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Fundamentals of actuarial mathematics / / S. David Promislow
Fundamentals of actuarial mathematics / / S. David Promislow
Autore Promislow S. David
Edizione [Third edition.]
Pubbl/distr/stampa West Sussex, England : , : John Wiley & Sons Ltd, , 2015
Descrizione fisica 1 online resource (554 p.)
Disciplina 368/.01
Soggetto topico Insurance - Mathematics
Business mathematics
Soggetto genere / forma Electronic books.
ISBN 1-118-78252-6
1-118-78249-6
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto Fundamentals of Actuarial Mathematics; Contents; Preface; Acknowledgements; About the companion website; Part I THE DETERMINISTIC LIFE CONTINGENCIES MODEL; 1 Introduction and motivation; 1.1 Risk and insurance; 1.2 Deterministic versus stochastic models; 1.3 Finance and investments; 1.4 Adequacy and equity; 1.5 Reassessment; 1.6 Conclusion; 2 The basic deterministic model; 2.1 Cash flows; 2.2 An analogy with currencies; 2.3 Discount functions; 2.4 Calculating the discount function; 2.5 Interest and discount rates; 2.6 Constant interest; 2.7 Values and actuarial equivalence
2.8 Vector notation2.9 Regular pattern cash flows; 2.10 Balances and reserves; 2.10.1 Basic concepts; 2.10.2 Relation between balances and reserves; 2.10.3 Prospective versus retrospective methods; 2.10.4 Recursion formulas; 2.11 Time shifting and the splitting identity; *2.11 Change of discount function; 2.12 Internal rates of return; *2.13 Forward prices and term structure; 2.14 Standard notation and terminology; 2.14.1 Standard notation for cash flows discounted with interest; 2.14.2 New notation; 2.15 Spreadsheet calculations; Notes and references; Exercises; 3 The life table
3.1 Basic definitions3.2 Probabilities; 3.3 Constructing the life table from the values of qx; 3.4 Life expectancy; 3.5 Choice of life tables; 3.6 Standard notation and terminology; 3.7 A sample table; Notes and references; Exercises; 4 Life annuities; 4.1 Introduction; 4.2 Calculating annuity premiums; 4.3 The interest and survivorship discount function; 4.3.1 The basic definition; 4.3.2 Relations between yx for various values of x; 4.4 Guaranteed payments; 4.5 Deferred annuities with annual premiums; 4.6 Some practical considerations; 4.6.1 Gross premiums; 4.6.2 Gender aspects
4.7 Standard notation and terminology4.8 Spreadsheet calculations; Exercises; 5 Life insurance; 5.1 Introduction; 5.2 Calculating life insurance premiums; 5.3 Types of life insurance; 5.4 Combined insurance-annuity benefits; 5.5 Insurances viewed as annuities; 5.6 Summary of formulas; 5.7 A general insurance-annuity identity; 5.7.1 The general identity; 5.7.2 The endowment identity; 5.8 Standard notation and terminology; 5.8.1 Single-premium notation; 5.8.2 Annual-premium notation; 5.8.3 Identities; 5.9 Spreadsheet applications; Exercises; 6 Insurance and annuity reserves
6.1 Introduction to reserves6.2 The general pattern of reserves; 6.3 Recursion; 6.4 Detailed analysis of an insurance or annuity contract; 6.4.1 Gains and losses; 6.4.2 The risk-savings decomposition; 6.5 Bases for reserves; 6.6 Nonforfeiture values; 6.7 Policies involving a return of the reserve; 6.8 Premium difference and paid-up formulas; 6.8.1 Premium difference formulas; 6.8.2 Paid-up formulas; 6.8.3 Level endowment reserves; 6.9 Standard notation and terminology; 6.10 Spreadsheet applications; Exercises; 7 Fractional durations; 7.1 Introduction
7.2 Cash flows discounted with interest only
Record Nr. UNINA-9910459987903321
Promislow S. David  
West Sussex, England : , : John Wiley & Sons Ltd, , 2015
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
Fundamentals of Actuarial Mathematics
Fundamentals of Actuarial Mathematics
Autore Promislow S. David
Edizione [3rd ed.]
Pubbl/distr/stampa New York : , : John Wiley & Sons, Incorporated, , 2015
Descrizione fisica 1 online resource (554 pages)
Disciplina 368/.01
Soggetto topico Insurance -- Mathematics
Business mathematics
Soggetto genere / forma Electronic books.
