A Multivariate Claim Count Model for Applications in Insurance. 1st ed. 2018
- 種類:
- 電子ブック
- 責任表示:
- by Daniela Anna Selch, Matthias Scherer
- 出版情報:
- Cham : Springer International Publishing : Imprint: Springer, 2018
- 著者名:
- シリーズ名:
- Springer Actuarial ;
- ISBN:
- 9783319928685 [3319928686]
- 注記:
- 1 Motivation and Model -- 2 Properties of the Model -- 3 Estimation of the Parameters -- 4 Applications and Extensions -- 5 Appendix: Technical Background -- References -- Index.
This monograph presents a time-dynamic model for multivariate claim counts in actuarial applications. Inspired by real-world claim arrivals, the model balances interesting stylized facts (such as dependence across the components, over-dispersion and the clustering of claims) with a high level of mathematical tractability (including estimation, sampling and convergence results for large portfolios) and can thus be applied in various contexts (such as risk management and pricing of (re-)insurance contracts). The authors provide a detailed analysis of the proposed probabilistic model, discussing its relation to the existing literature, its statistical properties, different estimation strategies as well as possible applications and extensions. Actuaries and researchers working in risk management and premium pricing will find this book particularly interesting. Graduate-level probability theory, stochastic analysis and statistics are required. - ローカル注記:
- 学内専用E-BOOKS (local access only)
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