Insurance and Risk Theory
Insurance and Risk Theory

Author: Marc Goovaerts

Publisher: Springer Science & Business Media

Published: 2012-12-06

Total Pages: 477

ISBN-13: 9400946201

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Canadian financial institutions have been in rapid change in the past five years. In response to these changes, the Department of Finance issued a discussion paper: The Regulation of Canadian Financial Institutions, in April 1985, and the government intends to introduce legislation in the fall. This paper studi.es the combinantion of financial institutions from the viewpoint of ruin probability. In risk theory developed to describe insurance companies [1,2,3,4,5J, the ruin probability of a company with initial reserve (capital) u is 6 1 -:;-7;;f3 u 1jJ(u) = H6 e H6 (1) Here,we assume that claims arrive as a Poisson process, and the claim amount is distributed as exponential distribution with expectation liS. 6 is the loading, i.e., premium charged is (1+6) times expected claims. Financial institutions are treated as "insurance companies": the difference between interest charged and interest paid is regarded as premiums, loan defaults are treated as claims.

Risk Theory
Risk Theory

Author: R. Beard

Publisher: Springer Science & Business Media

Published: 2013-04-17

Total Pages: 426

ISBN-13: 9401176809

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The theory of risk already has its traditions. A review of its classical results is contained in Bohlmann (1909). This classical theory was associated with life insurance mathematics, and dealt mainly with deviations which were expected to be produced by random fluctua tions in individual policies. According to this theory, these deviations are discounted to some initial instant; the square root of the sum of the squares of the capital values calculated in this way then gives a measure for the stability of the portfolio. A theory constituted in this manner is not, however, very appropriate for practical purposes. The fact is that it does not give an answer to such questions as, for example, within what limits a company's probable gain or loss will lie during different periods. Further, non-life insurance, to which risk theory has, in fact, its most rewarding applications, was mainly outside the field of interest of the risk theorists. Thus it is quite understandable that this theory did not receive very much attention and that its applications to practical problems of insurance activity remained rather unimportant. A new phase of development began following the studies of Filip Lundberg (1909, 1919), which, thanks to H. Cramer (1926), e.O.

Pricing Insurance Risk
Pricing Insurance Risk

Author: Stephen J. Mildenhall

Publisher: John Wiley & Sons

Published: 2022-06-15

Total Pages: 564

ISBN-13: 1119755670

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PRICING INSURANCE RISK A comprehensive framework for measuring, valuing, and managing risk Pricing Insurance Risk: Theory and Practice delivers an accessible and authoritative account of how to determine the premium for a portfolio of non-hedgeable insurance risks and how to allocate it fairly to each portfolio component. The authors synthesize hundreds of academic research papers, bringing to light little-appreciated answers to fundamental questions about the relationships between insurance risk, capital, and premium. They lean on their industry experience throughout to connect the theory to real-world practice, such as assessing the performance of business units, evaluating risk transfer options, and optimizing portfolio mix. Readers will discover: Definitions, classifications, and specifications of risk An in-depth treatment of classical risk measures and premium calculation principles Properties of risk measures and their visualization A logical framework for spectral and coherent risk measures How risk measures for capital and pricing are distinct but interact Why the cost of capital, not capital itself, should be allocated The natural allocation method and how it unifies marginal and risk-adjusted probability approaches Applications to reserve risk, reinsurance, asset risk, franchise value, and portfolio optimization Perfect for actuaries working in the non-life or general insurance and reinsurance sectors, Pricing Insurance Risk: Theory and Practice is also an indispensable resource for banking and finance professionals, as well as risk management professionals seeking insight into measuring the value of their efforts to mitigate, transfer, or bear nonsystematic risk.

Risk Theory and Reinsurance
Risk Theory and Reinsurance

Author: Griselda Deelstra

Publisher: Springer Science & Business Media

Published: 2013-11-22

Total Pages: 85

ISBN-13: 1447155688

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Reinsurance is an important production factor of non-life insurance. The efficiency and the capacity of the reinsurance market directly regulate those of insurance markets. The purpose of this book is to provide a concise introduction to risk theory, as well as to its main application procedures to reinsurance. The first part of the book covers risk theory. It presents the most prevalent model of ruin theory, as well as a discussion on insurance premium calculation principles and the mathematical tools that enable portfolios to be ordered according to their risk levels. The second part describes the institutional context of reinsurance. It first strives to clarify the legal nature of reinsurance transactions. It describes the structure of the reinsurance market and then the different legal and technical features of reinsurance contracts, known as reinsurance ‘treaties’ by practitioners. The third part creates a link between the theories presented in the first part and the practice described in the second one. Indeed, it sets out, mostly through examples, some methods for pricing and optimizing reinsurance. The authors aim is to apply the formalism presented in the first part to the institutional framework given in the second part. It is reassuring to find such a relationship between approaches seemingly abstract and solutions adopted by practitioners. Risk Theory and Reinsurance is mainly aimed at master's students in actuarial science but will also be useful for practitioners wishing to revive their knowledge of risk theory or to quickly learn about the main mechanisms of reinsurance.