ISBN 9781118782491
9781118782460
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto Intro -- Fundamentals of Actuarial Mathematics -- Contents -- Preface -- Acknowledgements -- About the companion website -- Part I THE DETERMINISTIC LIFE CONTINGENCIES MODEL -- 1 Introduction and motivation -- 1.1 Risk and insurance -- 1.2 Deterministic versus stochastic models -- 1.3 Finance and investments -- 1.4 Adequacy and equity -- 1.5 Reassessment -- 1.6 Conclusion -- 2 The basic deterministic model -- 2.1 Cash flows -- 2.2 An analogy with currencies -- 2.3 Discount functions -- 2.4 Calculating the discount function -- 2.5 Interest and discount rates -- 2.6 Constant interest -- 2.7 Values and actuarial equivalence -- 2.8 Vector notation -- 2.9 Regular pattern cash flows -- 2.10 Balances and reserves -- 2.10.1 Basic concepts -- 2.10.2 Relation between balances and reserves -- 2.10.3 Prospective versus retrospective methods -- 2.10.4 Recursion formulas -- 2.11 Time shifting and the splitting identity -- *2.11 Change of discount function -- 2.12 Internal rates of return -- *2.13 Forward prices and term structure -- 2.14 Standard notation and terminology -- 2.14.1 Standard notation for cash flows discounted with interest -- 2.14.2 New notation -- 2.15 Spreadsheet calculations -- Notes and references -- Exercises -- 3 The life table -- 3.1 Basic definitions -- 3.2 Probabilities -- 3.3 Constructing the life table from the values of qx -- 3.4 Life expectancy -- 3.5 Choice of life tables -- 3.6 Standard notation and terminology -- 3.7 A sample table -- Notes and references -- Exercises -- 4 Life annuities -- 4.1 Introduction -- 4.2 Calculating annuity premiums -- 4.3 The interest and survivorship discount function -- 4.3.1 The basic definition -- 4.3.2 Relations between yx for various values of x -- 4.4 Guaranteed payments -- 4.5 Deferred annuities with annual premiums -- 4.6 Some practical considerations -- 4.6.1 Gross premiums.
4.6.2 Gender aspects -- 4.7 Standard notation and terminology -- 4.8 Spreadsheet calculations -- Exercises -- 5 Life insurance -- 5.1 Introduction -- 5.2 Calculating life insurance premiums -- 5.3 Types of life insurance -- 5.4 Combined insurance-annuity benefits -- 5.5 Insurances viewed as annuities -- 5.6 Summary of formulas -- 5.7 A general insurance-annuity identity -- 5.7.1 The general identity -- 5.7.2 The endowment identity -- 5.8 Standard notation and terminology -- 5.8.1 Single-premium notation -- 5.8.2 Annual-premium notation -- 5.8.3 Identities -- 5.9 Spreadsheet applications -- Exercises -- 6 Insurance and annuity reserves -- 6.1 Introduction to reserves -- 6.2 The general pattern of reserves -- 6.3 Recursion -- 6.4 Detailed analysis of an insurance or annuity contract -- 6.4.1 Gains and losses -- 6.4.2 The risk-savings decomposition -- 6.5 Bases for reserves -- 6.6 Nonforfeiture values -- 6.7 Policies involving a return of the reserve -- 6.8 Premium difference and paid-up formulas -- 6.8.1 Premium difference formulas -- 6.8.2 Paid-up formulas -- 6.8.3 Level endowment reserves -- 6.9 Standard notation and terminology -- 6.10 Spreadsheet applications -- Exercises -- 7 Fractional durations -- 7.1 Introduction -- 7.2 Cash flows discounted with interest only -- 7.3 Life annuities paid mthly -- 7.3.1 Uniform distribution of deaths -- 7.3.2 Present value formulas -- 7.4 Immediate annuities -- 7.5 Approximation and computation -- *7.6 Fractional period premiums and reserves -- 7.7 Reserves at fractional durations -- 7.8 Standard notation and terminology -- Exercises -- 8 Continuous payments -- 8.1 Introduction to continuous annuities -- 8.2 The force of discount -- 8.3 The constant interest case -- 8.4 Continuous life annuities -- 8.4.1 Basic definition -- 8.4.2 Evaluation -- 8.4.3 Life expectancy revisited -- 8.5 The force of mortality.
