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A Multivariate Claim Count Model for Applications in Insurance

  • Daniela Anna Selch
  • Matthias Scherer

Part of the Springer Actuarial book series (SPACT)

Table of contents

  1. Front Matter
    Pages i-xii
  2. Daniela Anna Selch, Matthias Scherer
    Pages 1-12
  3. Daniela Anna Selch, Matthias Scherer
    Pages 13-72
  4. Daniela Anna Selch, Matthias Scherer
    Pages 73-110
  5. Daniela Anna Selch, Matthias Scherer
    Pages 111-136
  6. Daniela Anna Selch, Matthias Scherer
    Pages 137-150
  7. Back Matter
    Pages 151-158

About this book

Introduction

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.

Keywords

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

Authors and affiliations

  • Daniela Anna Selch
    • 1
  • Matthias Scherer
    • 2
  1. 1.Quantitative AnalyticsBarclaysLondonUK
  2. 2.Lehrstuhl für FinanzmathematikTechnische Universität MünchenMunichGermany

Bibliographic information

  • DOI https://doi.org/10.1007/978-3-319-92868-5
  • Copyright Information Springer Nature Switzerland AG 2018
  • Publisher Name Springer, Cham
  • eBook Packages Mathematics and Statistics
  • Print ISBN 978-3-319-92867-8
  • Online ISBN 978-3-319-92868-5
  • Series Print ISSN 2523-3262
  • Series Online ISSN 2523-3270
  • Buy this book on publisher's site
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