Non-Life Insurance Mathematics (eBook)

An Introduction with the Poisson Process

Thomas Mikosch (Autor)

eBook Download: PDF

2009 | 2nd ed. 2009
XV, 432 Seiten
Springer Berlin (Verlag)
978-3-540-88233-6 (ISBN)

Infos

This book offers a mathematical introduction to non-life insurance as well as to a multitude of applied stochastic processes. It gives detailed discussions of the fundamental models for claim sizes, the total claim amount and their probabilistic properties.

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The second edition of this book contains both basic and more advanced - terial on non-life insurance mathematics. Parts I and II of the book cover the basic course of the ?rst edition; this text has changed very little. It aims at the undergraduate (bachelor) actuarial student as a ?rst introduction to the topics of non-life insurance mathematics. Parts III and IV are new. They can serve as an independent course on stochastic models of non-life insurance mathematics at the graduate (master) level. The basic themes in all parts of this book are point process theory, the Poisson and compound Poisson processes. Point processes constitute an - portant part of modern stochastic process theory. They are well understood models and have applications in a wide range of applied probability areas such as stochastic geometry, extreme value theory, queuing and large c- puter networks, insurance and ?nance. The main idea behind a point process is counting. Counting is bread and butter in non-life insurance: the modeling of claim numbers is one of the - jor tasks of the actuary. Part I of this book extensively deals with counting processes on the real line, such as the Poisson, renewal and mixed Poisson processes. These processes can be studied in the point process framework as well, but such an approach requires more advanced theoretical tools.

Autor

Thomas Mikosch has been professor at the Laboratory of Actuarial Mathematics of the University of Copenhagen since January 2001. Before this, he held positions in Dresden (Germany), Wellington (New Zealand) and Groningen (Netherlands). His special interests are applied probability theory and stochastic processes. Over the last few years his research has focused on extremal events in finance, insurance and telecommunications. His earlier very successful book, written jointly with Paul Embrechts and Claudia Klüppelberg, Modelling Extremal Events for Finance and Insurance (1997), is also published by Springer.

Inhalt

Collective Risk Models.- The Basic Model.- Models for the Claim Number Process.- The Total Claim Amount.- Ruin Theory.- Experience Rating.- Bayes Estimation.- Linear Bayes Estimation.- A Point Process Approach to Collective Risk Theory.- The General Poisson Process.- Poisson Random Measures in Collective Risk Theory.- Weak Convergence of Point Processes.- Special Topics.- An Excursion to L#x00E9;vy Processes.- Cluster Point Processes.

Produkt-Details

• Erscheint lt. Verlag: 21.4.2009
• Reihe/Serie: Universitext
• Verlagsort: Berlin
• Sprache: englisch
• Themenwelt: Mathematik / Informatik ► Mathematik
• Themenwelt: Technik
• Themenwelt: Wirtschaft ► Allgemeines / Lexika
• Schlagworte: 91B30, 60G35, 60K10 • insurance risk • Non-life insurance mathematics • Point Process • Poisson random measure • stoachastic process • Stochastic Processes
• ISBN-10: 3-540-88233-2 / 3540882332
• ISBN-13: 978-3-540-88233-6 / 9783540882336