8.6 Insurances payable at the moment of death -- 8.6.1 Basic definitions -- 8.6.2 Evaluation -- 8.7 Premiums and reserves -- 8.8 The general insurance-annuity identity in the continuous case -- 8.9 Differential equations for reserves -- 8.10 Some examples of exact calculation -- 8.10.1 Constant force of mortality -- 8.10.2 Demoivre's law -- 8.10.3 An example of the splitting identity -- 8.11 Further approximations from the life table -- 8.12 Standard actuarial notation and terminology -- Notes and references -- Exercises -- 9 Select mortality -- 9.1 Introduction -- 9.2 Select and ultimate tables -- 9.3 Changes in formulas -- 9.4 Projections in annuity tables -- 9.5 Further remarks -- Exercises -- 10 Multiple-life contracts -- 10.1 Introduction -- 10.2 The joint-life status -- 10.3 Joint-life annuities and insurances -- 10.4 Last-survivor annuities and insurances -- 10.4.1 Basic results -- 10.4.2 Reserves on second-death insurances -- 10.5 Moment of death insurances -- 10.6 The general two-life annuity contract -- 10.7 The general two-life insurance contract -- 10.8 Contingent insurances -- 10.8.1 First-death contingent insurances -- 10.8.2 Second-death contingent insurances -- 10.8.3 Moment-of-death contingent insurances -- 10.8.4 General contingent probabilities -- 10.9 Duration problems -- *10.10 Applications to annuity credit risk -- 10.11 Standard notation and terminology -- 10.12 Spreadsheet applications -- Notes and references -- Exercises -- 11 Multiple-decrement theory -- 11.1 Introduction -- 11.2 The basic model -- 11.2.1 The multiple-decrement table -- 11.2.2 Quantities calculated from the multiple-decrement table -- 11.3 Insurances -- 11.4 Determining the model from the forces of decrement -- 11.5 The analogy with joint-life statuses -- 11.6 A machine analogy -- 11.6.1 Method 1 -- 11.6.2 Method 2 -- 11.7 Associated single-decrement tables.
11.7.1 The main methods -- 11.7.2 Forces of decrement in the associated single-decrement tables -- 11.7.3 Conditions justifying the two methods -- 11.7.4 Other approaches -- Notes and references -- Exercises -- 12 Expenses and profits -- 12.1 Introduction -- 12.2 Effect on reserves -- 12.3 Realistic reserve and balance calculations -- 12.4 Profit measurement -- 12.4.1 Advanced gain and loss analysis -- 12.4.2 Gains by source -- 12.4.3 Profit testing -- Notes and references -- Exercises -- *13 Specialized topics -- 13.1 Universal life -- 13.1.1 Description of the contract -- 13.1.2 Calculating account values -- 13.2 Variable annuities -- 13.3 Pension plans -- 13.3.1 DB plans -- 13.3.2 DC plans -- Exercises -- Part II THE STOCHASTIC LIFE CONTINGENCIES MODEL -- 14 Survival distributions and failure times -- 14.1 Introduction to survival distributions -- 14.2 The discrete case -- 14.3 The continuous case -- 14.3.1 The basic functions -- 14.3.2 Properties of -- 14.3.3 Modes -- 14.4 Examples -- 14.5 Shifted distributions -- 14.6 The standard approximation -- 14.7 The stochastic life table -- 14.8 Life expectancy in the stochastic model -- 14.9 Stochastic interest rates -- Notes and references -- Exercises -- 15 The stochastic approach to insurance and annuities -- 15.1 Introduction -- 15.2 The stochastic approach to insurance benefits -- 15.2.1 The discrete case -- 15.2.2 The continuous case -- 15.2.3 Approximation -- 15.2.4 Endowment insurances -- 15.3 The stochastic approach to annuity benefits -- 15.3.1 Discrete annuities -- 15.3.2 Continuous annuities -- *15.4 Deferred contracts -- 15.5 The stochastic approach to reserves -- 15.6 The stochastic approach to premiums -- 15.6.1 The equivalence principle -- 15.6.2 Percentile premiums -- 15.6.3 Aggregate premiums -- 15.6.4 General premium principles -- 15.7 The variance of rL.
