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A multivariate claim count model for...

Scherer, Matthias.

A multivariate claim count model for applications in insurance

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	A multivariate claim count model for applications in insuranceby Daniela Anna Selch, Matthias Scherer.
作者:	Selch, Daniela Anna.
其他作者:	Scherer, Matthias.
出版者:	Cham :Springer International Publishing :2018.
面頁冊數:	xii, 158 p. :ill., digital ;24 cm.
Contained By:	Springer eBooks
標題:	Multivariate analysis.
電子資源:	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

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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.
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