The Experts below are selected from a list of 258 Experts worldwide ranked by ideXlab platform
Michel Denuit - One of the best experts on this subject based on the ideXlab platform.
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modern actuarial Risk Theory using r
2008Co-Authors: R Kaas, Marc Goovaerts, Jan Dhaene, Michel DenuitAbstract:Modern Actuarial Risk Theory contains what every actuary needs to know about non-life insurance mathematics. It starts with the standard material like utility Theory, individual and collective model and basic ruin Theory. Other topics are Risk measures and premium principles, bonus-malus systems, ordering of Risks and credibility Theory. It also contains some chapters about Generalized Linear Models, applied to rating and IBNR problems. As to the level of the mathematics, the book would fit in a bachelors or masters program in quantitative economics or mathematical statistics. This second and much expanded edition emphasizes the implementation of these techniques through the use of R. This free but incredibly powerful software is rapidly developing into the de facto standard for statistical computation, not just in academic circles but also in practice. With R, one can do simulations, find maximum likelihood estimators, compute distributions by inverting transforms, and much more.
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modern actuarial Risk Theory
2001Co-Authors: R Kaas, Marc Goovaerts, Jan Dhaene, Michel DenuitAbstract:Apart from standard actuarial Theory, this text contains methods that are relevant for actuarial practice, as well as generalised linear models with an eye on actuarial applications.
Hansjörg Albrecher - One of the best experts on this subject based on the ideXlab platform.
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Risk Theory with Affine Dividend Payment Strategies
Number Theory – Diophantine Problems Uniform Distribution and Applications, 2017Co-Authors: Hansjörg Albrecher, Arian CaniAbstract:We consider a classical compound Poisson Risk model with affine dividend payments. We illustrate how both by analytical and probabilistic techniques closed-form expressions for the expected discounted dividends until ruin and the Laplace transform of the time to ruin can be derived for exponentially distributed claim amounts. Moreover, numerical examples are given which compare the performance of the proposed strategy to classical barrier strategies and illustrate that such affine strategies can be a noteworthy compromise between profitability and safety in collective Risk Theory.
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The tax identity in Risk Theory — a simple proof and an extension
Insurance Mathematics & Economics, 2009Co-Authors: Hansjörg Albrecher, Sem Borst, Onno Boxma, Jacques ResingAbstract:By linking queueing concepts with Risk Theory, we give a simple and insightful proof of the tax identity in the Cramer-Lundberg model that was recently derived in Albrecher & Hipp [Albrecher, H., Hipp, C., 2007. Lundberg's Risk process with tax. Blatter der DGVFM 28 (1), 13-28], and extend the identity to arbitrary surplus-dependent tax rates.
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The tax identity in Risk Theory - a simple proof and an extension
Insurance: Mathematics and Economics, 2009Co-Authors: Hansjörg Albrecher, Sem Borst, Onno Boxma, Jacques ResingAbstract:By linking queueing concepts with Risk Theory, we give a simple and insightful proof of the tax identity in the Cramér-Lundberg model that was recently derived in Albrecher & Hipp [Albrecher, H., Hipp, C., 2007. Lundberg's Risk process with tax. Blätter der DGVFM 28 (1), 13-28], and extend the identity to arbitrary surplus-dependent tax rates. © 2008 Elsevier B.V. All rights reserved.
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Risk Theory with a nonlinear dividend barrier
Computing, 2002Co-Authors: Hansjörg Albrecher, R. KainhoferAbstract:In the framework of classical Risk Theory we investigate a surplus process in the presence of a nonlinear dividend barrier and derive equations for two characteristics of such a process, the probability of survival and the expected sum of discounted dividend payments. Number-theoretic solution techniques are developed for approximating these quantities and numerical illustrations are given for exponential claim sizes and a parabolic dividend barrier.
Jacques Resing - One of the best experts on this subject based on the ideXlab platform.
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The tax identity in Risk Theory — a simple proof and an extension
Insurance Mathematics & Economics, 2009Co-Authors: Hansjörg Albrecher, Sem Borst, Onno Boxma, Jacques ResingAbstract:By linking queueing concepts with Risk Theory, we give a simple and insightful proof of the tax identity in the Cramer-Lundberg model that was recently derived in Albrecher & Hipp [Albrecher, H., Hipp, C., 2007. Lundberg's Risk process with tax. Blatter der DGVFM 28 (1), 13-28], and extend the identity to arbitrary surplus-dependent tax rates.
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The tax identity in Risk Theory - a simple proof and an extension
Insurance: Mathematics and Economics, 2009Co-Authors: Hansjörg Albrecher, Sem Borst, Onno Boxma, Jacques ResingAbstract:By linking queueing concepts with Risk Theory, we give a simple and insightful proof of the tax identity in the Cramér-Lundberg model that was recently derived in Albrecher & Hipp [Albrecher, H., Hipp, C., 2007. Lundberg's Risk process with tax. Blätter der DGVFM 28 (1), 13-28], and extend the identity to arbitrary surplus-dependent tax rates. © 2008 Elsevier B.V. All rights reserved.
R Kaas - One of the best experts on this subject based on the ideXlab platform.
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modern actuarial Risk Theory using r
2008Co-Authors: R Kaas, Marc Goovaerts, Jan Dhaene, Michel DenuitAbstract:Modern Actuarial Risk Theory contains what every actuary needs to know about non-life insurance mathematics. It starts with the standard material like utility Theory, individual and collective model and basic ruin Theory. Other topics are Risk measures and premium principles, bonus-malus systems, ordering of Risks and credibility Theory. It also contains some chapters about Generalized Linear Models, applied to rating and IBNR problems. As to the level of the mathematics, the book would fit in a bachelors or masters program in quantitative economics or mathematical statistics. This second and much expanded edition emphasizes the implementation of these techniques through the use of R. This free but incredibly powerful software is rapidly developing into the de facto standard for statistical computation, not just in academic circles but also in practice. With R, one can do simulations, find maximum likelihood estimators, compute distributions by inverting transforms, and much more.
-
modern actuarial Risk Theory
2001Co-Authors: R Kaas, Marc Goovaerts, Jan Dhaene, Michel DenuitAbstract:Apart from standard actuarial Theory, this text contains methods that are relevant for actuarial practice, as well as generalised linear models with an eye on actuarial applications.
Miguel Usabel - One of the best experts on this subject based on the ideXlab platform.
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Applications to Risk Theory of a Monte Carlo multiple integration method
Insurance Mathematics & Economics, 1998Co-Authors: Miguel UsabelAbstract:Abstract Evaluation of multiple integrals is a commonly encountered problem in Risk Theory, specially in ruin probability. Using Monte Carlo simulation we obtain an unbiased and consistent point estimator, and also confidence intervals as approximations of a special case of multiple integral frequently used in Risk Theory. The variance reduction achieved compared to straight simulation and some specific properties make this approach interesting when approximating ruin probabilities.
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Applications to Risk Theory of a Montecarlo multiple integration method
1997Co-Authors: Miguel UsabelAbstract:The evaluation of multiple integrals is a commonly encountered problem in Risk Theory, specially in ruin probability. Using Monte Carlo simulation we will obtain an unbiased and consistent point estimator, and also confidence intervals as approximations of a special case of multiple integral frequently used in risle Theory. The variance reduction achieved compared to straight simulation and some specific properties malee this approach interesting when approximating ruin probabilities.