15.8 Standard notation and terminology -- Notes and references -- Exercises -- 16 Simplifications under level benefit contracts -- 16.1 Introduction -- 16.2 Variance calculations in the continuous case -- 16.2.1 Insurances -- 16.2.2 Annuities -- 16.2.3 Prospective losses -- 16.2.4 Using equivalence principle premiums -- 16.3 Variance calculations in the discrete case -- 16.4 Exact distributions -- 16.4.1 The distribution of Z -- 16.4.2 The distribution of Y -- 16.4.3 The distribution of L -- 16.4.4 The case where T is exponentially distributed -- 16.5 Some non-level benefit examples -- 16.5.1 Term insurance -- 16.5.2 Deferred insurance -- 16.5.3 An annual premium policy -- Exercises -- 17 The minimum failure time -- 17.1 Introduction -- 17.2 Joint distributions -- 17.3 The distribution of T -- 17.3.1 The general case -- 17.3.2 The independent case -- 17.4 The joint distribution of (T, J) -- 17.4.1 The distribution function for (T, J) -- 17.4.2 Density and survival functions for (T, J) -- 17.4.3 The distribution of J -- 17.4.4 Hazard functions for (T, J) -- 17.4.5 The independent case -- 17.4.6 Nonidentifiability -- 17.4.7 Conditions for the independence of T and J -- 17.5 Other problems -- 17.6 The common shock model -- 17.7 Copulas -- Notes and references -- Exercises -- Part III ADVANCED STOCHASTIC MODELS -- 18 An introduction to stochastic processes -- 18.1 Introduction -- 18.2 Markov chains -- 18.2.1 Definitions -- 18.2.2 Examples -- 18.3 Martingales -- 18.4 Finite-state Markov chains -- 18.4.1 The transition matrix -- 18.4.2 Multi-period transitions -- 18.4.3 Distributions -- *18.4.4 Limiting distributions -- *18.4.5 Recurrent and transient states -- 18.5 Introduction to continuous time processes -- 18.6 Poisson processes -- 18.6.1 Waiting times -- 18.6.2 Nonhomogeneous Poisson processes -- 18.7 Brownian motion -- 18.7.1 The main definition.
18.7.2 Connection with random walks.
Record Nr. UNINA-9910795830003321
Promislow S. David  
New York : , : John Wiley & Sons, Incorporated, , 2015
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
Fundamentals of Actuarial Mathematics
Fundamentals of Actuarial Mathematics
Autore Promislow S. David
Edizione [3rd ed.]
Pubbl/distr/stampa New York : , : John Wiley & Sons, Incorporated, , 2015
Descrizione fisica 1 online resource (554 pages)
Disciplina 368/.01
Soggetto topico Insurance -- Mathematics
Business mathematics
ISBN 9781118782491
9781118782460
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto Intro -- Fundamentals of Actuarial Mathematics -- Contents -- Preface -- Acknowledgements -- About the companion website -- Part I THE DETERMINISTIC LIFE CONTINGENCIES MODEL -- 1 Introduction and motivation -- 1.1 Risk and insurance -- 1.2 Deterministic versus stochastic models -- 1.3 Finance and investments -- 1.4 Adequacy and equity -- 1.5 Reassessment -- 1.6 Conclusion -- 2 The basic deterministic model -- 2.1 Cash flows -- 2.2 An analogy with currencies -- 2.3 Discount functions -- 2.4 Calculating the discount function -- 2.5 Interest and discount rates -- 2.6 Constant interest -- 2.7 Values and actuarial equivalence -- 2.8 Vector notation -- 2.9 Regular pattern cash flows -- 2.10 Balances and reserves -- 2.10.1 Basic concepts -- 2.10.2 Relation between balances and reserves -- 2.10.3 Prospective versus retrospective methods -- 2.10.4 Recursion formulas -- 2.11 Time shifting and the splitting identity -- *2.11 Change of discount function -- 2.12 Internal rates of return -- *2.13 Forward prices and term structure -- 2.14 Standard notation and terminology -- 2.14.1 Standard notation for cash flows discounted with interest -- 2.14.2 New notation -- 2.15 Spreadsheet calculations -- Notes and references -- Exercises -- 3 The life table -- 3.1 Basic definitions -- 3.2 Probabilities -- 3.3 Constructing the life table from the values of qx -- 3.4 Life expectancy -- 3.5 Choice of life tables -- 3.6 Standard notation and terminology -- 3.7 A sample table -- Notes and references -- Exercises -- 4 Life annuities -- 4.1 Introduction -- 4.2 Calculating annuity premiums -- 4.3 The interest and survivorship discount function -- 4.3.1 The basic definition -- 4.3.2 Relations between yx for various values of x -- 4.4 Guaranteed payments -- 4.5 Deferred annuities with annual premiums -- 4.6 Some practical considerations -- 4.6.1 Gross premiums.
