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Recursions for Convolutions and Compound Distributions with Insurance Applications (Eaa Lecture Notes)

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Synopses & Reviews

Publisher Comments:

Since 1980, methods for recursive evaluation of aggregate claims distributions have received extensive attention in the actuarial literature. This book gives a unified survey of the theory and is intended to be self-contained to a large extent. As the methodology is applicable also outside the actuarial field, it is presented in a general setting, but actuarial applications are used for motivation. The book is divided into two parts. Part I is devoted to univariate distributions, whereas in Part II, the methodology is extended to multivariate settings. Primarily intended as a monograph, this book can also be used as text for courses on the graduate level. Suggested outlines for such courses are given. The book is of interest for actuaries and statisticians working within the insurance and finance industry, as well as for people in other fields like operations research and reliability theory.

Synopsis:

This text presents a unified survey of methods for recursive evaluation of aggregate claims distributions. Part I is devoted to univariate distributions, and in Part II, the methodology is extended to multivariate settings.

Table of Contents

Univariate distributions: Introduction.- Counting distributions with recursion of order one.- Compound mixed Poisson distributions.- Infinite divisibility.- Counting distributions with recursion of higher order.- De Pril transforms of distributions in P10.- Individual models.- Cumulative functions and tails.- Moments.- Approximations based on De Pril transforms.- Extension to functions in P1_.- Allowing for negative severities.- Underflow and overflow.- Multivariate distributions: Introduction.- Multivariate compound distributions of Type 1.- De Pril transforms.- Moments.- Approximations based on De Pril transforms.- Multivariate compound distributions of Type 2.- Compound mixed multivariate Poisson distributions.

Product Details

ISBN:
9783540928997
Author:
Sundt, Bjorn
Publisher:
Springer
Author:
Sundt, Bja Rn
Author:
Vernic, Raluca
Author:
Sundt, Bjoern
Subject:
Finance
Subject:
Applied
Subject:
Quantitative Finance
Subject:
Finance /Banking
Subject:
Finance/Investment/Banking
Subject:
Business-Accounting and Finance
Subject:
Game Theory
Copyright:
Edition Description:
Book
Series:
EAA Series
Publication Date:
20090331
Binding:
TRADE PAPER
Language:
English
Pages:
360
Dimensions:
235 x 155 mm 550 gr

Related Subjects

Business » Accounting and Finance
Reference » Science Reference » Technology
Science and Mathematics » Mathematics » Applied
Science and Mathematics » Mathematics » Econometrics
Science and Mathematics » Mathematics » Educational
Science and Mathematics » Mathematics » Modeling

Recursions for Convolutions and Compound Distributions with Insurance Applications (Eaa Lecture Notes) New Trade Paper
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Product details 360 pages Springer - English 9783540928997 Reviews:
"Synopsis" by , This text presents a unified survey of methods for recursive evaluation of aggregate claims distributions. Part I is devoted to univariate distributions, and in Part II, the methodology is extended to multivariate settings.
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