Stochastic Claims Reserving Methods In Insurance
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Stochastic Claims Reserving Methods In Insurance
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Author : Mario V. Wüthrich
language : en
Publisher: John Wiley & Sons
Release Date : 2008-04-30
Stochastic Claims Reserving Methods In Insurance written by Mario V. Wüthrich 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 2008-04-30 with Business & Economics categories.
Claims reserving is central to the insurance industry. Insurance liabilities depend on a number of different risk factors which need to be predicted accurately. This prediction of risk factors and outstanding loss liabilities is the core for pricing insurance products, determining the profitability of an insurance company and for considering the financial strength (solvency) of the company. Following several high-profile company insolvencies, regulatory requirements have moved towards a risk-adjusted basis which has lead to the Solvency II developments. The key focus in the new regime is that financial companies need to analyze adverse developments in their portfolios. Reserving actuaries now have to not only estimate reserves for the outstanding loss liabilities but also to quantify possible shortfalls in these reserves that may lead to potential losses. Such an analysis requires stochastic modeling of loss liability cash flows and it can only be done within a stochastic framework. Therefore stochastic loss liability modeling and quantifying prediction uncertainties has become standard under the new legal framework for the financial industry. This book covers all the mathematical theory and practical guidance needed in order to adhere to these stochastic techniques. Starting with the basic mathematical methods, working right through to the latest developments relevant for practical applications; readers will find out how to estimate total claims reserves while at the same time predicting errors and uncertainty are quantified. Accompanying datasets demonstrate all the techniques, which are easily implemented in a spreadsheet. A practical and essential guide, this book is a must-read in the light of the new solvency requirements for the whole insurance industry.
Bayesian Claims Reserving Methods In Non Life Insurance With Stan
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Author : Guangyuan Gao
language : en
Publisher: Springer
Release Date : 2018-12-31
Bayesian Claims Reserving Methods In Non Life Insurance With Stan written by Guangyuan Gao and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-12-31 with Mathematics categories.
This book first provides a review of various aspects of Bayesian statistics. It then investigates three types of claims reserving models in the Bayesian framework: chain ladder models, basis expansion models involving a tail factor, and multivariate copula models. For the Bayesian inferential methods, this book largely relies on Stan, a specialized software environment which applies Hamiltonian Monte Carlo method and variational Bayes.
Stochastic Loss Reserving Using Generalized Linear Models
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Author : Greg Taylor
language : en
Publisher:
Release Date : 2016-05-04
Stochastic Loss Reserving Using Generalized Linear Models written by Greg Taylor and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-05-04 with categories.
In this monograph, authors Greg Taylor and Gráinne McGuire discuss generalized linear models (GLM) for loss reserving, beginning with strong emphasis on the chain ladder. The chain ladder is formulated in a GLM context, as is the statistical distribution of the loss reserve. This structure is then used to test the need for departure from the chain ladder model and to consider natural extensions of the chain ladder model that lend themselves to the GLM framework.
Computation And Modelling In Insurance And Finance
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Author : Erik Bølviken
language : en
Publisher: Cambridge University Press
Release Date : 2014-04-10
Computation And Modelling In Insurance And Finance written by Erik Bølviken 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 2014-04-10 with Business & Economics categories.
This practical introduction outlines methods for analysing actuarial and financial risk at a fairly elementary mathematical level suitable for graduate students, actuaries and other analysts in the industry who could use simulation as a problem solver. Numerous exercises with R-code illustrate the text.
Loss Reserving
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Author : Gregory Taylor
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06
Loss Reserving written by Gregory Taylor 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 2012-12-06 with Business & Economics categories.
