Gordon E. Willmot's Books

Loss Models

Further Topics

By: Stuart A. Klugman,Harry H. Panjer,Gordon E. Willmot

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Loss Models

Further Topics

By: Stuart A. Klugman,Harry H. Panjer,Gordon E. Willmot

An essential resource for constructing and analyzing advanced actuarial models Loss Models: Further Topics presents extended coverage of modeling through the use of tools related to risk theory, loss distributions, and survival models. The book uses these methods to construct and evaluate actuarial models in the fields of insurance and business. Providing an advanced study of actuarial methods, the book features extended discussions of risk modeling and risk measures, including Tail-Value-at-Risk. Loss Models: Further Topics contains additional material to accompany the Fourth Edition of Loss Models: From Data to Decisions, such as: Extreme value distributions Coxian and related distributions Mixed Erlang distributions Computational and analytical methods for aggregate claim models Counting processes Compound distributions with time-dependent claim amounts Copula models Continuous time ruin models Interpolation and smoothing The book is an essential reference for practicing actuaries and actuarial researchers who want to go beyond the material required for actuarial qualification. Loss Models: Further Topics is also an excellent resource for graduate students in the actuarial field.

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368

Publisher

John Wiley & Sons

Published Date

ISBN 10

1118343565

ISBN 13

9781118343562

Lundberg Approximations for Compound Distributions with Insurance Applications

By: Gordon E. Willmot,X. Sheldon Lin

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Lundberg Approximations for Compound Distributions with Insurance Applications

By: Gordon E. Willmot,X. Sheldon Lin

These notes represent our summary of much of the recent research that has been done in recent years on approximations and bounds that have been developed for compound distributions and related quantities which are of interest in insurance and other areas of application in applied probability. The basic technique employed in the derivation of many bounds is induc tive, an approach that is motivated by arguments used by Sparre-Andersen (1957) in connection with a renewal risk model in insurance. This technique is both simple and powerful, and yields quite general results. The bounds themselves are motivated by the classical Lundberg exponential bounds which apply to ruin probabilities, and the connection to compound dis tributions is through the interpretation of the ruin probability as the tail probability of a compound geometric distribution. The initial exponential bounds were given in Willmot and Lin (1994), followed by the nonexpo nential generalization in Willmot (1994). Other related work on approximations for compound distributions and applications to various problems in insurance in particular and applied probability in general is also discussed in subsequent chapters. The results obtained or the arguments employed in these situations are similar to those for the compound distributions, and thus we felt it useful to include them in the notes. In many cases we have included exact results, since these are useful in conjunction with the bounds and approximations developed.

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256

Publisher

Springer Science & Business Media

Published Date

ISBN 10

1461301114

ISBN 13

9781461301110

Loss Models: From Data to Decisions, 5e Student Solutions Manual

By: Stuart A. Klugman,Harry H. Panjer,Gordon E. Willmot

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Loss Models: From Data to Decisions, 5e Student Solutions Manual

By: Stuart A. Klugman,Harry H. Panjer,Gordon E. Willmot

Loss Models: From Data to Decisions, Fifth Edition continues to supply actuaries with a practical approach to the key concepts and techniques needed on the job. With updated material and extensive examples, the book successfully provides the essential methods for using available data to construct models for the frequency and severity of future adverse outcomes. The book continues to equip readers with the tools needed for the construction and analysis of mathematical models that describe the process by which funds flow into and out of an insurance system. Focusing on the loss process, the authors explore key quantitative techniques including random variables, basic distributional quantities, and the recursive method, and discuss techniques for classifying and creating distributions. Parametric, non-parametric, and Bayesian estimation methods are thoroughly covered along with advice for choosing an appropriate model. Throughout the book, numerous examples showcase the real-world applications of the presented concepts, with an emphasis on calculations and spreadsheet implementation. Loss Models: From Data to Decisions, Fifth Edition is an indispensable resource for students and aspiring actuaries who are preparing to take the SOA and CAS examinations. The book is also a valuable reference for professional actuaries, actuarial students, and anyone who works with loss and risk models.

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245

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John Wiley & Sons

Published Date

ISBN 10

111953805X

ISBN 13

9781119538059

Surplus Analysis of Sparre Andersen Insurance Risk Processes

By: Gordon E. Willmot,Jae-Kyung Woo

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Surplus Analysis of Sparre Andersen Insurance Risk Processes

By: Gordon E. Willmot,Jae-Kyung Woo

This carefully written monograph covers the Sparre Andersen process in an actuarial context using the renewal process as the model for claim counts. A unified reference on Sparre Andersen (renewal risk) processes is included, often missing from existing literature. The authors explore recent results and analyse various risk theoretic quantities associated with the event of ruin, including the time of ruin and the deficit of ruin. Particular attention is given to the explicit identification of defective renewal equation components, which are needed to analyse various risk theoretic quantities and are also relevant in other subject areas of applied probability such as dams and storage processes, as well as queuing theory. Aimed at researchers interested in risk/ruin theory and related areas, this work will also appeal to graduate students in classical and modern risk theory and Gerber-Shiu analysis.

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228

Publisher

Springer

Published Date

ISBN 10

3319713620

ISBN 13

9783319713625

Loss Models: From Data to Decisions, 4e Student Solutions Manual

By: Stuart A. Klugman,Harry H. Panjer,Gordon E. Willmot

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Loss Models: From Data to Decisions, 4e Student Solutions Manual

By: Stuart A. Klugman,Harry H. Panjer,Gordon E. Willmot

Student Solutions Manual to Accompany Loss Models: From Data to Decisions, Fourth Edition. This volume is organised around the principle that much of actuarial science consists of the construction and analysis of mathematical models which describe the process by which funds flow into and out of an insurance system.

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258

Publisher

John Wiley & Sons

Published Date

ISBN 10

1118472020

ISBN 13

9781118472026

Book's by Gordon E. Willmot

Loss Models

Loss Models

Lundberg Approximations for Compound Distributions with Insurance Applications

Lundberg Approximations for Compound Distributions with Insurance Applications

Loss Models: From Data to Decisions, 5e Student Solutions Manual

Loss Models: From Data to Decisions, 5e Student Solutions Manual

Surplus Analysis of Sparre Andersen Insurance Risk Processes

Surplus Analysis of Sparre Andersen Insurance Risk Processes

Loss Models: From Data to Decisions, 4e Student Solutions Manual

Loss Models: From Data to Decisions, 4e Student Solutions Manual

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