Hansjörg Albrecher, Jan Beirlant, Jozef L. Teugels

Reinsurance (eBook, ePUB)

Actuarial and Statistical Aspects

• Format: ePub

Produktbeschreibung

Reinsurance: Actuarial and Statistical Aspects provides a survey of both the academic literature in the field as well as challenges appearing in reinsurance practice and puts the two in perspective. The book is written for researchers with an interest in reinsurance problems, for graduate students with a basic knowledge of probability and statistics as well as for reinsurance practitioners. The focus of the book is on modelling together with the statistical challenges that go along with it. The discussed statistical approaches are illustrated alongside six case studies of insurance loss data sets, ranging from MTPL over fire to storm and flood loss data. Some of the presented material also contains new results that have not yet been published in the research literature. An extensive bibliography provides readers with links for further study.

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Produktdetails

• Verlag: John Wiley & Sons
• Seitenzahl: 368
• Erscheinungstermin: 22. August 2017
• Englisch
• ISBN-13: 9781119419945
• Artikelnr.: 52559703

Autorenporträt

Hansjörg Albrecher, PhD, is a professor in the Department of Actuarial Science at the University of Lausanne. Jan Beirlant, PhD, is a professor in the Department of Mathematics at the Katholieke Universiteit Leuven, Belgium and at the University of the Free State, South Africa. Jozef L. Teugels, PhD, is a professor in the Department of Mathematics at the Katholieke Universiteit Leuven, Belgium.

