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Loss Models : From Data to Decisions

Loss Models : From Data to Decisions - 98 edition

ISBN13: 978-0471238843

Cover of Loss Models : From Data to Decisions 98 (ISBN 978-0471238843)
ISBN13: 978-0471238843
ISBN10: 0471238848
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Edition/Copyright: 98
Publisher: John Wiley & Sons, Inc.
Published: 1998
International: No

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Loss Models : From Data to Decisions - 98 edition

ISBN13: 978-0471238843

Stuart A. Klugman, Harry H. Panjer and Gordon E. Willmot

ISBN13: 978-0471238843
ISBN10: 0471238848
Cover type:
Edition/Copyright: 98
Publisher: John Wiley & Sons, Inc.

Published: 1998
International: No
Summary

Much of actuarial science consists of constructing and analyzing mathematical models that describe how fluids flow into and out of an insurance system. This book examines contemporary topics such as risk theory and economics, credibility and stochastic processes with a focus on the loss process, or the outflow of cash due to the payment of benefits.

A modern practical guide to building and using actuarial models.

Loss Models: From Data to Decisions is organized around the principle that actuaries build models in order to analyze risks and make decisions about managing the risks based on conclusions drawn from the analysis. In practice, one begins with data and ends with a business decision. The book flows logically from this principle. It begins with a framework for model building and a description of frequency and severity loss data typically available to actuaries. Parametric models are emphasized throughout.

The frequency and severity models are used in building aggregate loss models, in credibility-based pricing models, and in loss analysis over multiple time periods.

Designed as both an educational text as well as a professional reference, Loss Models:

* Assumes little prior knowledge of insurance systems
* Features many fascinating examples taken from insurance files
* Contains a major instructive case study continued through each chapter
* Covers the classical areas of risk theory and loss distributions
* Gives a practical but rigorous treatment of modern credibility theory
* Uses standard statistical concepts, methods, and notation
* Provides modern computational algorithms for implementing methods
* Includes free companion software available from an FTP site
* Deals with many topics on CAS 4B and SOA 151 and 152 actuarial exams
* Includes many exercises based on past CAS and SOA exams.

Author Bio

Klugman, Stuart A. : Drake University

Stuart A. Klugman, PhD, is a professor in the College of Business and Public Administration of Drake University, Des Moines, Iowa.

Panker, Harry H. : University of Waterloo

Harry H. Panjer, PhD, teaches in the Department of Statistics and Actuarial Science of the University of Waterloo, Ontario.

Willmot, Gordon E. : University of Waterloo

Gordon E. Willmot, PhD, teaches in the Department of Statistics and Actuarial Science of the University of Waterloo.

Table of Contents

Introduction--A Model-Based Approach to Actuarial Science.

Loss Distributions--Models for the Amount of a Single Payment.

Frequency Distributions--Models for the Number of Payments.

Aggregate Loss Models.

Credibility Theory.

Long-Term Models.

Appendices.
References.
Index.

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Loss Models : From Data to Decisions - 2nd edition

ISBN13: 978-0471215776
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