Solutions manual to accompany the 4th edition of Loss models. From data to decisions (2012)
In classical life insurance mathematics the obligations of the insurance company towards the policyholders were calculated on artificial conservative assumptions on mortality and interest rates. However, this approach is being superseded by developments in international accounting and solvency standards coupled with other advances enabling a market-based valuation of risk, i.e., its price if traded in a free market.
This book describes these approaches, and is the first to explain them in conjunction with more traditional methods. The various chapters address specific aspects of market-based valuation. The exposition integrates methods and results from financial and insurance mathematics, and is based on the entries in a life insurance company's market accounting scheme.
The book will be of great interest and use to students and practitioners who need an introduction to this area, and who seek a practical yet sound guide to life insurance accounting and product development.
Mixed Poisson processes have until now been studied by scientists primarily interested in either insurance mathematics or joint processes. Often work in one area has been carried out without knowledge of the other. Mixed Poisson processes is the first book to be totally devoted to combining both these areas.
The first part of the book gives special emphasis to the estimation of the underlying intensity, thinning, infinite divisibility and reliability properties; the second part of this is, to a greater extent, based on Lundberg's thesis.
Many newer results, such as characterizations in terms of thinning, random translations, Palm probabilities and symmetric distributions are given. Models for the risk fluctuations in an insurance company are considered in some detail.
Combining a rigorous mathematical approach with an informal discursive style, this book will be an invaluable source for probabilists, applied probabilists and actuaries, as well as graduate students and scientists in these areas.
Applied statisticians in many fields must frequently analyse time-to-event data. While the statistical tools presented in this book are applicable to data from medicine, biology, public health, epidemiology, engineering, economics, and demography, the focus here is on applications of the techniques to biology and medicine.
The analysis of survival experiments is complicated by issues of censoring, where an individual’s life length is known to occur only in a certain period of time, and by truncation, where individuals enter the study only if they survive a sufficient length of time or individuals are included in the study only if the event has occurred by a given date. The use of counting process methodology has allowed for substantial advances in the statistical theory to account for censoring and truncation in survival experiments. This book makes these complex methods more accessible to applied researchers without an advanced mathematical background. The authors present the essence of these techniques, as well as classical techniques not based on counting processes, and apply them to data.
Suggestions for implementing the various methods are set out in a series of ‘practical notes’ at the end of each section. Technical details of the derivation of the techniques are sketched in a series of ‘technical notes’.
This book will be useful as a reference book for investigators who need to analyse censored or truncated life time data, and as a textbook for a graduate course in survival analysis. The prerequisite is a standard course in statistical methodology.
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- Interview: Andrew Brem - a digital revolutionary on the business of disruption
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- Interview: Huw Evans - on the challenges of Brexit and rebuilding public trust
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- Interview: Vicky Ford - a political operator on collaboration after Brexit
- Life: what 2016 told us about death
- Insurance: assessing diversity in expert opinion
- Risk: in conversation with the IFoA's Risk Management Board
- Diversity is the spice of life: driving change in the workplace
- In conversation: Diversity panel - how normalising our differences can work
- Life: prolonging the longevity trend
- Insurance: creating a more flexible matching adjustment after Brexit
- Risk: learning from financial scandals of the past
- Sell in May and go away: is there any truth behind the old investment adage?
- Interview: Paul Sweeting - on research, wider fields and becoming a novelist
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