4.6.2 Gender aspects -- 4.7 Standard notation and terminology -- 4.8 Spreadsheet calculations -- Exercises -- 5 Life insurance -- 5.1 Introduction -- 5.2 Calculating life insurance premiums -- 5.3 Types of life insurance -- 5.4 Combined insurance-annuity benefits -- 5.5 Insurances viewed as annuities -- 5.6 Summary of formulas -- 5.7 A general insurance-annuity identity -- 5.7.1 The general identity -- 5.7.2 The endowment identity -- 5.8 Standard notation and terminology -- 5.8.1 Single-premium notation -- 5.8.2 Annual-premium notation -- 5.8.3 Identities -- 5.9 Spreadsheet applications -- Exercises -- 6 Insurance and annuity reserves -- 6.1 Introduction to reserves -- 6.2 The general pattern of reserves -- 6.3 Recursion -- 6.4 Detailed analysis of an insurance or annuity contract -- 6.4.1 Gains and losses -- 6.4.2 The risk-savings decomposition -- 6.5 Bases for reserves -- 6.6 Nonforfeiture values -- 6.7 Policies involving a return of the reserve -- 6.8 Premium difference and paid-up formulas -- 6.8.1 Premium difference formulas -- 6.8.2 Paid-up formulas -- 6.8.3 Level endowment reserves -- 6.9 Standard notation and terminology -- 6.10 Spreadsheet applications -- Exercises -- 7 Fractional durations -- 7.1 Introduction -- 7.2 Cash flows discounted with interest only -- 7.3 Life annuities paid mthly -- 7.3.1 Uniform distribution of deaths -- 7.3.2 Present value formulas -- 7.4 Immediate annuities -- 7.5 Approximation and computation -- *7.6 Fractional period premiums and reserves -- 7.7 Reserves at fractional durations -- 7.8 Standard notation and terminology -- Exercises -- 8 Continuous payments -- 8.1 Introduction to continuous annuities -- 8.2 The force of discount -- 8.3 The constant interest case -- 8.4 Continuous life annuities -- 8.4.1 Basic definition -- 8.4.2 Evaluation -- 8.4.3 Life expectancy revisited -- 8.5 The force of mortality.
8.6 Insurances payable at the moment of death -- 8.6.1 Basic definitions -- 8.6.2 Evaluation -- 8.7 Premiums and reserves -- 8.8 The general insurance-annuity identity in the continuous case -- 8.9 Differential equations for reserves -- 8.10 Some examples of exact calculation -- 8.10.1 Constant force of mortality -- 8.10.2 Demoivre's law -- 8.10.3 An example of the splitting identity -- 8.11 Further approximations from the life table -- 8.12 Standard actuarial notation and terminology -- Notes and references -- Exercises -- 9 Select mortality -- 9.1 Introduction -- 9.2 Select and ultimate tables -- 9.3 Changes in formulas -- 9.4 Projections in annuity tables -- 9.5 Further remarks -- Exercises -- 10 Multiple-life contracts -- 10.1 Introduction -- 10.2 The joint-life status -- 10.3 Joint-life annuities and insurances -- 10.4 Last-survivor annuities and insurances -- 10.4.1 Basic results -- 10.4.2 Reserves on second-death insurances -- 10.5 Moment of death insurances -- 10.6 The general two-life annuity contract -- 10.7 The general two-life insurance contract -- 10.8 Contingent insurances -- 10.8.1 First-death contingent insurances -- 10.8.2 Second-death contingent insurances -- 10.8.3 Moment-of-death contingent insurances -- 10.8.4 General contingent probabilities -- 10.9 Duration problems -- *10.10 Applications to annuity credit risk -- 10.11 Standard notation and terminology -- 10.12 Spreadsheet applications -- Notes and references -- Exercises -- 11 Multiple-decrement theory -- 11.1 Introduction -- 11.2 The basic model -- 11.2.1 The multiple-decrement table -- 11.2.2 Quantities calculated from the multiple-decrement table -- 11.3 Insurances -- 11.4 Determining the model from the forces of decrement -- 11.5 The analogy with joint-life statuses -- 11.6 A machine analogy -- 11.6.1 Method 1 -- 11.6.2 Method 2 -- 11.7 Associated single-decrement tables.
