Authors:
- Reflects the state of the art in actuarial risk theory
- Uses R, the de facto standard for statistical computation, for the illustration of the techniques applied
- Presents practical paradigms in insurance as well as numerous exercises with solutions
- Includes supplementary material: sn.pub/extras
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Table of contents (11 chapters)
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Front Matter
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Back Matter
About this book
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 much expanded edition emphasizes the implementation of these techniques through the use of R. This free but incredibly powerful software is rapidly developing into the de facto standard for statistical computation, not just in academic circles but also in practice. With R, one can do simulations, find maximum likelihood estimators, compute distributions by inverting transforms, and much more.
Reviews
From the reviews of the second edition:
"The book gives a comprehensive survey of non-life insurance mathematics. … Originally written for use with the actuarial science programs at the Universities of Amsterdam and Leuven, it is now in use at many other universities as well as for the non-academic actuarial education program organized by the Dutch Actuarial Society. The methods presented can not only be used in non-life insurance, but also in other branches of actuarial science, as well as in actuarial practice." (Pavel Stoynov, Zentralblatt MATH, Vol. 1148, 2008)
“This book gives an introduction to non-life insurance mathematics. … Throughout the book, the software R is used for the implementation of the techniques presented. One finds also many exercises with hints for their solution in an appendix.” (F. Hofbauer, Monatshefte für Mathematik, Vol. 161 (1), August, 2010)
Authors and Affiliations
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UvA / KE, WB Amsterdam, The Netherlands
Rob Kaas, Marc Goovaerts
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K.U. Leuven University of Amsterdam, Leuven, Belgium
Marc Goovaerts
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AFI (Accountancy, Finance, Insurance) Research Group Faculteit Economie en Bedrijfswetenschappen, K.U. Leuven University of Amsterdam, Leuven, Belgium
Jan Dhaene
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Institut de Statistique, Université Catholique de Louvain, Louvain-la-Neuve, Belgium
Michel Denuit
Bibliographic Information
Book Title: Modern Actuarial Risk Theory
Book Subtitle: Using R
Authors: Rob Kaas, Marc Goovaerts, Jan Dhaene, Michel Denuit
DOI: https://doi.org/10.1007/978-3-540-70998-5
Publisher: Springer Berlin, Heidelberg
eBook Packages: Business and Economics, Economics and Finance (R0)
Copyright Information: Springer-Verlag Berlin Heidelberg 2008
Hardcover ISBN: 978-3-540-70992-3Published: 25 August 2008
Softcover ISBN: 978-3-642-03407-7Published: 30 September 2009
eBook ISBN: 978-3-540-70998-5Published: 17 August 2008
Edition Number: 2
Number of Pages: XVIII, 382
Topics: Finance, general, Applications of Mathematics, Business Mathematics, Actuarial Sciences, Statistics for Business, Management, Economics, Finance, Insurance, Quantitative Finance