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Description of Loss Models

An update of one of the most trusted books on constructing and analyzing actuarial models

Written by three renowned authorities in the actuarial field, Loss Models, Third Edition upholds the reputation for excellence that has made this book required reading for the Society of Actuaries (SOA) and Casualty Actuarial Society (CAS) qualification examinations. This update serves as a complete presentation of statistical methods for measuring risk and building models to measure loss in real–world events.

This book maintains an approach to modeling and forecasting that utilizes tools related to risk theory, loss distributions, and survival models. Random variables, basic distributional quantities, the recursive method, and techniques for classifying and creating distributions are also discussed. Both parametric and non–parametric estimation methods are thoroughly covered along with advice for choosing an appropriate model. Features of the Third Edition include:

• Extended discussion of risk management and risk measures, including Tail–Value–at–Risk (TVaR)

• New sections on extreme value distributions and their estimation

• Inclusion of homogeneous, nonhomogeneous, and mixed Poisson processes

• Expanded coverage of copula models and their estimation

• Additional treatment of methods for constructing confidence regions when there is more than one parameter

The book continues to distinguish itself by providing over 400 exercises that have appeared on previous SOA and CAS examinations. Intriguing examples from the fields of insurance and business are discussed throughout, and all data sets are available on the book′s FTP site, along with programs that assist with conducting loss model analysis.

Loss Models, Third Edition is an essential resource for students and aspiring actuaries who are preparing to take the SOA and CAS preliminary examinations. It is also a must–have reference for professional actuaries, graduate students in the actuarial field, and anyone who works with loss and risk models in their everyday work.

Title Information

ISBN:

9780470187814

Pages:

760 pages

Format:

Hardback

Product Code:

267278

Publisher:

John Wiley & Sons Ltd

Published:

26/09/2008

Edition:

3rd Edition

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About Stuart A. Klugman and Harry H. Panjer and Gordon E. Willmot

STUART A. KLUGMAN, PhD, is Principal Financial Group Distinguished Professor of Actuarial Science at Drake University. A Fellow of the Society of Actuaries, Dr. Klugman was vice president of the SOA from 2001–2003.

HARRY H. PANJER, PhD, is Professor Emeritus in the Department of Statistics and Actuarial Science at the University of Waterloo, Canada. Past president of both the Canadian Institute of Actuaries and the Society of Actuaries, Dr. Panjer has published numerous articles on risk modeling in the fields of finance and actuarial science.

GORDON E. WILLMOT, PhD, is Munich Re Chair in Insurance and Professor in the Department of Statistics and Actuarial Science at the University of Waterloo, Canada. Dr. Willmot has authored or coauthored over sixty published articles in the areas of risk theory, queueing theory, distribution theory, and stochastic modeling in insurance.