11.7.1 The main methods -- 11.7.2 Forces of decrement in the associated single-decrement tables -- 11.7.3 Conditions justifying the two methods -- 11.7.4 Other approaches -- Notes and references -- Exercises -- 12 Expenses and profits -- 12.1 Introduction -- 12.2 Effect on reserves -- 12.3 Realistic reserve and balance calculations -- 12.4 Profit measurement -- 12.4.1 Advanced gain and loss analysis -- 12.4.2 Gains by source -- 12.4.3 Profit testing -- Notes and references -- Exercises -- *13 Specialized topics -- 13.1 Universal life -- 13.1.1 Description of the contract -- 13.1.2 Calculating account values -- 13.2 Variable annuities -- 13.3 Pension plans -- 13.3.1 DB plans -- 13.3.2 DC plans -- Exercises -- Part II THE STOCHASTIC LIFE CONTINGENCIES MODEL -- 14 Survival distributions and failure times -- 14.1 Introduction to survival distributions -- 14.2 The discrete case -- 14.3 The continuous case -- 14.3.1 The basic functions -- 14.3.2 Properties of -- 14.3.3 Modes -- 14.4 Examples -- 14.5 Shifted distributions -- 14.6 The standard approximation -- 14.7 The stochastic life table -- 14.8 Life expectancy in the stochastic model -- 14.9 Stochastic interest rates -- Notes and references -- Exercises -- 15 The stochastic approach to insurance and annuities -- 15.1 Introduction -- 15.2 The stochastic approach to insurance benefits -- 15.2.1 The discrete case -- 15.2.2 The continuous case -- 15.2.3 Approximation -- 15.2.4 Endowment insurances -- 15.3 The stochastic approach to annuity benefits -- 15.3.1 Discrete annuities -- 15.3.2 Continuous annuities -- *15.4 Deferred contracts -- 15.5 The stochastic approach to reserves -- 15.6 The stochastic approach to premiums -- 15.6.1 The equivalence principle -- 15.6.2 Percentile premiums -- 15.6.3 Aggregate premiums -- 15.6.4 General premium principles -- 15.7 The variance of rL.
15.8 Standard notation and terminology -- Notes and references -- Exercises -- 16 Simplifications under level benefit contracts -- 16.1 Introduction -- 16.2 Variance calculations in the continuous case -- 16.2.1 Insurances -- 16.2.2 Annuities -- 16.2.3 Prospective losses -- 16.2.4 Using equivalence principle premiums -- 16.3 Variance calculations in the discrete case -- 16.4 Exact distributions -- 16.4.1 The distribution of Z -- 16.4.2 The distribution of Y -- 16.4.3 The distribution of L -- 16.4.4 The case where T is exponentially distributed -- 16.5 Some non-level benefit examples -- 16.5.1 Term insurance -- 16.5.2 Deferred insurance -- 16.5.3 An annual premium policy -- Exercises -- 17 The minimum failure time -- 17.1 Introduction -- 17.2 Joint distributions -- 17.3 The distribution of T -- 17.3.1 The general case -- 17.3.2 The independent case -- 17.4 The joint distribution of (T, J) -- 17.4.1 The distribution function for (T, J) -- 17.4.2 Density and survival functions for (T, J) -- 17.4.3 The distribution of J -- 17.4.4 Hazard functions for (T, J) -- 17.4.5 The independent case -- 17.4.6 Nonidentifiability -- 17.4.7 Conditions for the independence of T and J -- 17.5 Other problems -- 17.6 The common shock model -- 17.7 Copulas -- Notes and references -- Exercises -- Part III ADVANCED STOCHASTIC MODELS -- 18 An introduction to stochastic processes -- 18.1 Introduction -- 18.2 Markov chains -- 18.2.1 Definitions -- 18.2.2 Examples -- 18.3 Martingales -- 18.4 Finite-state Markov chains -- 18.4.1 The transition matrix -- 18.4.2 Multi-period transitions -- 18.4.3 Distributions -- *18.4.4 Limiting distributions -- *18.4.5 Recurrent and transient states -- 18.5 Introduction to continuous time processes -- 18.6 Poisson processes -- 18.6.1 Waiting times -- 18.6.2 Nonhomogeneous Poisson processes -- 18.7 Brownian motion -- 18.7.1 The main definition.
