Bayesian Claims Reserving Methods in Non-life Insurance with Stan PDF Download
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Author: Guangyuan Gao
Publisher: Springer
ISBN: 9811336091
Category : Mathematics
Languages : en
Pages : 210
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Book Description
This book first provides a review of various aspects of Bayesian statistics. It then investigates three types of claims reserving models in the Bayesian framework: chain ladder models, basis expansion models involving a tail factor, and multivariate copula models. For the Bayesian inferential methods, this book largely relies on Stan, a specialized software environment which applies Hamiltonian Monte Carlo method and variational Bayes.
Author: Guangyuan Gao
Publisher: Springer
ISBN: 9811336091
Category : Mathematics
Languages : en
Pages : 210
Get Book Here
Book Description
This book first provides a review of various aspects of Bayesian statistics. It then investigates three types of claims reserving models in the Bayesian framework: chain ladder models, basis expansion models involving a tail factor, and multivariate copula models. For the Bayesian inferential methods, this book largely relies on Stan, a specialized software environment which applies Hamiltonian Monte Carlo method and variational Bayes.
Author: David Hindley
Publisher: Cambridge University Press
ISBN: 1107076935
Category : Business & Economics
Languages : en
Pages : 513
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Book Description
This is a single comprehensive reference source covering the key material on this subject, and describing both theoretical and practical aspects.
Author: Mario V. Wüthrich
Publisher: John Wiley & Sons
ISBN: 0470772727
Category : Business & Economics
Languages : en
Pages : 438
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Book Description
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.
Author: Thomas Mikosch
Publisher: Springer Science & Business Media
ISBN: 3540882332
Category : Mathematics
Languages : en
Pages : 435
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Book Description
"Offers a mathematical introduction to non-life insurance and, at the same time, to a multitude of applied stochastic processes. It gives detailed discussions of the fundamental models for claim sizes, claim arrivals, the total claim amount, and their probabilistic properties....The reader gets to know how the underlying probabilistic structures allow one to determine premiums in a portfolio or in an individual policy." --Zentralblatt für Didaktik der Mathematik
Author: Nigel Davies
Publisher: International Monetary Fund
ISBN: 1451856008
Category : Business & Economics
Languages : en
Pages : 45
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Book Description
This paper explores insurance as a source of financial system vulnerability. It provides a brief overview of the insurance industry and reviews the risks it faces, as well as several recent failures of insurance companies that had systemic implications. Assimilation of banking-type activities by life insurers appears to be the key systemic vulnerability. Building on this experience and the experience gained under the FSAP, the paper proposes key indicators that should be compiled and used for surveillance of financial soundness of insurance companies and the insurance sector as a whole.
Author:
Publisher:
ISBN:
Category : Life insurance
Languages : en
Pages : 398
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Book Description
Author: Esbjörn Ohlsson
Publisher: Springer Science & Business Media
ISBN: 3642107915
Category : Mathematics
Languages : en
Pages : 181
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Book Description
Non-life insurance pricing is the art of setting the price of an insurance policy, taking into consideration varoius properties of the insured object and the policy holder. Introduced by British actuaries generalized linear models (GLMs) have become today a the standard aproach for tariff analysis. The book focuses on methods based on GLMs that have been found useful in actuarial practice and provides a set of tools for a tariff analysis. Basic theory of GLMs in a tariff analysis setting is presented with useful extensions of standarde GLM theory that are not in common use. The book meets the European Core Syllabus for actuarial education and is written for actuarial students as well as practicing actuaries. To support reader real data of some complexity are provided at www.math.su.se/GLMbook.
Author: Greg Taylor
Publisher:
ISBN: 9780996889704
Category :
Languages : en
Pages : 100
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Book Description
In this monograph, authors Greg Taylor and Gráinne McGuire discuss generalized linear models (GLM) for loss reserving, beginning with strong emphasis on the chain ladder. The chain ladder is formulated in a GLM context, as is the statistical distribution of the loss reserve. This structure is then used to test the need for departure from the chain ladder model and to consider natural extensions of the chain ladder model that lend themselves to the GLM framework.
Author: Mario V. Wüthrich
Publisher: Springer Science & Business Media
ISBN: 3642148522
Category : Mathematics
Languages : en
Pages : 164
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Book Description
It is a challenging task to read the balance sheet of an insurance company. This derives from the fact that different positions are often measured by different yardsticks. Assets, for example, are mostly valued at market prices whereas liabilities are often measured by established actuarial methods. However, there is a general agreement that the balance sheet of an insurance company should be measured in a consistent way. Market-Consistent Actuarial Valuation presents powerful methods to measure liabilities and assets in a consistent way. The mathematical framework that leads to market-consistent values for insurance liabilities is explained in detail by the authors. 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.
Author: Mr.Andreas A. Jobst
Publisher: International Monetary Fund
ISBN: 149832455X
Category : Business & Economics
Languages : en
Pages : 84
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Book Description
Over the last decade, stress testing has become a central aspect of the Fund’s bilateral and multilateral surveillance work. Recently, more emphasis has also been placed on the role of insurance for financial stability analysis. This paper reviews the current state of system-wide solvency stress tests for insurance based on a comparative review of national practices and the experiences from Fund’s FSAP program with the aim of providing practical guidelines for the coherent and consistent implementation of such exercises. The paper also offers recommendations on improving the current insurance stress testing approaches and presentation of results.
