Risk Theory [electronic resource] /
Schmidli, Hanspeter.author.
This book provides an overview of classical actuarial techniques, including material that is not readily accessible elsewhere such as the Ammeter risk model and the Markov-modulated risk model. Other topics covered include utility theory, credibility theory, claims reserving and ruin theory. The author treats both theoretical and practical aspects and also discusses links to Solvency II. Written by one of the leading experts in the field, these lecture notes serve as a valuable introduction to some of the most frequently used methods in non-life insurance. They will be of particular interest to graduate students, researchers and practitioners in insurance, finance and risk management.
1 Risk Models -- 2 Utility Theory -- 3 Credibility Theory -- 4 Claims Reserving -- 5 The Cramér-Lundberg Model -- 6 The Renewal Risk Model -- 7 The Ammeter Risk Model -- 8 Change of Measure Techniques -- 9 The Markov Modulated Risk Model -- A Stochastic Processes -- B Martingales -- C Renewal Processes -- D Brownian Motion -- E Random Walks and the Wiener-Hopf Factorisation -- F Subexponential Distributions -- G Concave and Convex Functions -- Table of Distribution Functions -- References. Indices.
This book provides an overview of classical actuarial techniques, including material that is not readily accessible elsewhere such as the Ammeter risk model and the Markov-modulated risk model. Other topics covered include utility theory, credibility theory, claims reserving and ruin theory. The author treats both theoretical and practical aspects and also discusses links to Solvency II. Written by one of the leading experts in the field, these lecture notes serve as a valuable introduction to some of the most frequently used methods in non-life insurance. They will be of particular interest to graduate students, researchers and practitioners in insurance, finance and risk management.
Actuarial science.
Game theory.
Actuarial Sciences.
Game Theory, Economics, Social and Behav. Sciences.