Risk Theory / by Hanspeter Schmidli.

Format:

Book

Author/Creator:

Schmidli, Hanspeter., Author.

Series:

Springer Actuarial Lecture Notes, 2523-3289

Language:

English

Subjects (All):

Actuarial science.

Game theory.

Actuarial Sciences.

Game Theory, Economics, Social and Behav. Sciences.

Local Subjects:

Actuarial Sciences.

Game Theory, Economics, Social and Behav. Sciences.

Physical Description:

1 online resource (250 pages)

Edition:

1st ed. 2017.

Place of Publication:

Cham : Springer International Publishing : Imprint: Springer, 2017.

Summary:

This book provides an overview of classical actuarial techniques, including material that is not readily accessible elsewhere such as the Ammeter risk model and the Markov-modulated risk model. Other topics covered include utility theory, credibility theory, claims reserving and ruin theory. The author treats both theoretical and practical aspects and also discusses links to Solvency II. Written by one of the leading experts in the field, these lecture notes serve as a valuable introduction to some of the most frequently used methods in non-life insurance. They will be of particular interest to graduate students, researchers and practitioners in insurance, finance and risk management.

Contents:

1 Risk Models

2 Utility Theory

3 Credibility Theory

4 Claims Reserving

5 The Cramér-Lundberg Model

6 The Renewal Risk Model

7 The Ammeter Risk Model

8 Change of Measure Techniques

9 The Markov Modulated Risk Model

A Stochastic Processes

B Martingales

C Renewal Processes

D Brownian Motion

E Random Walks and the Wiener-Hopf Factorisation

F Subexponential Distributions

G Concave and Convex Functions

Table of Distribution Functions

References. Indices.

ISBN:

3-319-72005-8