Non-Life Insurance Mathematics.An Introduction with the Poisson  Process, Second Edition.

Thomas Mikosch

Laboratory of Actuarial Mathematics
University of Copenhagen

                                                          

Non-Life Insurance MathematicsAn Introduction with the Poisson Process                                                                                                                                                                                                                                                                 Series:                                                                        Universitext                                                Mikosch, Thomas        2nd ed., 2009, XV, 432 p. 55 illus., Softcover ISBN: 978-3-540-88232-9                                                                                         Usually dispatched between 3 to 5 business days

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                                                                                                                                                About this textbook                                               
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                Table of contents
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                Sample pages
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                Reviews
           
                                                                                                                                                                        About this textbook       
                        The volume offers a mathematicalintroduction to non-life insurance and, at the same time, to amultitude of applied stochastic processes. It includes detaileddiscussions of the fundamental models regarding claim sizes, claimarrivals, the total claim amount, and their probabilistic properties.Throughout the volume the language of stochastic processes is used fordescribing the dynamics of an insurance portfolio in claim size, spaceand time. Special emphasis is given to the phenomena which are causedby large claims in these models. The reader learns how the underlyingprobabilistic structures allow determining premiums in a portfolio orin an individual policy.
The second edition contains various new chapters that illustrate theuse of point process techniques in non-life insurance mathematics.Poisson processes play a central role. Detailed discussions show howPoisson processes can be used to describe complex aspects in aninsurance business such as delays in reporting, the settlement ofclaims and claims reserving. Also the chain ladder method is explainedin detail.
More than 150 figures and tables illustrate and visualize thetheory. Every section ends with numerous exercises. An extensivebibliography, annotated with various comments sections with referencesto more advanced relevant literature, makes the volume broadly andeasily accessible.

Written for:
Students and lecturers of actuarial mathematics, mathematics, economics, physics, statistics, econometrics

        Keywords:

• 91B30, 60G35, 60K10
• Poisson random measure
• insurance risk
• non-life insurance mathematics
• point process
• stoachastic process