Loss Models: From Data to Decisions Solutions Manual (Wiley Series in Probability and Statistics) - Softcover

Klugman, Stuart A.; Panjer, Harry H.; Willmot, Gordon E.

Softcover

ISBN 10: 0470385715 ISBN 13: 9780470385715

Publisher: Wiley–Blackwell, 2008

Synopsis

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. To explore our additional offerings in actuarial exam preparation visit www.wiley.com/go/actuarialexamprep .

About this title

Review

"The book is well–written. Each chapter contains a good number of examples and exercises for the reader." (Mathematical Reviews, 2005f)

From the Back Cover

Revised, updated, and even more useful to students, teachers, and practicing professionals

The First Edition of Loss Models was deemed "worthy of classical status" by the Journal of the International Statistical Institute. While retaining its predecessor s thorough treatment of the concepts and methods of analyzing contingent events, this powerful Second Edition is updated and expanded to offer even more complete and flexible coverage of risk theory, loss distributions, and survival models.

Beginning with a framework for model building and a description of frequency and severity loss data typically available, it shows readers how to combine frequency, severity, and loss models to build aggregate loss models and credibility–based pricing models, and how to analyze loss over multiple time periods. Important features of this new edition include:

• Thorough preparation for relevant parts of preliminary examinations of the Society of Actuaries (SOA) and Casualty Actuarial Society (CAS)
• Exercises based on past SOA and CAS exams
• Examples using actual insurance data
• Practical treatment of modern credibility theory
• Data files and more from an ftp site

Loss Models, Second Edition is an important resource, providing a comprehensive, practically motivated toolkit and an excellent reference, for actuaries preparing for SOA and CAS preliminary examinations, students in actuarial science who need to understand loss and risk models, and practicing professionals involved in loss modeling.

Edition details

• Publisher: Wiley–Blackwell
• Publication date: 2008
• Language: English
• ISBN 10: 0470385715
• ISBN 13: 9780470385715
• Binding: Paperback
• Edition number: 3
• Number of pages: 336