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Modern Actuarial Risk Theory

Using R

  • Rob Kaas
  • Marc Goovaerts
  • Jan Dhaene
  • Michel Denuit

Table of contents

  1. Front Matter
    Pages i-xviii
  2. Pages 87-114
  3. Pages 135-147
  4. Pages 149-202
  5. Pages 203-229
  6. Pages 265-295
  7. Pages 297-323
  8. Back Matter
    Pages 325-381

About this book

Introduction

Modern Actuarial Risk Theory contains what every actuary needs to know about non-life insurance mathematics. It starts with the standard material like utility theory, individual and collective model and basic ruin theory. Other topics are risk measures and premium principles, bonus-malus systems, ordering of risks and credibility theory. It also contains some chapters about Generalized Linear Models, applied to rating and IBNR problems. As to the level of the mathematics, the book would fit in a bachelors or masters program in quantitative economics or mathematical statistics.

This second and much expanded edition emphasizes the implementation of these techniques through the use of R. This free but incredibly powerful software is rapidly developing into the de facto standard for statistical computation, not just in academic circles but also in practice. With R, one can do simulations, find maximum likelihood estimators, compute distributions by inverting transforms, and much more.

 

Keywords

Actuarial Statistics Insurance Mathematics Non-life Insurance Risk Theory STATISTICA mathematical statistics simulation

Authors and affiliations

  • Rob Kaas
    • 1
  • Marc Goovaerts
    • 1
    • 2
  • Jan Dhaene
    • 3
  • Michel Denuit
    • 4
  1. 1.UvA / KEWB AmsterdamThe Netherlands
  2. 2.K.U. Leuven University of AmsterdamLeuvenBelgium
  3. 3.AFI (Accountancy, Finance, Insurance) Research Group Faculteit Economie en BedrijfswetenschappenK.U. Leuven University of AmsterdamLeuvenBelgium
  4. 4.Institut de StatistiqueUniversité Catholique de LouvainLouvain-la-NeuveBelgium

Bibliographic information

  • DOI https://doi.org/10.1007/978-3-540-70998-5
  • Copyright Information Springer Berlin Heidelberg 2008
  • Publisher Name Springer, Berlin, Heidelberg
  • eBook Packages Business and Economics
  • Print ISBN 978-3-540-70992-3
  • Online ISBN 978-3-540-70998-5
  • Buy this book on publisher's site