Loss Models: From Data to Decisions / Edition 4

by Stuart A. Klugman, Harry H. Panjer, Gordon E. Willmot

Overview

Praise for the Third Edition

"This book provides in-depth coverage of modelling techniques used throughout many branches of actuarial science. . . . The exceptional high standard of this book has made it a pleasure to read." —Annals of Actuarial Science

Newly organized to focus exclusively on material tested in the Society of Actuaries' Exam C and the Casualty Actuarial Society's Exam 4, Loss Models: From Data to Decisions, Fourth Edition continues to supply actuaries with a practical approach to the key concepts and techniques needed on the job. With updated material and extensive examples, the book successfully provides the essential methods for using available data to construct models for the frequency and severity of future adverse outcomes.

The book continues to equip readers with the tools needed for the construction and analysis of mathematical models that describe the process by which funds flow into and out of an insurance system. Focusing on the loss process, the authors explore key quantitative techniques including random variables, basic distributional quantities, and the recursive method, and discuss techniques for classifying and creating distributions. Parametric, non-parametric, and Bayesian estimation methods are thoroughly covered along with advice for choosing an appropriate model.

New features of this Fourth Edition include:

• Expanded discussion of working with large data sets, now including more practical elements of constructing decrement tables
• Added coverage of methods for simulating several special situations
• An updated presentation of Bayesian estimation, outlining conjugate prior distributions and the linear exponential family as well as related computational issues

Throughout the book, numerous examples showcase the real-world applications of the presented concepts, with an emphasis on calculations and spreadsheet implementation. A wealth of new exercises taken from previous Exam C/4 exams allows readers to test their comprehension of the material, and a related FTP site features the book's data sets.

Loss Models, Fourth Edition is an indispensable resource for students and aspiring actuaries who are preparing to take the SOA and CAS examinations. The book is also a valuable reference for professional actuaries, actuarial students, and anyone who works with loss and risk models.

Product Details

ISBN-13:	9781118315323
Publisher:	Wiley
Publication date:	09/11/2012
Series:	Wiley Series in Probability and Statistics Series , #968
Edition description:	Older Edition
Pages:	536
Product dimensions:	10.00(w) x 7.10(h) x 1.20(d)

About the Author

STUART A. KLUGMAN, PHD, FSA, CERA, is Staff Fellow (Education) at the Society of Actuaries (SOA) and Principal Financial Group Distinguished Professor Emeritus of Actuarial Science at Drake University. He has served as SOA vice president.

HARRY H. PANJER, PHD, FSA, FCIA, CERA, HonFIA, is Distinguished Professor Emeritus in the Department of Statistics and Actuarial Science at the University of Waterloo, Canada. He has served as CIA president and as SOA president.

GORDON E. WILLMOT, PHD, FSA, FCIA, is Munich Re Chair in Insurance and Professor in the Department of Statistics and Actuarial Science at the University of Waterloo, Canada.

Read an Excerpt

Click to read or download

Table of Contents

Introduction--A Model-Based Approach to Actuarial Science.
Loss Distributions--Models for the Amount of a Single Payment.
Frequency Distributions--Models for the Number of Payments.
Aggregate Loss Models.
Credibility Theory.
Long-Term Models.
Appendices.
References.
Index.

What People are Saying About This

From the Publisher

"This book provides in depth coverage of modelling techniques used throughout many branches of actuarial science … .The exceptional high standard of this book has made it a pleasure to read and review." (Annals of Actuarial Science, 2008)

“This book will be necessary for all academic programs in actuarial science. It will also serve as an important reference for practicing actuaries.” (Mathematical Assoc. of America, June 2009) 

Editorial Reviews

...gives the reader a good insight.

Allianz Global Risk Report

This applied textbook for students of actuarial science focuses on the loss process: the outflow of cash due to the payment of benefits. The authors discuss models for the amount of loss for a single claim, a number of payments, and aggregate loss. They also describe credibility theory and long-term models. The text does not assume substantial knowledge of insurance systems, but does assume a solid background in mathematical statistics and calculus. Annotation c. by Book News, Inc., Portland, Or.

Booknews