Modern Actuarial Risk Theory Using R /

• Main Authors: Kaas, Rob (Author), Goovaerts, Marc (Author), Dhaene, Jan (Author), Denuit, Michel (Author)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: Berlin, Heidelberg : Springer Berlin Heidelberg, 2008.
• Edition: 2.
• Subjects: Finance.; Business mathematics.; Applied mathematics.; Engineering mathematics.; Economics, Mathematical.; Actuarial science.; Statistics.; Finance, general.; Applications of Mathematics.; Business Mathematics.; Actuarial Sciences.; Statistics for Business/Economics/Mathematical Finance/Insurance.; Quantitative Finance.

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, or...

Table of Contents:

• Utility theory and insurance
• The individual risk model
• Collective risk models
• Ruin theory
• Premium principles and risk measures
• Bonus-malus systems
• Ordering of risks
• Credibility theory
• Generalized linear models
• IBNR techniques
• More on GLMs
• The 'R' in Modern ART
• Hints for the exercises
• Notes and references.