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A Multivariate Claim Count Model for Applications in Insurance

Record Type:	Language materials, printed : Monograph/item
Title/Author:	A Multivariate Claim Count Model for Applications in Insurance/ by Daniela Anna Selch, Matthias Scherer.
Author:	Selch, Daniela Anna.
other author:	Scherer, Matthias.
Description:	XII, 158 p. 29 illus. in color.online resource. :
Contained By:	Springer Nature eBook
Subject:	Probabilities. -
Online resource:	https://doi.org/10.1007/978-3-319-92868-5
ISBN:	9783319928685

A Multivariate Claim Count Model for Applications in Insurance
Selch, Daniela Anna.

A Multivariate Claim Count Model for Applications in Insurance[electronic resource] /by Daniela Anna Selch, Matthias Scherer. - 1st ed. 2018. - XII, 158 p. 29 illus. in color.online resource. - Springer Actuarial,2523-3262. - Springer Actuarial,.

1 Motivation and Model -- 2 Properties of the Model -- 3 Estimation of the Parameters -- 4 Applications and Extensions -- 5 Appendix: Technical Background -- References -- Index.

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.

ISBN: 9783319928685

Standard No.: 10.1007/978-3-319-92868-5doiSubjects--Topical Terms:

527847
Probabilities.

LC Class. No.: QA273.A1-274.9

Dewey Class. No.: 519.2

A Multivariate Claim Count Model for Applications in Insurance
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