Springer Actuarial

A Multivariate Claim Count Model for Applications in Insurance

Authors: Selch, Daniela Anna, Scherer, Matthias

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  • Presents a new modelling approach to multivariate claim arrivals in insurance
  • Explores simulation strategies, estimation procedures and convergence results
  • Includes a thorough literature review of related models for univariate and multivariate counting processes
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eBook $84.99
price for USA (gross)
  • ISBN 978-3-319-92868-5
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  • Immediate eBook download after purchase
Hardcover $109.99
price for USA
  • ISBN 978-3-319-92867-8
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  • Usually dispatched within 3 to 5 business days.
Softcover $109.99
price for USA
  • ISBN 978-3-030-06537-9
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
About this book

This monograph presents a time-dynamic model for multivariate claim counts in actuarial applications.

Inspired by real-world claim arrivals, the model balances interesting stylized facts (such as dependence across the components, over-dispersion and the clustering of claims) with a high level of mathematical tractability (including estimation, sampling and convergence results for large portfolios) and can thus be applied in various contexts (such as risk management and pricing of (re-)insurance contracts). The authors provide a detailed analysis of the proposed probabilistic model, discussing its relation to the existing literature, its statistical properties, different estimation strategies as well as possible applications and extensions.

Actuaries and researchers working in risk management and premium pricing will find this book particularly interesting. Graduate-level probability theory, stochastic analysis and statistics are required.

About the authors

Daniela Selch currently works as a quantitative analyst for the Equities – Structured Products and Strategies team of Barclays Quantitative Analytics in London. Previously, she was a research assistant at the Chair of Mathematical Finance at the Technical University of Munich, where she earned her PhD for the results summarized in this book. Her PhD thesis was awarded the SCOR-price for actuarial sciences and she presented at several scientific conferences, including the ICBI Global Derivatives Trading & Risk Management 2016, Budapest as invited speaker.
Matthias Scherer is Professor for Financial Mathematics at the Technical University of Munich, member of the board of the German Society for Insurance and Financial Mathematics (DGVFM), and associate editor of the journals Dependence Modelling and RISIKO MANAGER. He has (co-)authored scientific papers in the areas finance and actuarial science, multivariate statistics, probability theory, and quantitative risk management. 

Reviews

“The monograph is an in-depth work concerning important topics in the actuarial field; it is designed to present a time-dynamic model for multivariate claim counts and its applications in the actuarial framework. … The monograph represents a reference book for researchers and actuaries.” (Emilia Di Lorenzo, zbMATH 1417.91006, 2019)

Table of contents (5 chapters)

Table of contents (5 chapters)

Buy this book

eBook $84.99
price for USA (gross)
  • ISBN 978-3-319-92868-5
  • Digitally watermarked, DRM-free
  • Included format: PDF, EPUB
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $109.99
price for USA
  • ISBN 978-3-319-92867-8
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Softcover $109.99
price for USA
  • ISBN 978-3-030-06537-9
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.

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Bibliographic Information

Bibliographic Information
Book Title
A Multivariate Claim Count Model for Applications in Insurance
Authors
Series Title
Springer Actuarial
Copyright
2018
Publisher
Springer International Publishing
Copyright Holder
Springer Nature Switzerland AG
eBook ISBN
978-3-319-92868-5
DOI
10.1007/978-3-319-92868-5
Hardcover ISBN
978-3-319-92867-8
Softcover ISBN
978-3-030-06537-9
Series ISSN
2523-3262
Edition Number
1
Number of Pages
XII, 158
Number of Illustrations
29 illustrations in colour
Topics