A Multivariate Claim Count Model for Applications in Insurance
| Autor: | Daniela Anna Selch, Matthias Scherer |
|---|---|
| EAN: | 9783319928685 |
| eBook Format: | |
| Sprache: | Englisch |
| Produktart: | eBook |
| Veröffentlichungsdatum: | 31.08.2018 |
| Kategorie: | |
| Schlagworte: | modelling multivariate claim count data;reinsurance contracts pricing;modelling multiple lines of business in a holistic perspective;over-dispersion in claim count data;simultaneous jump arrivals;dynamic modelling approach;modelling dependence in cla |
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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.Verwandte Artikel