Non-Life Insurance Mathematics

An Introduction with the Poisson Process
2. Auflage 2009
ISBN: 978-3-540-88232-9
Verlag: Springer Berlin Heidelberg

Buch, Englisch, 432 Seiten, Format (B × H): 155 mm x 235 mm, Gewicht: 674 g

Reihe: Universitext

A mathematicalintroduction 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. What makes this book special are more than 100 figures and tables illustrating and visualizing the theory. Every section ends with extensive exercises. The book can serve either as a text for an undergraduate/graduate course on non-life insurance mathematics or applied stochastic processes.

Zielgruppe

Graduate

Autoren/Hrsg.

Mikosch, Thomas

Fachgebiete

• Mathematik | Informatik Mathematik Numerik und Wissenschaftliches Rechnen Computeranwendungen in der Mathematik
• Mathematik | Informatik Mathematik Numerik und Wissenschaftliches Rechnen Angewandte Mathematik, Mathematische Modelle
• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Versicherungswirtschaft

Inhaltsverzeichnis

Collective Risk Models.- The Basic Model.- Models for the Claim Number Process.- The Total Claim Amount.- Ruin Theory.- Experience Rating.- Bayes Estimation.- Linear Bayes Estimation.- A Point Process Approach to Collective Risk Theory.- The General Poisson Process.- Poisson Random Measures in Collective Risk Theory.- Weak Convergence of Point Processes.- Special Topics.- An Excursion to L#x00E9;vy Processes.- Cluster Point Processes.

Über Autor(innen)

Thomas Mikosch has been professor at the Laboratory of Actuarial Mathematics of the University of Copenhagen since January 2001. Before this, he held positions in Dresden (Germany), Wellington (New Zealand) and Groningen (Netherlands). His special interests are applied probability theory and stochastic processes. Over the last few years his research has focused on extremal events in finance, insurance and telecommunications. His earlier very successful book, written jointly with Paul Embrechts and Claudia Klüppelberg, Modelling Extremal Events for Finance and Insurance (1997), is also published by Springer.