Claims Reserving in General Insurance

Author: David Hindley
Publisher: Cambridge University Press
ISBN: 9781108514842
Release Date: 2017-10-26
Genre: Mathematics

This is a comprehensive and accessible reference source that documents the theoretical and practical aspects of all the key deterministic and stochastic reserving methods that have been developed for use in general insurance. Worked examples and mathematical details are included, along with many of the broader topics associated with reserving in practice. The key features of reserving in a range of different contexts in the UK and elsewhere are also covered. The book contains material that will appeal to anyone with an interest in claims reserving. It can be used as a learning resource for actuarial students who are studying the relevant parts of their professional bodies' examinations, as well as by others who are new to the subject. More experienced insurance and other professionals can use the book to refresh or expand their knowledge in any of the wide range of reserving topics covered in the book.

Computational Actuarial Science with R

Author: Arthur Charpentier
Publisher: CRC Press
ISBN: 9781466592599
Release Date: 2014-08-26
Genre: Business & Economics

A Hands-On Approach to Understanding and Using Actuarial Models Computational Actuarial Science with R provides an introduction to the computational aspects of actuarial science. Using simple R code, the book helps you understand the algorithms involved in actuarial computations. It also covers more advanced topics, such as parallel computing and C/C++ embedded codes. After an introduction to the R language, the book is divided into four parts. The first one addresses methodology and statistical modeling issues. The second part discusses the computational facets of life insurance, including life contingencies calculations and prospective life tables. Focusing on finance from an actuarial perspective, the next part presents techniques for modeling stock prices, nonlinear time series, yield curves, interest rates, and portfolio optimization. The last part explains how to use R to deal with computational issues of nonlife insurance. Taking a do-it-yourself approach to understanding algorithms, this book demystifies the computational aspects of actuarial science. It shows that even complex computations can usually be done without too much trouble. Datasets used in the text are available in an R package (CASdatasets).

Modelling Mortality with Actuarial Applications

Author: Angus S. Macdonald
Publisher: Cambridge University Press
ISBN: 9781108686334
Release Date: 2018-04-30
Genre: Mathematics

Actuaries have access to a wealth of individual data in pension and insurance portfolios, but rarely use its full potential. This book will pave the way, from methods using aggregate counts to modern developments in survival analysis. Based on the fundamental concept of the hazard rate, Part I shows how and why to build statistical models, based on data at the level of the individual persons in a pension scheme or life insurance portfolio. Extensive use is made of the R statistics package. Smooth models, including regression and spline models in one and two dimensions, are covered in depth in Part II. Finally, Part III uses multiple-state models to extend survival models beyond the simple life/death setting, and includes a brief introduction to the modern counting process approach. Practising actuaries will find this book indispensable, and students will find it helpful when preparing for their professional examinations.

Predictive Modeling Applications in Actuarial Science

Author: Edward W. Frees
Publisher: Cambridge University Press
ISBN: 9781107029880
Release Date: 2016-07-27
Genre: Business & Economics

This second volume examines practical real-life applications of predictive modeling to forecast future events with an emphasis on insurance.

Stochastic Claims Reserving Methods in Insurance

Author: Mario V. Wüthrich
Publisher: John Wiley & Sons
ISBN: 9780470772720
Release Date: 2008-04-30
Genre: Business & Economics

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.

Transactions

Author:
Publisher:
ISBN: UOM:35128000542991
Release Date: 1989
Genre: Life insurance

Beginning with vol. for 1951 includes section: Reports of mortality and morbidity experience.

Market Consistent Actuarial Valuation

Author: Mario V. Wüthrich
Publisher: Springer
ISBN: 9783319466361
Release Date: 2016-10-22
Genre: Business & Economics

This is the third edition of this well-received textbook, presenting powerful methods for measuring insurance liabilities and assets in a consistent way, with detailed mathematical frameworks that lead to market-consistent values for liabilities. 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. Including updates on recent developments and regulatory changes under Solvency II, this new edition of Market-Consistent Actuarial Valuation also elaborates on different risk measures, providing a revised definition of solvency based on industry practice, and presents an adapted valuation framework which takes a dynamic view of non-life insurance reserving risk.

Stochastische Modelle in der Lebensversicherung

Author: Michael Koller
Publisher: Springer-Verlag
ISBN: 9783662100691
Release Date: 2013-03-14
Genre: Mathematics

Im vorliegenden Buch werden neue Erkenntnisse der Lebensversicherungsmathematik aus dem Gebiet der Markovmodelle und der stochastischen Zinsen behandelt. Besonderes Gewicht wird auf die Anwendbarkeit der Modelle in der Praxis gelegt, so daß die Aussagen direkt angewendet werden können. Die dargestellten Modelle sind in besonderer Weise geeignet, eine schnelle Tarifierung neuer Lebensversicherungsprodukte zu ermöglichen. Gleichzeitig geben diese Modelle einen tieferen Einblick in das Wesen der Lebensversicherungsmathematik. Der besondere Nutzen dieses Buches liegt einerseits in der parallelen Behandlung der Theorie in stetiger und in diskreter Zeit. Zusätzlich wird das für die Behandlung der Theorie nötige Vorwissen im Buch dargestellt. Durch die vielen Beispiele können die entsprechenden Aussagen direkt in die Praxis umgesetzt werden.

Actuarial Mathematics for Life Contingent Risks

Author: David C. M. Dickson
Publisher: Cambridge University Press
ISBN: 9781107044074
Release Date: 2013-08-12
Genre: Business & Economics

This groundbreaking text has been augmented with new material and fully updated to prepare students for the new-style MLC exam.

Health Insurance

Author: Ermanno Pitacco
Publisher: Springer
ISBN: 9783319122359
Release Date: 2014-11-04
Genre: Business & Economics

Health Insurance aims at filling a gap in actuarial literature, attempting to solve the frequent misunderstanding in regards to both the purpose and the contents of health insurance products (and ‘protection products’, more generally) on the one hand, and the relevant actuarial structures on the other. In order to cover the basic principles regarding health insurance techniques, the first few chapters in this book are mainly devoted to the need for health insurance and a description of insurance products in this area (sickness insurance, accident insurance, critical illness covers, income protection, long-term care insurance, health-related benefits as riders to life insurance policies). An introduction to general actuarial and risk-management issues follows. Basic actuarial models are presented for sickness insurance and income protection (i.e. disability annuities). Several numerical examples help the reader understand the main features of pricing and reserving in the health insurance area. A short introduction to actuarial models for long-term care insurance products is also provided. Advanced undergraduate and graduate students in actuarial sciences; graduate students in economics, business and finance; and professionals and technicians operating in insurance and pension areas will find this book of benefit.

Loss Reserving

Author: Gregory Taylor
Publisher: Springer Science & Business Media
ISBN: 9781461545835
Release Date: 2012-12-06
Genre: Business & Economics

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.