Jan Grandell's Books

Aspects of Risk Theory

By: Jan Grandell

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Risk theory, which deals with stochastic models of an insurance business, is a classical application of probability theory. The fundamental problem in risk theory is to investigate the ruin possibility of the risk business. Traditionally the occurrence of the claims is described by a Poisson process and the cost of the claims by a sequence of random variables. This book is a treatise of risk theory with emphasis on models where the occurrence of the claims is described by more general point processes than the Poisson process, such as renewal processes, Cox processes and general stationary point processes. In the Cox case the possibility of risk fluctuation is explicitly taken into account. The presentation is based on modern probabilistic methods rather than on analytic methods. The theory is accompanied with discussions on practical evaluation of ruin probabilities and statistical estimation. Many numerical illustrations of the results are given.

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Page Count

186

Publisher

Springer Science & Business Media

Published Date

ISBN 10

1461390583

ISBN 13

9781461390589

Stochastic Models of Air Pollutant Concentration

By: Jan Grandell

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Stochastic Models of Air Pollutant Concentration

By: Jan Grandell

About fifteen years ago Henning Rodhe and I disscussed the calculation of residence times, or lifetimes, of certain air pollutants for the first time. He was interested in pollutants which were mainly removed from the atmosphere by precipitation scavenging. His idea was to base the calculation on statistical models for the variation of the precipitation i~tensity and not only on the average precipitation intensity. In order to illustrate the importance of taking the variation into account we considered a simple model - here called the Markov model - for the precipitation intensity and computed the distribution of the residence time of an aerosol particle. Our expression for the average residence time - here formula (13- was rather much used by meteorologists. Certainly we were pleased, but while our ambition had been to provide an illustration, our work was merely understood as a proposal for a realistic model. Therefore we found it natural to search for more general models. The mathematical problems involved were the origin of my interest in this field. A brief outline of the background, purpose and content of this paper is given in section 1. It is a pleasure to thank Gunnar Englund, Georg Lindgren, Henning Rodhe and Michael Stein for their substantial help in the pre paration of this paper and Iren Patricius for her assistance in typing.

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Page Count

115

Publisher

Springer Science & Business Media

Published Date

ISBN 10

1461210941

ISBN 13

9781461210948

Reinsurance

Actuarial and Statistical Aspects

By: Hansjörg Albrecher,Jan Beirlant,Jozef L. Teugels

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Reinsurance

Actuarial and Statistical Aspects

By: Hansjörg Albrecher,Jan Beirlant,Jozef L. Teugels

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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Page Count

368

Publisher

John Wiley & Sons

Published Date

ISBN 10

111941993X

ISBN 13

9781119419938

Statistics for Long-Memory Processes

By: Jan Beran

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Statistics for Long-Memory Processes

By: Jan Beran

Statistical Methods for Long Term Memory Processes covers the diverse statistical methods and applications for data with long-range dependence. Presenting material that previously appeared only in journals, the author provides a concise and effective overview of probabilistic foundations, statistical methods, and applications. The material emphasizes basic principles and practical applications and provides an integrated perspective of both theory and practice. This book explores data sets from a wide range of disciplines, such as hydrology, climatology, telecommunications engineering, and high-precision physical measurement. The data sets are conveniently compiled in the index, and this allows readers to view statistical approaches in a practical context. Statistical Methods for Long Term Memory Processes also supplies S-PLUS programs for the major methods discussed. This feature allows the practitioner to apply long memory processes in daily data analysis. For newcomers to the area, the first three chapters provide the basic knowledge necessary for understanding the remainder of the material. To promote selective reading, the author presents the chapters independently. Combining essential methodologies with real-life applications, this outstanding volume is and indispensable reference for statisticians and scientists who analyze data with long-range dependence.

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Page Count

315

Publisher

Routledge

Published Date

ISBN 10

1351414119

ISBN 13

9781351414111

Aspects of Risk Theory

By: Jan Grandell

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Aspects of Risk Theory

By: Jan Grandell

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N/A

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Solve jigsaw puzzle

Age

Page Count

186

Publisher

Springer Science & Business Media

Published Date

ISBN 10

1461390583

ISBN 13

9781461390589

Book's by Jan Grandell

Aspects of Risk Theory

Aspects of Risk Theory

Stochastic Models of Air Pollutant Concentration

Stochastic Models of Air Pollutant Concentration

Reinsurance

Reinsurance

Statistics for Long-Memory Processes

Statistics for Long-Memory Processes

Aspects of Risk Theory

Aspects of Risk Theory

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