A multivariate claim count model for applications in insurance. ([2018])

• Record Type: Book
• Further Information: Note: Daniela Anna Selch, Matthias Scherer.
• Authors: Selch, Daniela Anna; Scherer, Matthias, 1979-
• Contents: Intro; Preface; Acknowledgements; Contents; 1 Motivation and Model; 1.1 Model Setup: Notation and Assumptions; 1.2 Arrival Times and Simulation; 1.3 Literature Review; 2 Properties of the Model; 2.1 Process Distribution; 2.2 Lévy and Compound Poisson Characterization; 2.3 Large Portfolio Approximation; 3 Estimation of the Parameters; 3.1 Estimation Procedures; 3.1.1 Discrete Monitoring; 3.1.2 Continuous Monitoring; 3.2 Simulation Study; 3.2.1 Setting: Inverse Gaussian Subordinator (No Drift); 3.2.2 Setting: Inverse Gaussian Subordinator with Drift; 3.2.3 Summary; 3.3 Real-World Data Example 4 Applications and Extensions4.1 Premium Calculation and Dependence Ordering; 4.1.1 Compound Model and Direct Insurer; 4.1.2 Stop-Loss Order and Reinsurer; 4.2 Model Extensions; 4.2.1 Compound Model; 4.2.2 Deterministic Time-Change; 4.2.3 Multivariate Subordination; 5 Appendix: Technical Background; 5.1 The Poisson Process and its Generalizations; 5.2 Lévy Subordinators; References; Index
• Publisher Details: Cham, Switzerland : Springer
• Publication Date: 2018
• Extent: 1 online resource
• Subjects: 519.535; Mathematics; Multivariate analysis; Insurance claims; MATHEMATICS / Applied; MATHEMATICS / Probability & Statistics / General; Business & Economics -- Insurance -- General; Business & Economics -- Statistics; Mathematics -- Probability & Statistics -- General; Mathematics -- Applied; Insurance & actuarial studies; Probability & statistics; Finance & accounting; Distribution (Probability theory); Statistics; Mathematical statistics; Finance; Electronic books
• Languages: English
• ISBNs: 9783319928685; 3319928686
• Related ISBNs: 9783319928678; 3319928678
• Notes: Note: Includes bibliographical references and index.; Note: Online resource; title from PDF title page (EBSCO, viewed September 6, 2018).
• Access Rights: Legal Deposit; Only available on premises controlled by the deposit library and to one user at any one time; The Legal Deposit Libraries (Non-Print Works) Regulations (UK).
• Access Usage: Restricted: Printing from this resource is governed by The Legal Deposit Libraries (Non-Print Works) Regulations (UK) and UK copyright law currently in force.