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A multivariate claim count model for...

Scherer, Matthias.

A multivariate claim count model for applications in insurance

Record Type:	Electronic resources : Monograph/item
Title/Author:	A multivariate claim count model for applications in insuranceby Daniela Anna Selch, Matthias Scherer.
Author:	Selch, Daniela Anna.
other author:	Scherer, Matthias.
Published:	Cham :Springer International Publishing :2018.
Description:	xii, 158 p. :ill., digital ;24 cm.
Contained By:	Springer eBooks
Subject:	Multivariate analysis.
Online resource:	https://doi.org/10.1007/978-3-319-92868-5
ISBN:	9783319928685$q(electronic bk.)

A multivariate claim count model for applications in insurance
Selch, Daniela Anna.

A multivariate claim count model for applications in insurance[electronic resource] /by Daniela Anna Selch, Matthias Scherer. - Cham :Springer International Publishing :2018. - xii, 158 p. :ill., digital ;24 cm. - Springer actuarial,2523-3262. - Springer actuarial..

1 Motivation and Model -- 2 Properties of the Model -- 3 Estimation of the Parameters -- 4 Applications and Extensions -- 5 Appendix: Technical Background -- References -- Index.

This monograph presents a time-dynamic model for multivariate claim counts in actuarial applications. Inspired by real-world claim arrivals, the model balances interesting stylized facts (such as dependence across the components, over-dispersion and the clustering of claims) with a high level of mathematical tractability (including estimation, sampling and convergence results for large portfolios) and can thus be applied in various contexts (such as risk management and pricing of (re-)insurance contracts) The authors provide a detailed analysis of the proposed probabilistic model, discussing its relation to the existing literature, its statistical properties, different estimation strategies as well as possible applications and extensions. Actuaries and researchers working in risk management and premium pricing will find this book particularly interesting. Graduate-level probability theory, stochastic analysis and statistics are required.

ISBN: 9783319928685$q(electronic bk.)

Standard No.: 10.1007/978-3-319-92868-5doiSubjects--Topical Terms:

181905
Multivariate analysis.

LC Class. No.: QA278 / .S453 2018

Dewey Class. No.: 519.535

A multivariate claim count model for applications in insurance
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100 1 $a Selch, Daniela Anna. $3 822441
245 1 2 $a A multivariate claim count model for applications in insurance $h [electronic resource] / $c by Daniela Anna Selch, Matthias Scherer.
260 $a Cham : $b Springer International Publishing : $b Imprint: Springer, $c 2018.
300 $a xii, 158 p. : $b ill., digital ; $c 24 cm.
490 1 $a Springer actuarial, $x 2523-3262
505 0 $a 1 Motivation and Model -- 2 Properties of the Model -- 3 Estimation of the Parameters -- 4 Applications and Extensions -- 5 Appendix: Technical Background -- References -- Index.
520 $a This monograph presents a time-dynamic model for multivariate claim counts in actuarial applications. Inspired by real-world claim arrivals, the model balances interesting stylized facts (such as dependence across the components, over-dispersion and the clustering of claims) with a high level of mathematical tractability (including estimation, sampling and convergence results for large portfolios) and can thus be applied in various contexts (such as risk management and pricing of (re-)insurance contracts) The authors provide a detailed analysis of the proposed probabilistic model, discussing its relation to the existing literature, its statistical properties, different estimation strategies as well as possible applications and extensions. Actuaries and researchers working in risk management and premium pricing will find this book particularly interesting. Graduate-level probability theory, stochastic analysis and statistics are required.
650 0 $a Multivariate analysis. $3 181905
650 0 $a Insurance claims. $3 822442
650 1 4 $a Probability Theory and Stochastic Processes. $3 274061
650 2 4 $a Actuarial Sciences. $3 569133
650 2 4 $a Statistics for Business/Economics/Mathematical Finance/Insurance. $3 274062
650 2 4 $a Statistical Theory and Methods. $3 274054
650 2 4 $a Quantitative Finance. $3 274071
700 1 $a Scherer, Matthias. $3 575431
710 2 $a SpringerLink (Online service) $3 273601
773 0 $t Springer eBooks
830 0 $a Springer actuarial. $3 798195
856 4 0 $u https://doi.org/10.1007/978-3-319-92868-5
950 $a Mathematics and Statistics (Springer-11649)