Asymptotic Statistics In Insurance Risk Theory
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Asymptotic Statistics In Insurance Risk Theory
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Author : Yasutaka Shimizu
language : en
Publisher: Springer Nature
Release Date : 2022-01-21
Asymptotic Statistics In Insurance Risk Theory written by Yasutaka Shimizu and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022-01-21 with Business & Economics categories.
This book begins with the fundamental large sample theory, estimating ruin probability, and ends by dealing with the latest issues of estimating the Gerber–Shiu function. This book is the first to introduce the recent development of statistical methodologies in risk theory (ruin theory) as well as their mathematical validities. Asymptotic theory of parametric and nonparametric inference for the ruin-related quantities is discussed under the setting of not only classical compound Poisson risk processes (Cramér–Lundberg model) but also more general Lévy insurance risk processes. The recent development of risk theory can deal with many kinds of ruin-related quantities: the probability of ruin as well as Gerber–Shiu’s discounted penalty function, both of which are useful in insurance risk management and in financial credit risk analysis. In those areas, the common stochastic models are used in the context of the structural approach of companies’ default. So far, the probabilistic point of view has been the main concern for academic researchers. However, this book emphasizes the statistical point of view because identifying the risk model is always necessary and is crucial in the final step of practical risk management.
Asymptotic Statistics In Insurance Risk Theory
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Author : Yasutaka Shimizu
language : en
Publisher:
Release Date : 2021
Asymptotic Statistics In Insurance Risk Theory written by Yasutaka Shimizu and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021 with Risk (Insurance) categories.
This book begins with the fundamental large sample theory, estimating ruin probability, and ends by dealing with the latest issues of estimating the Gerber-Shiu function. This book is the first to introduce the recent development of statistical methodologies in risk theory (ruin theory) as well as their mathematical validities. Asymptotic theory of parametric and nonparametric inference for the ruin-related quantities is discussed under the setting of not only classical compound Poisson risk processes (Cramér-Lundberg model) but also more general Lévy insurance risk processes. The recent development of risk theory can deal with many kinds of ruin-related quantities: the probability of ruin as well as Gerber-Shiu's discounted penalty function, both of which are useful in insurance risk management and in financial credit risk analysis. In those areas, the common stochastic models are used in the context of the structural approach of companies' default. So far, the probabilistic point of view has been the main concern for academic researchers. However, this book emphasizes the statistical point of view because identifying the risk model is always necessary and is crucial in the final step of practical risk management.
Fundamentals Of Nonparametric Bayesian Inference
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Author : Subhashis Ghosal
language : en
Publisher: Cambridge University Press
Release Date : 2017-06-26
Fundamentals Of Nonparametric Bayesian Inference written by Subhashis Ghosal and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-06-26 with Business & Economics categories.
Bayesian nonparametrics comes of age with this landmark text synthesizing theory, methodology and computation.
Asymptotic Analysis Of Random Walks
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Author : Aleksandr Alekseevich Borovkov
language : en
Publisher: Cambridge University Press
Release Date : 2008
Asymptotic Analysis Of Random Walks written by Aleksandr Alekseevich Borovkov and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with Asymptotic expansions categories.
This monograph is devoted to studying the asymptotic behaviour of the probabilities of large deviations of the trajectories of random walks, with 'heavy-tailed' (in particular, regularly varying, sub- and semiexponential) jump distributions. It presents a unified and systematic exposition.
Asymptotic Theory Of Statistics And Probability
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Author : Anirban DasGupta
language : en
Publisher: Springer Science & Business Media
Release Date : 2008-03-07
Asymptotic Theory Of Statistics And Probability written by Anirban DasGupta and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008-03-07 with Mathematics categories.
This unique book delivers an encyclopedic treatment of classic as well as contemporary large sample theory, dealing with both statistical problems and probabilistic issues and tools. The book is unique in its detailed coverage of fundamental topics. It is written in an extremely lucid style, with an emphasis on the conceptual discussion of the importance of a problem and the impact and relevance of the theorems. There is no other book in large sample theory that matches this book in coverage, exercises and examples, bibliography, and lucid conceptual discussion of issues and theorems.
Generalized Poisson Models And Their Applications In Insurance And Finance
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Author : Vladimir E. Bening
language : en
Publisher: Walter de Gruyter
Release Date : 2012-06-11
Generalized Poisson Models And Their Applications In Insurance And Finance written by Vladimir E. Bening and has been published by Walter de Gruyter this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-06-11 with Business & Economics categories.
The series is devoted to the publication of high-level monographs and surveys which cover the whole spectrum of probability and statistics. The books of the series are addressed to both experts and advanced students.
Fundamental Aspects Of Operational Risk And Insurance Analytics
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Author : Marcelo G. Cruz
language : en
Publisher: John Wiley & Sons
Release Date : 2015-01-29
Fundamental Aspects Of Operational Risk And Insurance Analytics written by Marcelo G. Cruz and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-01-29 with Mathematics categories.
