Overview
- Presents a new modelling approach to multivariate claim arrivals in insurance
- Explores simulation strategies, estimation procedures and convergence results
- Includes a thorough literature review of related models for univariate and multivariate counting processes
Part of the book series: Springer Actuarial (SPACT)
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Table of contents (5 chapters)
Keywords
- modelling multivariate claim count data
- reinsurance contracts pricing
- modelling multiple lines of business in a holistic perspective
- over-dispersion in claim count data
- simultaneous jump arrivals
- dynamic modelling approach
- modelling dependence in claim count data
- multivariate Cox process
- simultaneous jump arrivals
- multivariate Lévy subordinator
- quantitative finance
About this book
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.Reviews
Authors and Affiliations
About the authors
Matthias Scherer is Professor for Financial Mathematics at the Technical University of Munich, member of the board of the German Society for Insurance and Financial Mathematics (DGVFM), and associate editor of the journals Dependence Modelling and RISIKO MANAGER. He has (co-)authored scientific papers in the areas finance and actuarial science, multivariate statistics, probability theory,and quantitative risk management.
Bibliographic Information
Book Title: A Multivariate Claim Count Model for Applications in Insurance
Authors: Daniela Anna Selch, Matthias Scherer
Series Title: Springer Actuarial
DOI: https://doi.org/10.1007/978-3-319-92868-5
Publisher: Springer Cham
eBook Packages: Mathematics and Statistics, Mathematics and Statistics (R0)
Copyright Information: Springer Nature Switzerland AG 2018
Hardcover ISBN: 978-3-319-92867-8Published: 18 September 2018
Softcover ISBN: 978-3-030-06537-9Published: 12 January 2019
eBook ISBN: 978-3-319-92868-5Published: 31 August 2018
Series ISSN: 2523-3262
Series E-ISSN: 2523-3270
Edition Number: 1
Number of Pages: XII, 158
Number of Illustrations: 29 illustrations in colour
Topics: Probability Theory and Stochastic Processes, Actuarial Sciences, Statistics for Business, Management, Economics, Finance, Insurance, Statistical Theory and Methods, Quantitative Finance