Inhaltsangabe

Preface ix 1 Introduction 1 1.1 What is Reinsurance? 1 1.2 Why Reinsurance?
2 1.3 Reinsurance Data 4 1.3.1 Case Study I: Motor Liability Data 5 1.3.2
Case Study II: Dutch Fire Insurance Data 10 1.3.3 Case Study III: Austrian
Storm Claim Data 10 1.3.4 Case Study IV: European Flood Risk Data 11 1.3.5
Case Study V: Groningen Earthquakes 12 1.3.6 Case Study VI: Danish Fire
Insurance Data 12 1.4 Notes and Bibliography 16 2 Reinsurance Forms and
their Properties 19 2.1 Quota-share Reinsurance 19 2.1.1 Some Practical
Considerations 20 2.2 Surplus Reinsurance 21 2.3 Excess-of-loss Reinsurance
24 2.3.1 Moment Calculations 25 2.3.2 Reinstatements 27 2.3.3 Further
Practical Considerations 29 2.4 Stop-loss Reinsurance 30 2.5 Large Claim
Reinsurance 31 2.6 Combinations of Reinsurance Forms and Global Protections
32 2.7 Facultative Contracts 33 2.8 Notes and Bibliography 33 3 Models for
Claim Sizes 35 3.1 Tails of Distributions 35 3.2 Large Claims 36 3.3 Common
Claim Size Distributions 40 3.3.1 Light-tailed Models 41 3.3.2 Heavy-tailed
Models 44 3.4 Mean Excess Analysis 49 3.5 Full Models: Splicing 50 3.6
Multivariate Modelling of Large Claims 52 4 Statistics for Claim Sizes 59
4.1 Heavy or Light Tails: QQ- and Derivative Plots 60 4.2 Large Claims
Modelling through Extreme Value Analysis EVA for Pareto-type Tails 63 4.2.1
EVA for Pareto-type Tails 63 4.2.2 General Tail Modelling using EVA 82
4.2.3 EVA under Upper-truncation 91 4.3 Global Fits: Splicing,
Upper-truncation and Interval Censoring 97 4.3.1 Tail-mixed Erlang Splicing
97 4.3.2 Tail-mixed Erlang Splicing under Censoring and Upper-truncation 99
4.4 Incorporating Covariate Information 114 4.4.1 Pareto-type Modelling 114
4.4.2 Generalized Pareto Modelling 116 4.4.3 Regression Extremes with
Censored Data 119 4.5 Multivariate Analysis of Claim Distributions 123
4.5.1 The Multivariate POT Approach 124 4.5.2 Multivariate Mixtures of
Erlangs 125 4.6 Estimation of Other Tail Characteristics 128 4.7 Further
Case Studies 132 4.8 Notes and Bibliography 137 5 Models for Claim Counts
139 5.1 General Treatment 139 5.1.1 Main Properties of the Claim Number
Process 140 5.2 The Poisson Process and its Extensions 141 5.2.1 The
Homogeneous Poisson Process 141 5.2.2 Inhomogeneous Poisson Processes 143
5.2.3 Mixed Poisson Processes 144 5.2.4 Doubly Stochastic Poisson Processes
149 5.3 Other Claim Number Processes 157 5.3.1 The Nearly Mixed Poisson
Model 157 5.3.2 In¿nitely Divisible Processes 158 5.3.3 The Renewal Model
160 5.3.4 Markov Models 161 5.4 Discrete Claim Counts 161 5.5 Statistics of
Claim Counts 164 5.5.1 Modelling Yearly Claim Counts 164 5.5.2 Modelling
the Claim Arrival Process 172 5.6 Claim Numbers under Reinsurance 183 5.6.1
Number of Claims under Excess-loss Reinsurance 183 5.7Notes and
Bibliography 187 6 Total Claim Amount 189 6.1 General Formulas for
Aggregating Independent Risks 189 6.2 Classical Approximations for the
Total Claim Size 191 6.2.1 Approximations based on the First Few Moments
191 6.2.2 Asymptotic Approximations for Light-tailed Claims 193 6.2.3
Asymptotic Approximations for Heavy-tailed Claims 198 6.3 Panjer Recursion
199 6.4 Fast Fourier Transform 200 6.5 Total Claim Amount under Reinsurance
201 6.5.1 Proportional Reinsurance 201 6.5.2 Excess-loss Reinsurance 202
6.5.3 Stop-loss Reinsurance 204 6.6 Numerical Illustrations 206 6.7
Aggregation for Dependent Risks 208 6.8 Notes and Bibliography 212 7
Reinsurance Pricing 217 7.1 Classical Principles of Premium Calculation 219
7.2 Solvency Considerations 219 7.2.1 The Ruin Probability 223 7.2.2
One-year Time Horizon and Cost of Capital 226 7.3 Pricing Proportional
Reinsurance 228 7.4 Pricing Non-proportional Reinsurance 229 7.4.1 Exposure
Rating 229 7.4.2 Experience Rating 232 7.4.3 Aggregate Pure Premium 234 7.5
The Aggregate Risk Margin 235 7.6 Leading and Following Reinsurers 237 7.7
Notes and Bibliography 238 8 Choice of Reinsurance 241 8.1 Decision
Criteria 243 8.2 Classical Optimality Results 245 8.2.1 Pareto-optimal Risk
Sharing 245 8.2.2 Stochastic Ordering 247 8.2.3 Minimizing Retained
Variance 248 8.2.4 Maximizing Expected Utility 251 8.2.5 Minimizing the
Ruin Probability 253 8.2.6 Combining Reinsurance Treaties over
Subportfolios 8.3 Solvency Constraints and Cost of Capital 259 8.4
Minimizing Other Risk Measures 261 8.5 Combining Reinsurance Treaties 262
8.6 Reinsurance Chains 263 8.7 Dynamic Reinsurance 264 8.8 Beyond Piecewise
Linear Contracts 266 8.9 Notes and Bibliography 268 9 Simulation 273 9.1
The Monte Carlo Method 273 9.2 Variance Reduction Techniques 276 9.2.1
Conditional Monte Carlo 277 9.2.2 Importance Sampling 277 9.3 Quasi-Monte
Carlo Techniques 283 9.4 Notes and Bibliography 288 10 Further Topics 291
10.1 More on Large Claim Reinsurance 291 10.1.1 The Ordered Claims 291
10.1.2 Large Claim Reinsurance 296 10.1.3 ECOMOR 298 10.2 Alternative Risk
Transfer 300 10.2.1 Notes and Bibliography 304 10.3 Reinsurance and Finance
305 10.4 Catastrophic Risk 306 References 309 Index 347