actuarial modeling through the use of general status structures. The authors define future time-dependent financial actions in terms of a status structure that may be either deterministic or stochastic. They show how deterministic status structures lead to classical interest and annuity models, investment pricing models, and aggregate claim models. They also employ stochastic status structures to develop financial and actuarial models, such as surplus models, life insurance, and life annuity models.

When "Financial Risk in Insurance" appeared in 1995, we would not have imag ined that this text would find such a wide readership. After all actuarial col leagues had received the text automatically through their subscription to the 1993 AFIR colloquium in Rome. So the demand must have come from outside of our own professional circles, we believe from researchers and practitioners in finance. Both in 1996 and 1997 further copies needed to be printed. We therefore applaud the initiative by Springer to make this text available in the form of a soft-cover edition. We hope that this new edition will further contribute to the very fruitful dialogue between actuaries and professionals in finance and will be helpful in the cultural thought process bringing the world of banking and insurance closer to each other. Zurich, 1 June, 1999 In the name of the authors Hans Buhlmann Preface The Istituto Nazionale delle Assicurazioni (INA), a leading company on the Ital ian life insurance market for over eighty years, takes special pleasure in sponsor ing this scientific volume meant for the large international community of those concerned with insurance and finance. Our involvement in this initiative is directly connected with the awareness that the domain of insurance, in particular with respect to the management of long-term insurance savings, is changing. This enlargement, emphatically notice able in the area of life insurance and pension funding, is extending to cover also the "interest rate risk" .
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