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Financial modeling, actuarial valuation and solvency in insurance / / Mario V. Wuthrich, Michael Merz
| Financial modeling, actuarial valuation and solvency in insurance / / Mario V. Wuthrich, Michael Merz |
| Autore | Wuthrich Mario V |
| Edizione | [1st ed. 2013.] |
| Pubbl/distr/stampa | Berlin ; ; Heidleberg, : Springer-Verlag, 2013 |
| Descrizione fisica | 1 online resource (xiv, 432 pages) : illustrations |
| Disciplina | 368.01 |
| Altri autori (Persone) | MerzMichael |
| Collana | Springer Finance |
| Soggetto topico |
Finance - Mathematical models
Actuarial science |
| ISBN | 3-642-31392-2 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | 1.Introduction -- Part I: Financial Valuation Principles -- 2.State price deflators and stochastic discounting -- 3.spot rate models -- 4.Stochastic forward rate and yield curve modeling -- 5.Pricing of financial assets -- Part II: Actuarial Valuation and Solvency -- 6.Actuarial and financial modeling -- 7.Valuation portfolio -- 8.Protected valuation portfolio -- 9.Solvency -- 10.Selected topics and examples -- Part III: Appendix -- 11.Auxiliary considerations -- References -- Index. |
| Record Nr. | UNINA-9910437867903321 |
Wuthrich Mario V
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| Berlin ; ; Heidleberg, : Springer-Verlag, 2013 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Stochastic claims reserving methods in insurance / / Mario V. Wuthrich and Michael Merz
| Stochastic claims reserving methods in insurance / / Mario V. Wuthrich and Michael Merz |
| Autore | Wuthrich Mario V |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | Chichester, England ; ; Hoboken, NJ, : John Wiley & Sons, c2008 |
| Descrizione fisica | 1 online resource (440 p.) |
| Disciplina | 368/.0140151922 |
| Altri autori (Persone) | MerzMichael |
| Collana | Wiley finance series |
| Soggetto topico |
Insurance claims - Mathematical models
Assegurances Models matemàtics |
| Soggetto genere / forma | Llibres electrònics |
| ISBN |
1-119-20626-X
1-282-35012-9 9786612350122 0-470-77272-7 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Stochastic Claims Reserving Methods in Insurance; Contents; Preface; Acknowledgement; 1 Introduction and Notation; 1.1 Claims process; 1.1.1 Accounting principles and accident years; 1.1.2 Inflation; 1.2 Structural framework to the claims-reserving problem; 1.2.1 Fundamental properties of the claims reserving process; 1.2.2 Known and unknown claims; 1.3 Outstanding loss liabilities, classical notation; 1.4 General remarks; 2 Basic Methods; 2.1 Chain-ladder method (distribution-free); 2.2 Bornhuetter-Ferguson method; 2.3 Number of IBNyR claims, Poisson model
2.4 Poisson derivation of the CL algorithm3 Chain-Ladder Models; 3.1 Mean square error of prediction; 3.2 Chain-ladder method; 3.2.1 Mack model (distribution-free CL model); 3.2.2 Conditional process variance; 3.2.3 Estimation error for single accident years; 3.2.4 Conditional MSEP, aggregated accident years; 3.3 Bounds in the unconditional approach; 3.3.1 Results and interpretation; 3.3.2 Aggregation of accident years; 3.3.3 Proof of Theorems 3.17, 3.18 and 3.20; 3.4 Analysis of error terms in the CL method; 3.4.1 Classical CL model; 3.4.2 Enhanced CL model; 3.4.3 Interpretation 3.4.4 CL estimator in the enhanced model3.4.5 Conditional process and parameter prediction errors; 3.4.6 CL factors and parameter estimation error; 3.4.7 Parameter estimation; 4 Bayesian Models; 4.1 Benktander-Hovinen method and Cape-Cod model; 4.1.1 Benktander-Hovinen method; 4.1.2 Cape-Cod model; 4.2 Credible claims reserving methods; 4.2.1 Minimizing quadratic loss functions; 4.2.2 Distributional examples to credible claims reserving; 4.2.3 Log-normal/Log-normal model; 4.3 Exact Bayesian models; 4.3.1 Overdispersed Poisson model with gamma prior distribution 4.3.2 Exponential dispersion family with its associated conjugates4.4 Markov chain Monte Carlo methods; 4.5 Bühlmann-Straub credibility model; 4.6 Multidimensional credibility models; 4.6.1 Hachemeister regression model; 4.6.2 Other credibility models; 4.7 Kalman filter; 5 Distributional Models; 5.1 Log-normal model for cumulative claims; 5.1.1 Known variances 2j; 5.1.2 Unknown variances; 5.2 Incremental claims; 5.2.1 (Overdispersed) Poisson model; 5.2.2 Negative-Binomial model; 5.2.3 Log-normal model for incremental claims; 5.2.4 Gamma model; 5.2.5 Tweedie's compound Poisson model 5.2.6 Wright's model6 Generalized Linear Models; 6.1 Maximum likelihood estimators; 6.2 Generalized linear models framework; 6.3 Exponential dispersion family; 6.4 Parameter estimation in the EDF; 6.4.1 MLE for the EDF; 6.4.2 Fisher's scoring method; 6.4.3 Mean square error of prediction; 6.5 Other GLM models; 6.6 Bornhuetter-Ferguson method, revisited; 6.6.1 MSEP in the BF method, single accident year; 6.6.2 MSEP in the BF method, aggregated accident years; 7 Bootstrap Methods; 7.1 Introduction; 7.1.1 Efron's non-parametric bootstrap; 7.1.2 Parametric bootstrap 7.2 Log-normal model for cumulative sizes |
| Record Nr. | UNINA-9910816349003321 |
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Wuthrich Mario V
|
||
| Chichester, England ; ; Hoboken, NJ, : John Wiley & Sons, c2008 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||