All property and casualty insurers are required to carry out loss reserving as a statutory accounting function. Thus, loss reserving is an essential sphere of activity, and one with its own specialized body of knowledge. While few books have been devoted to the topic, the amount of published research literature on loss reserving has almost doubled in size during the last fifteen years. Greg Taylor's book aims to provide a comprehensive, state-of-the-art treatment of loss reserving that reflects contemporary research advances to date. Divided into two parts, the book covers both the conventional techniques widely used in practice, and more specialized loss reserving techniques employing stochastic models. Part I, Deterministic Models, covers very practical issues through the abundant use of numerical examples that fully develop the techniques under consideration. Part II, Stochastic Models, begins with a chapter that sets up the additional theoretical material needed to illustrate stochastic modeling. The remaining chapters in Part II are self-contained, and thus can be approached independently of each other. A special feature of the book is the use throughout of a single real life data set to illustrate the numerical examples and new techniques presented. The data set illustrates most of the difficult situations presented in actuarial practice. This book will meet the needs for a reference work as well as for a textbook on loss reserving.
Handbook On Loss Reserving
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Author : Michael Radtke
language : en
Publisher: Springer
Release Date : 2016-10-26
Handbook On Loss Reserving written by Michael Radtke and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-10-26 with Business & Economics categories.
This handbook presents the basic aspects of actuarial loss reserving. Besides the traditional methods, it also includes a description of more recent ones and a discussion of certain problems occurring in actuarial practice, like inflation, scarce data, large claims, slow loss development, the use of market statistics, the need for simulation techniques and the task of calculating best estimates and ranges of future losses. In property and casualty insurance the provisions for payment obligations from losses that have occurred but have not yet been settled usually constitute the largest item on the liabilities side of an insurer's balance sheet. For this reason, the determination and evaluation of these loss reserves is of considerable economic importance for every property and casualty insurer. Actuarial students, academics as well as practicing actuaries will benefit from this overview of the most important actuarial methods of loss reserving by developing an understanding of the underlying stochastic models and how to practically solve some problems which may occur in actuarial practice.
Market Consistent Actuarial Valuation
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Author : Mario V. Wüthrich
language : en
Publisher: Springer Science & Business Media
Release Date : 2010-09-02
Market Consistent Actuarial Valuation written by Mario V. Wüthrich 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 2010-09-02 with Mathematics categories.
It is a challenging task to read the balance sheet of an insurance company. This derives from the fact that different positions are often measured by different yardsticks. Assets, for example, are mostly valued at market prices whereas liabilities are often measured by established actuarial methods. However, there is a general agreement that the balance sheet of an insurance company should be measured in a consistent way. Market-Consistent Actuarial Valuation presents powerful methods to measure liabilities and assets in a consistent way. The mathematical framework that leads to market-consistent values for insurance liabilities is explained in detail by the authors. Topics covered are stochastic discounting with deflators, valuation portfolio in life and non-life insurance, probability distortions, asset and liability management, financial risks, insurance technical risks, and solvency.
A Guide To Insurance Management
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Author : Stephen Diacon
language : en
Publisher: Springer
Release Date : 2016-07-27
A Guide To Insurance Management written by Stephen Diacon and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-07-27 with Business & Economics categories.
This book makes a substantial contribution to the general level of management education in insurance by providing a comprehensive review of the main issues facing the management of insurance enterprises. Nineteen authors with considerable practical as well as academic experience have collaborated to give an international perspective in areas such as strategy, corporate planning, organisation and staffing, costing, underwriting and premium rating, marketing, reserving and investment, profit analysis, and regulation.
Statistical And Probabilistic Methods In Actuarial Science
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Author : Philip J. Boland
language : en
Publisher: CRC Press
Release Date : 2007-03-05
Statistical And Probabilistic Methods In Actuarial Science written by Philip J. Boland and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007-03-05 with Business & Economics categories.
Statistical and Probabilistic Methods in Actuarial Science covers many of the diverse methods in applied probability and statistics for students aspiring to careers in insurance, actuarial science, and finance. The book builds on students' existing knowledge of probability and statistics by establishing a solid and thorough understanding of