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Informationen zum Autor STUART A. KLUGMAN, PhD, is Staff Fellow (Education) at the Society of Actuaries and Principal Financial Group Distinguished Professor Emeritus of Actuarial Science at Drake University. Dr. Klugman is a two-time recipient of the Society of Actuaries' Presidential Award.HARRY H. PANJER, PhD, is Distinguished Professor Emeritus in the Department of Statistics and Actuarial Science at the University of Waterloo, Canada. Dr. Panjer was previously president of the Canadian Institute of Actuaries and the Society of Actuaries.GORDON E. WILLMOT, PhD, is Munich Re Chair in Insurance and Professor in the Department of Statistics and Actuarial Science at the University of Waterloo, Canada. Dr. Willmot has authored more than eighty-five articles in the areas of risk theory, queuing theory, distribution theory, and stochastic modeling in insurance. Klappentext An essential resource for constructing and analyzing advanced actuarial modelsLoss Models: Further Topics presents extended coverage of modeling through the use of tools related to risk theory, loss distributions, and survival models. The book uses these methods to construct and evaluate actuarial models in the fields of insurance and business. Providing an advanced study of actuarial methods, the book features extended discussions of risk modeling and risk measures, including Tail-Value-at-Risk. Loss Models: Further Topics contains additional material to accompany the Fourth Edition of Loss Models: From Data to Decisions, such as:* Extreme value distributions* Coxian and related distributions* Mixed Erlang distributions* Computational and analytical methods for aggregate claim models* Counting processes* Compound distributions with time-dependent claim amounts* Copula models* Continuous time ruin models* Interpolation and smoothingThe book is an essential reference for practicing actuaries and actuarial researchers who want to go beyond the material required for actuarial qualification. Loss Models: Further Topics is also an excellent resource for graduate students in the actuarial field. Zusammenfassung An essential resource for constructing and analyzing advanced actuarial models Loss Models: Further Topics presents extended coverage of modeling through the use of tools related to risk theory, loss distributions, and survival models. Inhaltsverzeichnis Preface xi1 Introduction 12 Coxian and related distributions 32.1 Introduction 32.2 Combinations of exponentials 42.3 Coxian-2 distributions 83 Mixed Erlang distributions 113.1 Introduction 113.2 Members of the mixed Erlang class 133.3 Distributional properties 183.4 Mixed Erlang claim severity models 224 Extreme value distributions 254.1 Introduction 254.2 Distribution of the maximum 274.3 Stability of the maximum of the extreme value distribution 314.4 The Fisher--Tippett theorem 334.5 Maximum domain of attraction 344.6 Generalized Pareto distributions 374.7 Stability of excesses of the generalized Pareto 394.8 Limiting distributions of excesses 404.9 Parameter estimation 425 Analytic and related methods for aggregate claim models 555.1 Introduction 555.2 Elementary approaches 585.3 Discrete analogues 635.4 Right-tail asymptotics for aggregate losses 676 Computational methods for aggregate models 776.1 Recursive techniques for compound distributions 776.2 Inversion methods 796.3 Calculations with approximate distributions 846.4 Comparison of methods 906.5 The individual risk model 917 Counting Processes 1017.1 Nonhomogeneous birth processes 1017.2 Mixed Poisson processes 1178 Discrete Claim Count Models 1258.1 Unification of the (a, b, 1) and mixed Poisson classes 1258.2 A class of discrete generalized tail-based distributions 1338.3 Higher order generalized tail-based distributions 1408.4 Mixed Poisson properties of generalized tail-based distributions 1468.5 Compoun...