18.7.2 Connection with random walks.
Record Nr. UNINA-9910823141203321
Promislow S. David  
New York : , : John Wiley & Sons, Incorporated, , 2015
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
Loss models [[electronic resource] ] : further topics / / Stuart A. Klugman, Harry H. Panjer, Gordon E. Willmot
Loss models [[electronic resource] ] : further topics / / Stuart A. Klugman, Harry H. Panjer, Gordon E. Willmot
Autore Klugman Stuart A. <1949->
Pubbl/distr/stampa Hoboken, N.J., : John Wiley & Sons, Inc., 2013
Descrizione fisica xii, 348 p. : ill
Disciplina 368/.01
Altri autori (Persone) PanjerHarry H
WillmotGordon E. <1957->
Collana Wiley series in probability and statistics
Soggetto topico Insurance - Mathematical models
Insurance - Statistical methods
ISBN 1-118-57374-9
1-118-78710-2
1-118-57368-4
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Record Nr. UNINA-9910796097603321
Klugman Stuart A. <1949->  
Hoboken, N.J., : John Wiley & Sons, Inc., 2013
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
Loss models : further topics / / Stuart A. Klugman, Harry H. Panjer, Gordon E. Willmot
Loss models : further topics / / Stuart A. Klugman, Harry H. Panjer, Gordon E. Willmot
Autore Klugman Stuart A. <1949->
Pubbl/distr/stampa Hoboken, N.J., : John Wiley & Sons, Inc., 2013
Descrizione fisica xii, 348 p. : ill
Disciplina 368/.01
Altri autori (Persone) PanjerHarry H
WillmotGordon E. <1957->
Collana Wiley series in probability and statistics
Soggetto topico Insurance - Mathematical models
Insurance - Statistical methods
ISBN 1-118-57374-9
1-118-78710-2
1-118-57368-4
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Record Nr. UNINA-9910820126803321
Klugman Stuart A. <1949->  
Hoboken, N.J., : John Wiley & Sons, Inc., 2013
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
Mathematical and Statistical Methods for Actuarial Sciences and Finance / / edited by Marco Corazza, Claudio Pizzi
Mathematical and Statistical Methods for Actuarial Sciences and Finance / / edited by Marco Corazza, Claudio Pizzi
Edizione [1st ed. 2014.]
Pubbl/distr/stampa Cham : , : Springer International Publishing : , : Imprint : Springer, , 2014
Descrizione fisica 1 online resource (312 p.)
Disciplina 368.01
368/.01
Soggetto topico Economics, Mathematical 
Actuarial science
Statistics 
Finance
Macroeconomics
Quantitative Finance
Actuarial Sciences
Statistics for Business, Management, Economics, Finance, Insurance
Finance, general
Macroeconomics/Monetary Economics//Financial Economics
ISBN 3-319-02499-X
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto Weak form efficiency of selected European stock markets: alternative testing approaches (G. Albano, M. La Rocca, C. Perna) -- An empirical comparison of variable selection methods in competing risks model (A. Amendola, M. Restaino, L. Sensini) -- A comparison between different numerical schemes for the valuation of unit-linked contracts embedding a surrender option (A.R. Bacinello, P. Millossovich, A. Montealegre) -- Dynamic tracking error with shortfall control using stochastic programming (D. Barro, E. Canestrelli) -- Firm’s volatility risk under microstructure noise (F. Barsotti, S. Sanfelici) -- Socially responsible mutual funds: an efficiency comparison among the European countries (A. Basso, S. Funari) -- Fitting financial returns distributions: a mixture normality approach (R. Bramante, D. Zappa) -- Single-name concentration risk measurements in credit portfolios (R. Calabrese, F. Porro) -- Bifactorial pricing models: light and shadows in correlation role (R. Cocozza, A. De Simone) -- Dynamic strategies for Defined Benefit pension plans risk management (I. Colivicchi, G. Piscopo, E. Vannucci) -- Particle Swarm Optimization for preference disaggregation in multicriteria credit scoring problems (M. Corazza, S. Funari, R. Gusso) -- Time series clustering on lower tail dependence for portfolio selection (G. De Luca, P. Zuccolotto) -- Solvency Analysis of Defined Benefit pension schemes (P. Devolder, G. Piscopo) -- Stochastic actuarial valuations in double-indexed pension annuity assessment (E. Di Lorenzo, A. Orlando, M. Sibillo) -- Testing for Normality when the sampled distribution is Extended Skew-Normal (C. Franceschini, N. Loperfido) -- On the RODEO method for variable selection (F. Giordano, M.L. Parrella) -- Portfolio allocation using Omega function: an empirical analysis (A. Hitaj, F. Martinelli, G. Zambruno) -- Investment rankings via an objective measure of riskiness: a case study (M.E. Marina, M. Resta) -- A squared rank assessment of the difference between US and European firm valuation ratios (M. Marozzi) -- A behavioural approach to the pricing of European options (M. Nardon, P. Pianca) -- Threshold structures in economic and financial time series (M. Niglio, C.D. Vitale) -- Intelligent algorithms for trading the Euro-Dollar in the foreign exchange market (D. Pelusi, M. Tivegna, P. Ippoliti) -- Risk management and capital allocation for Non-Life insurance companies (M. Pirra, S. Forte, M. Ialenti) -- Modelling asymmetric behaviour in time series: identification through PSO (C. Pizzi, F. Parpinel) -- Valuation of collateralized funds of hedge fund obligations: a Basket Option pricing approach (G.L. Tassinari, C. Corradi) -- Valuation of R&D investment opportunities using the Least-Squares Monte Carlo method (G. Villani) -- The determinants of interbank contagion: do patterns matter? (S. Zedda, G. Cannas, C. Galliani).
