A Multivariate Claim Count Model for Applications in Insurance

Description

This monograph presents a time-dynamic model for multivariate claim counts in actuarial applications. Inspired by real-world claim arrivals, the model balances interesting stylized facts (such as dependence across the components, over-dispersion and the clustering of claims) with a high level of mathematical tractability (including estimation, sampling and convergence results for large portfolios) and can thus be applied in various contexts (such as risk management and pricing of (re-)insurance contracts). The authors provide a detailed analysis of the proposed probabilistic model, discussing its relation to the existing literature, its statistical properties, different estimation strategies as well as possible applications and extensions. Actuaries and researchers working in risk management and premium pricing will find this book particularly interesting. Graduate-level probability theory, stochastic analysis and statistics are required. Front Matter ....Pages i-xii Motivation and Model (Daniela Anna Selch, Matthias Scherer)....Pages 1-12 Properties of the Model (Daniela Anna Selch, Matthias Scherer)....Pages 13-72 Estimation of the Parameters (Daniela Anna Selch, Matthias Scherer)....Pages 73-110 Applications and Extensions (Daniela Anna Selch, Matthias Scherer)....Pages 111-136 Appendix: Technical Background (Daniela Anna Selch, Matthias Scherer)....Pages 137-150 Back Matter ....Pages 151-158