✦ LIBER ✦

092006 (M10) An actuarial survey of statistical models for decrement and transition data, III: Counting process models : MacDonald A.S., British Actuarial Journal, Nr. 2, 1996, 703–726

Publisher: Elsevier Science
Year: 1997
Tongue: English
Weight: 174 KB
Volume: 20
Category: Article
ISSN: 0167-6687
DOI: 10.1016/s0167-6687(97)80629-4

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✦ Synopsis

This is an expository presentation of various topics in insurance mathematics. The scope is not encyclopedic but rather narrows down the treatment to models and methods are (or could be) used to solve practical actuarial problems: what is an appropriate premium, what is an adequate reserve, what part of the risk should be reinsured, and -more generally -what insurance schemes are conceivable? Examples are picked from various lines of insurance -life and non-life -and from general risk theory. Attempts will be made to identify the principles underlying contemporary insurance practice and enquire into the possibilities of fruitful interplay with financial mathematics and control theory.

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092008 (M10) An actuarial survey of statistical models for decrement and transition data II: Competing risks, non-parametric and regression models : MacDonald A.S., British Actuarial Journal, Nr. 2, 1996, pp.429–448

📂 Article 📅 1997 🏛 Elsevier Science 🌐 English ⚖ 89 KB

Counting processes and their compensators are introduced at a heuristic level. The martingale property of stochastic integrals with respect to a compensated counting process leads to moment estimates and asymptotic normal distributions for statistics arising in multiple state, non-parametric and sem