Record Nr. UNINA-9910299969003321
Cham : , : Springer International Publishing : , : Imprint : Springer, , 2014
Materiale a stampa
Lo trovi qui: Univ. Federico II
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Principles and practice of non life insurance [[electronic resource] /] / P.K. Gupta
Principles and practice of non life insurance [[electronic resource] /] / P.K. Gupta
Autore Gupta P. K
Edizione [Rev. ed.]
Pubbl/distr/stampa Mumbai [India], : Himalaya Pub. House, 2009
Descrizione fisica 1 online resource (259 p.)
Disciplina 368/.01
Soggetto topico Insurance
Soggetto genere / forma Electronic books.
ISBN 1-282-80214-3
9786612802140
1-4416-7232-X
93-5043-253-6
600-00-3936-0
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto COVER; CONTENTS; UNIT 1; UNIT 2; UNIT 3; UNIT 4; UNIT 5; GLOSSARY
Record Nr. UNINA-9910459075003321
Gupta P. K  
Mumbai [India], : Himalaya Pub. House, 2009
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
Principles and practice of non life insurance [[electronic resource] /] / P.K. Gupta
Principles and practice of non life insurance [[electronic resource] /] / P.K. Gupta
Autore Gupta P. K
Edizione [Rev. ed.]
Pubbl/distr/stampa Mumbai [India], : Himalaya Pub. House, 2009
Descrizione fisica 1 online resource (259 p.)
Disciplina 368/.01
Soggetto topico Insurance
ISBN 1-282-80214-3
9786612802140
1-4416-7232-X
93-5043-253-6
600-00-3936-0
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto COVER; CONTENTS; UNIT 1; UNIT 2; UNIT 3; UNIT 4; UNIT 5; GLOSSARY
Record Nr. UNINA-9910785486803321
Gupta P. K  
Mumbai [India], : Himalaya Pub. House, 2009
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
Principles and practice of non life insurance / / P.K. Gupta
Principles and practice of non life insurance / / P.K. Gupta
Autore Gupta P. K
Edizione [Rev. ed.]
Pubbl/distr/stampa Mumbai [India], : Himalaya Pub. House, 2009
Descrizione fisica 1 online resource (259 p.)
Disciplina 368/.01
Soggetto topico Insurance
ISBN 1-282-80214-3
9786612802140
1-4416-7232-X
93-5043-253-6
600-00-3936-0
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto COVER; CONTENTS; UNIT 1; UNIT 2; UNIT 3; UNIT 4; UNIT 5; GLOSSARY
Record Nr. UNINA-9910814601503321
Gupta P. K  
Mumbai [India], : Himalaya Pub. House, 2009
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
Ruin probabilities [[electronic resource] /] / Søren Asmussen, Hansjörg Albrecher
Ruin probabilities [[electronic resource] /] / Søren Asmussen, Hansjörg Albrecher
Autore Asmussen Søren
Edizione [2nd ed.]
Pubbl/distr/stampa Singapore ; ; Hackensack, N.J., : World Scientific, c2010
Descrizione fisica 1 online resource (500 p.)
Disciplina 368/.01
Altri autori (Persone) AlbrecherHansjörg
Collana Advanced series on statistical science & applied probability
Soggetto topico Insurance - Mathematics
Risk
Soggetto genere / forma Electronic books.
ISBN 1-283-14383-6
9786613143839
981-4282-53-7
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto Introduction -- Martingales and simple ruin calculations -- Further general tools and results -- The compound Poisson model -- The probability of ruin within finite time -- Renewal arrivals -- Risk theory in a Markovian environment -- Level-dependent risk processes -- Matrix-analytic methods -- Ruin probabilities in the presence of heavy tails -- Ruin probabilities for Lévy processes -- Gerber-Shiu functions -- Further models with dependency -- Stochastic control -- Simulation methodology -- Miscellaneous topics.
Record Nr. UNINA-9910463953003321
Asmussen Søren  
Singapore ; ; Hackensack, N.J., : World Scientific, c2010
Materiale a stampa
Lo trovi qui: Univ. Federico II
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