A one-stop guide for the theories, applications, and statistical methodologies essential to operational risk Providing a complete overview of operational risk modeling and relevant insurance analytics, Fundamental Aspects of Operational Risk and Insurance Analytics: A Handbook of Operational Risk offers a systematic approach that covers the wide range of topics in this area. Written by a team of leading experts in the field, the handbook presents detailed coverage of the theories, applications, and models inherent in any discussion of the fundamentals of operational risk, with a primary focus on Basel II/III regulation, modeling dependence, estimation of risk models, and modeling the data elements. Fundamental Aspects of Operational Risk and Insurance Analytics: A Handbook of Operational Risk begins with coverage on the four data elements used in operational risk framework as well as processing risk taxonomy. The book then goes further in-depth into the key topics in operational risk measurement and insurance, for example diverse methods to estimate frequency and severity models. Finally, the book ends with sections on specific topics, such as scenario analysis; multifactor modeling; and dependence modeling. A unique companion with Advances in Heavy Tailed Risk Modeling: A Handbook of Operational Risk, the handbook also features: Discussions on internal loss data and key risk indicators, which are both fundamental for developing a risk-sensitive framework Guidelines for how operational risk can be inserted into a firm’s strategic decisions A model for stress tests of operational risk under the United States Comprehensive Capital Analysis and Review (CCAR) program A valuable reference for financial engineers, quantitative analysts, risk managers, and large-scale consultancy groups advising banks on their internal systems, the handbook is also useful for academics teaching postgraduate courses on the methodology of operational risk.
Mathematical Risk Analysis
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Author : Ludger Rüschendorf
language : en
Publisher: Springer Science & Business Media
Release Date : 2013-03-12
Mathematical Risk Analysis written by Ludger Rüschendorf and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-03-12 with Mathematics categories.
The author's particular interest in the area of risk measures is to combine this theory with the analysis of dependence properties. The present volume gives an introduction of basic concepts and methods in mathematical risk analysis, in particular of those parts of risk theory that are of special relevance to finance and insurance. Describing the influence of dependence in multivariate stochastic models on risk vectors is the main focus of the text that presents main ideas and methods as well as their relevance to practical applications. The first part introduces basic probabilistic tools and methods of distributional analysis, and describes their use to the modeling of dependence and to the derivation of risk bounds in these models. In the second, part risk measures with a particular focus on those in the financial and insurance context are presented. The final parts are then devoted to applications relevant to optimal risk allocation, optimal portfolio problems as well as to the optimization of insurance contracts. Good knowledge of basic probability and statistics as well as of basic general mathematics is a prerequisite for comfortably reading and working with the present volume, which is intended for graduate students, practitioners and researchers and can serve as a reference resource for the main concepts and techniques.
Ruin Probabilities
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Author : Yuliya Mishura
language : en
Publisher: Elsevier
Release Date : 2016-11-08
Ruin Probabilities written by Yuliya Mishura and has been published by Elsevier this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-11-08 with Mathematics categories.
Ruin Probabilities: Smoothness, Bounds, Supermartingale Approach deals with continuous-time risk models and covers several aspects of risk theory. The first of them is the smoothness of the survival probabilities. In particular, the book provides a detailed investigation of the continuity and differentiability of the infinite-horizon and finite-horizon survival probabilities for different risk models. Next, it gives some possible applications of the results concerning the smoothness of the survival probabilities. Additionally, the book introduces the supermartingale approach, which generalizes the martingale one introduced by Gerber, to get upper exponential bounds for the infinite-horizon ruin probabilities in some generalizations of the classical risk model with risky investments. - Provides new original results - Detailed investigation of the continuity and differentiability of the infinite-horizon and finite-horizon survival probabilities, as well as possible applications of these results - An excellent supplement to current textbooks and monographs in risk theory - Contains a comprehensive list of useful references
Reinsurance
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Author : Hansjörg Albrecher
language : en
Publisher: John Wiley & Sons
Release Date : 2017-08-21
Reinsurance written by Hansjörg Albrecher and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-08-21 with Mathematics categories.
Reinsurance: Actuarial and Statistical Aspects provides a survey of both the academic literature in the field as well as challenges appearing in reinsurance practice and puts the two in perspective. The book is written for researchers with an interest in reinsurance problems, for graduate students with a basic knowledge of probability and statistics as well as for reinsurance practitioners. The focus of the book is on modelling together with the statistical challenges that go along with it. The discussed statistical approaches are illustrated alongside six case studies of insurance loss data sets, ranging from MTPL over fire to storm and flood loss data. Some of the presented material also contains new results that have not yet been published in the research literature. An extensive bibliography provides readers with links for further study.