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A Course in Credibility Theory and Its Applications

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A Course in Credibility Theory and Its Applications Cover

 

Synopses & Reviews

Publisher Comments:

The book is aimed at teachers and students as well as practising experts in the financial area, in particular at actuaries in the field of property-casualty insurance, life insurance, reinsurance and insurance supervision. Persons working in the wider world of finance will also find many relevant ideas and examples even though credibility methods have not yet been widely applied here. The text combines scientific rigour with direct practical applicability. It is based on courses given by the two authors at ETH Zürich. These courses have undergone considerable changes over time. "A Course in Credibility Theory and its Applications" is the final product of this evolution. It covers the subject of Credibility Theory extensively and includes most aspects of this topic from the simplest case to the most general dynamic model. The first four chapters contain plenty of material for a first course on Credibility. The whole text is intended as a full one year course at intermediate to advanced level. Credibility is a lifeless topic if it is not linked closely to practical applications. The book therefore treats explicitly the tasks which the actuary encounters in his daily work such as estimation of loss ratios, claim frequencies and claim sizes. The models are worked out in detail (including the estimation of structural parameters) so that they can immediately be applied in practice. Most exercises are based on real insurance data and real situations from practice and many of them have the characteristics of a case study. The extension to practical problems arising from the general area of finance is often quite straightforward. This book deserves a place on the bookshelf of every actuary and mathematician who works, teaches or does research in the area of insurance and finance.

Synopsis:

This book is ideal for practicing experts in particular actuaries in the field of property-casualty insurance, life insurance, reinsurance and insurance supervision, as well as teachers and students. It provides an exploration of Credibility Theory, covering most aspects of this topic from the simplest case to the most detailed dynamic model. The book closely examines the tasks an actuary encounters daily: estimation of loss ratios, claim frequencies and claim sizes.

About the Author

Hans Bühlmann Hans Bühlmann is professor emeritus of ETH Zürich, where he taught mathematics for more than thirty years. He has held visiting appointments at UC Berkeley, University of Michigan, UL Bruxelles, University of Tokyo, University of Manitoba, Universit

Table of Contents

Introduction.- The Bayes Premium.- Credibility Estimators.- The Bühlmann-Straub Model.- Treatment of Large Claims in Credibility.- Hierarchical Credibility.- Multidimensional Credibility.- Credibility in the Regression Model.- Evolutionary Credibility Models and Recursive Calculation Methods (Kalman-Filter).- Multidimensional Evolutionary Credibility Models and Recursive Calculation Methods (Kalman-Filter).- Bibliography.- Index.

Product Details

ISBN:
9783540257530
Author:
Gisler, Alois
Publisher:
Springer
Author:
Ba1/4hlmann, Hans
Author:
B]hlmann, Hans
Author:
isler, Alois
Author:
Buhlmann, Hans
Author:
G .
Author:
Bhlmann, Hans
Subject:
Finance
Subject:
Statistics
Subject:
Actuarial science
Subject:
Bayesian statistics
Subject:
Quantitative Finance
Subject:
Financial Modeling
Subject:
insurance practice
Subject:
Applied
Subject:
Business-Accounting and Finance
Subject:
Game Theory
Subject:
Statistics for Business/Economics/Mathematical Finance/Insurance
Copyright:
Edition Number:
1
Edition Description:
Book
Series:
Universitext
Publication Date:
October 2005
Binding:
TRADE PAPER
Language:
English
Illustrations:
, 322
Pages:
356
Dimensions:
235 x 155 mm

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A Course in Credibility Theory and Its Applications New Trade Paper
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Product details 356 pages Not Avail - English 9783540257530 Reviews:
"Synopsis" by , This book is ideal for practicing experts in particular actuaries in the field of property-casualty insurance, life insurance, reinsurance and insurance supervision, as well as teachers and students. It provides an exploration of Credibility Theory, covering most aspects of this topic from the simplest case to the most detailed dynamic model. The book closely examines the tasks an actuary encounters daily: estimation of loss ratios, claim frequencies and claim sizes.
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