Modern Actuarial Risk Theory

  • Rob Kaas
  • Marc Goovaerts
  • Jan Dhaene
  • Michel Denuit

Table of contents

  1. Front Matter
    Pages i-xviii
  2. Pages 81-109
  3. Pages 111-126
  4. Pages 127-138
  5. Pages 139-168
  6. Pages 203-221
  7. Pages 223-271
  8. Back Matter
    Pages 273-309

About this book

Introduction

Apart from standard actuarial theory, Modern Actuarial Risk Theory contains methods that are relevant for actuarial practice, for instance the rating of automobile insurance policies, premium principles and IBNR models, as well as generalized linear models with an eye on actuarial applications. Furthermore extensive introductions are given to credibility theory and ordering of risks. The book reflects the state of the art in actuarial risk theory. In addition to some chapters which are compatible with official material of actuarial education in North-America, Europe and other parts of the world, the book contains important material on topics that are relevant for recent insurance and actuarial developments including determining solvency measures, fair-value computations, reserving, ranking of risks, modelling dependencies and the use of generalized linear models. Basic ideas on risk measures in the framework of insurance premiums are also considered. The numerous exercises contained in Modern Actuarial Risk Theory, together with the hints for solving the more difficult ones and the numerical answers to many others, make the book useful as a textbook. Some important practical paradigms in insurance are presented in a way that is appealing to actuaries in their daily business. The mathematical background assumed is on a level such as acquired in the first stage of a bachelors program in quantitative economics or mathematical statistics.

Keywords

business mathematical statistics modeling parapluprod statistics

Authors and affiliations

  • Rob Kaas
    • 1
  • Marc Goovaerts
    • 1
    • 2
  • Jan Dhaene
    • 1
    • 2
  • Michel Denuit
    • 2
  1. 1.University of AmsterdamThe Netherlands
  2. 2.Catholic University of LeuvenBelgium

Bibliographic information

  • DOI https://doi.org/10.1007/b109818
  • Copyright Information Kluwer Academic Publishers 2002
  • Publisher Name Springer, Boston, MA
  • eBook Packages Springer Book Archive
  • Print ISBN 978-0-7923-7636-1
  • Online ISBN 978-0-306-47603-7
  • About this book
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