ABSTRACT

This classic textbook covers all aspects of risk theory in a practical way. It builds on from the late R.E. Beard's extremely popular book Risk Theory, but features more emphasis on simulation and modeling and on the use of risk theory as a practical tool. Practical Risk Theory is a textbook for practicing and student actuaries on the practical asp

chapter 1|4 pages

Some preliminary ideas

chapter 1|6 pages

2 Accounting model

chapter 1|5 pages

3 Some features of the classical theory

chapter 2|1 pages

The number of claims

chapter 2|2 pages

2 The Poisson distribution

chapter 2|5 pages

3 Properties of Poisson variables

chapter 2|10 pages

4 Mixed Poisson claim number variable

chapter 3|3 pages

The amount of claims

chapter 3|11 pages

2 Properties of compound distributions

chapter 3|31 pages

3 The claim size distribution

chapter 3|19 pages

4 Claims and reinsurance

chapter 4|6 pages

Calculation of a compound claim d.f. F

chapter 4|12 pages

2 Approximate formulae for F

chapter 5|1 pages

Simulation

chapter 5|3 pages

2 Random numbers

chapter 5|2 pages

3 Simulation of claim numbers

chapter 5|4 pages

4 Simulation of compoun dvariables

chapter 6|7 pages

2 Evaluating the capital at risk

chapter 6|8 pages

3 Rules for maximum retention

chapter 6|1 pages

4 An application to rate-making

chapter 6|10 pages

5 Experience-rating

chapter 6|20 pages

6 Optimal risk sharing

chapter 7|3 pages

Inflation

chapter 7|4 pages

2 Inflation and insurance

chapter 7|8 pages

3 Modelling inflation

chapter 8|4 pages

Investment

chapter 8|9 pages

2 Investment returns

chapter 8|3 pages

3 Modelling investment prices and returns

chapter 8|8 pages

4 The Wilkie model

chapter 8|13 pages

5 Other model structures

chapter 8|14 pages

6 Asset/liability considerations

chapter 9|1 pages

Claims with an extended time horizon

chapter 9|4 pages

2 Claim number process

chapter 9|3 pages

3 Claim amounts

chapter 9|4 pages

4 Simulation of the claim process

chapter 9|16 pages

5 The settlement of claims

chapter 9|5 pages

6 Catastrophes

chapter 10|1 pages

Premiums

chapter 10|5 pages

2 Theoretical background

chapter 10|4 pages

3 Premiums in practice

chapter 11|4 pages

Expenses, taxes and dividends

chapter 11|1 pages

2 Taxes

chapter 11|2 pages

3 Dividends

chapter 12|2 pages

The insurance process

chapter 12|4 pages

2 Empirical observations

chapter 12|14 pages

4 Simulation of the insurance process

chapter 13|6 pages

Applications to long-term processes

chapter 14|2 pages

Managing uncertainty

chapter 14|2 pages

2 Basic equations

chapter 14|9 pages

3 The insurer and the market

chapter 14|7 pages

5 Corporate planning

chapter 14|11 pages

6 Public solvency control

chapter 15|5 pages

Life insurance

chapter 15|13 pages

2 Stochastic cohort approach

chapter 15|9 pages

3 Analysis of the total business

chapter 16|1 pages

Pension schemes

chapter 16|6 pages

2 Pension formulae

chapter 16|5 pages

3 Deterministic method sof pension funding

chapter 16|5 pages

4 Stochastic methods for pensions

chapter |2 pages

APPENDICES

chapter |3 pages

B Polya and Gamma distributions

chapter |1 pages

F Simulation

chapter |1 pages

F.2 Normally distributed random numbers

chapter |3 pages

G Time series

chapter |4 pages

G.4 Generalizations an dvariants

chapter |4 pages

H Portfolio selection

chapter I|22 pages

Solutions to exercises