Risk and Insurance
Risk and Insurance

Author: Søren Asmussen

Publisher: Springer Nature

Published: 2020-04-17

Total Pages: 505

ISBN-13: 3030351769

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This textbook provides a broad overview of the present state of insurance mathematics and some related topics in risk management, financial mathematics and probability. Both non-life and life aspects are covered. The emphasis is on probability and modeling rather than statistics and practical implementation. Aimed at the graduate level, pointing in part to current research topics, it can potentially replace other textbooks on basic non-life insurance mathematics and advanced risk management methods in non-life insurance. Based on chapters selected according to the particular topics in mind, the book may serve as a source for introductory courses to insurance mathematics for non-specialists, advanced courses for actuarial students, or courses on probabilistic aspects of risk. It will also be useful for practitioners and students/researchers in related areas such as finance and statistics who wish to get an overview of the general area of mathematical modeling and analysis in insurance.

Aspects of Risk Theory
Aspects of Risk Theory

Author: Jan Grandell

Publisher: Springer Science & Business Media

Published: 2012-12-06

Total Pages: 186

ISBN-13: 1461390583

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Risk theory, which deals with stochastic models of an insurance business, is a classical application of probability theory. The fundamental problem in risk theory is to investigate the ruin possibility of the risk business. Traditionally the occurrence of the claims is described by a Poisson process and the cost of the claims by a sequence of random variables. This book is a treatise of risk theory with emphasis on models where the occurrence of the claims is described by more general point processes than the Poisson process, such as renewal processes, Cox processes and general stationary point processes. In the Cox case the possibility of risk fluctuation is explicitly taken into account. The presentation is based on modern probabilistic methods rather than on analytic methods. The theory is accompanied with discussions on practical evaluation of ruin probabilities and statistical estimation. Many numerical illustrations of the results are given.

Modern Actuarial Risk Theory
Modern Actuarial Risk Theory

Author: Rob Kaas

Publisher: Springer Science & Business Media

Published: 2008-12-03

Total Pages: 394

ISBN-13: 3540867368

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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.

Risk Theory
Risk Theory

Author: Hanspeter Schmidli

Publisher: Springer

Published: 2018-04-04

Total Pages: 250

ISBN-13: 3319720058

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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.

The Economic Theory of Risk and Insurance
The Economic Theory of Risk and Insurance

Author: Allan H. Willett

Publisher: University of Pennsylvania Press

Published: 2016-11-11

Total Pages: 132

ISBN-13: 1512808997

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This book is a volume in the Penn Press Anniversary Collection. To mark its 125th anniversary in 2015, the University of Pennsylvania Press rereleased more than 1,100 titles from Penn Press's distinguished backlist from 1899-1999 that had fallen out of print. Spanning an entire century, the Anniversary Collection offers peer-reviewed scholarship in a wide range of subject areas.

Risk Theory
Risk Theory

Author: E. Beard

Publisher: Springer Science & Business Media

Published: 2013-03-09

Total Pages: 206

ISBN-13: 9400957815

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whioh the developments are appropriate in an elementary text book is open to doubt. Fortunately the proceedings of the conference arranged by the Society of Actuaries Research Committee in September 1974 provide an effective review of the ourrent position (Credibility, Theory and Applications, Ed. P. M. Kahn, Academic Press, 1975). It is doubtful if any practical use is now made of the Esscher approximation and the N-P method is much more convenient and of adequate accuracy in most practical work. Thus the first half of Chapter 6 is now largely of historical interest. Chapter 11 dealing with ruin probability during a finite time interval does not give an adequate view of the current importanoe of this topic but the position is fluid because of the considerable effort being expended in the search for practical methods of calcu lation. Formulae are, in general, complicated and involve extensive computer based quadratures or simulation techniques. The paper by Seal in the Scandinavian Actuarial Journal (The Numerical Calculation of U(w,t) the Probability of Non-ruin in an Interval (O,t) 1974) gives a recent treatment and a fairly complete list of relevant references. In many countries studies are currently in progress in the develop ment of models for business planning where the basic operations involve a stochastic process. Not only are insurance companies interested but in many commercial and industrial firms the needs are significant so that a very large field exists for applications.