International Series on Actuarial Science 2013/14

International Series on

Actuarial Science 2013/14

Series Editors: Christopher Daykin - Actuarial Consultant and former UK Government Actuary Angus S. Macdonald - Heriot-Watt University

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Contents Computation and Modelling in Insurance and Finance..............................................3 Actuarial Mathematics for Life Contingent Risks.........................................................4 Solutions Manual for Actuarial Mathematics for Life Contingent Risks....................5 Introduction to Mathematical Portfolio Theory..........................................................6 Risk Modelling in General Insurance............................................................................7 Financial Enterprise Risk Management.........................................................................8 Insurance Risk and Ruin.................................................................................................9 Regression Modeling with Actuarial and Financial Applications..............................10 Nonlife Actuarial Models.............................................................................................11 Generalized Linear Models for Insurance Data..........................................................12 Market-Valuation Methods in Life and Pension Insurance.......................................13

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Computation and Modelling in Insurance and Finance Erik Bølviken Universitetet i Oslo

This practical introduction outlines methods for analysing actuarial and financial risk at a fairly elementary mathematical level suitable for graduate students, actuaries and other analysts in the industry who could use simulation as a problem solver. Numerous exercises with R-code illustrate the text.

Contents: 1. Introduction; Part I. Tools for Risk Analysis: 2. Getting started the Monte Carlo way; 3. Evaluating risk: a primer; 4. Monte Carlo II: improving technique; 5. Modelling I: linear dependence; 6. Modelling II: conditional and nonlinear; 7. Historical estimation and error; Part II. General Insurance: 8. Modelling claim frequency; 9. Modelling claim size; 10. Solvency and pricing; 11. Liabilities over long; Part III. Life Insurance and Financial Risk: 12. Life and state-dependent insurance; 13. Stochastic asset models; 14.

Financial derivatives; 15. Risk of different origin; 16.

References; Appendix A. Random variables: principal tool; Appendix B. Linear algebra and stochastic vectors; Appendix C. Numerical algorithms: a third tool; References; Index.

80 b/w illus. 45 tables 550 exercises 9780521830485 | Hardback | ÂŁ65.00 Publication March 2014

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Actuarial Mathematics for Life Contingent Risks Second Edition

David C. M. Dickson University of Melbourne Mary R. Hardy University of Waterloo, Ontario Howard R. Waters Heriot-Watt University, Edinburgh

Three leaders in actuarial science give a modern perspective on life contingencies.

Balancing rigour and intuition, and emphasizing applications, this modern text is ideal for university courses and actuarial exam preparation. This second edition includes brand new chapters and exercises, and will prepare students for the new-style MLC exam.

Contents: Preface to the Second Edition; 1.

Introduction to life insurance; 2. Survival models; 3. Life tables and selection; 4. Insurance benefits; 5. Annuities; 6. Premium calculation; 7. Policy values; 8. Multiple state models; 9. Joint life and last survivor benefits; 10. Pension mathematics; 11. Yield curves and non-diversifiable risk; 12.

Emerging costs for traditional life insurance; 13. Participating and universal life insurance; 14. Emerging costs for equity-linked insurance; 15. Option pricing; 16. Embedded options; A. Probability theory; B. Numerical techniques; C. Simulation; D. Tables; References; Index.

50 b/w illus. 90 tables 210 exercises 9781107044074 | Hardback | ÂŁ50.00 Publication August 2013

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Solutions Manual for Actuarial Mathematics for Life Contingent Risks Second Edition

David C. M. Dickson University of Melbourne Mary R. Hardy University of Waterloo, Ontario Howard R. Waters Heriot-Watt University, Edinburgh

This must-have manual provides solutions to all exercises in the authors’ groundbreaking text, which is required reading for the SOA Exam MLC, and covers virtually the whole syllabus for the UK Subject CT5 exam. Over 200 solutions give insight as well as exam preparation. Companion spreadsheets are freely available online.

Contents: Preface; Solutions for Chapter 1; Solutions for Chapter 2; Solutions for Chapter 3; Solutions for Chapter 4; Solutions for Chapter 5; Solutions for Chapter 6; Solutions for Chapter 7; Solutions for Chapter 8; Solutions for Chapter 9; Solutions for Chapter 10; Solutions for Chapter 11; Solutions for Chapter 12; Solutions for Chapter 13; Solutions for Chapter 14; Solutions for Chapter 15; Solutions for Chapter 16.

9781107620261 | Paperback | ÂŁ20.00 Publication August 2013

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Introduction to Mathematical Portfolio Theory Mark S. Joshi University of Melbourne Jane M. Paterson

A concise yet comprehensive guide to the mathematics of portfolio theory from a modelling perspective, with discussion of the assumptions, limitations and implementations of the models as well as the theory underlying them. Aimed at advanced undergraduates, this book can be used for self-study or as a course text.

Contents: Preface; 1. Definitions of risk and return; 2. Efficient portfolios: the two-asset case; 3. Portfolios with a risk-free asset; 4. Finding the efficient frontier – the multi-asset case; 5.

Single-factor models; 6. Multi-factor models; 7.

Introducing utility; 8. Utility and risk aversion; 9.

Foundations of utility theory; 10. Maximising longterm growth; 11. Stochastic dominance; 12. Risk measures; 13. The Capital Asset Pricing Model; 14.

The arbitrage pricing model; 15. Market efficiency and rationality; 16. Brownian motion and stock price models across time; Appendix A. Matrix algebra; Appendix B. Solutions; References; Index.

30 b/w illus. 170 exercises 9781107042315 | Hardback | ÂŁ40.00 Publication July 2013

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Risk Modelling in General Insurance From Principles to Practice Roger J. Gray Heriot-Watt University, Edinburgh Susan M. Pitts University of Cambridge

This book presents a wide range of statistical and probabilistic topics to give students a firm foundation in actuarial concepts and their applications. It covers much of the international syllabuses for professional actuarial examinations in risk models, but goes much further with detailed case studies, exercises and help using R. Contents: Preface; 1. Introduction; 2. Models for claim numbers and claim sizes; 3. Short term risk models; 4. Model based pricing – setting premiums; 5. Risk sharing – reinsurance and deductibles; 6.

Ruin theory for the classical risk model; 7. Case studies; 8. Appendix: utility theory; Answers to exercises; Index.

45 b/w illus. 30 tables 140 exercises 9780521863940 | Hardback | £45.00 Publication June 2012

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Financial Enterprise Risk Management Paul Sweeting University of Kent, Canterbury

An excellent resource for actuarial students studying for examinations in enterprise risk management; for risk management practitioners involved with banks, insurance companies and pension schemes; and for academics looking for an up-to-date reference. This book covers the full range of qualitative and quantitative techniques needed and includes various case studies.

Contents: Preface; 1. An introduction to ERM; 2. Types of financial institution; 3. Stakeholders; 4. The internal environment; 5. The external environment; 6. Process overview; 7. Definitions of risk; 8. Risk identification; 9. Some useful statistics; 10. Statistical distributions; 11. Modelling techniques; 12. Extreme value theory; 13.

Modelling time series; 14. Quantifying particular risks; 15. Risk assessment; 16. Responses to risk; 17. Continuous considerations; 18. Economic capital; 19. Risk frameworks; 20. Case studies; Index.

120 b/w illus. 25 tables 9780521111645 | Hardback | ÂŁ70.00 Publication September 2011

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Insurance Risk and Ruin David C. M. Dickson University of Melbourne

The book is ideal for a first course in insurance risk theory. It focuses on major areas in this subject - aggregate claims distributions, ruin theory, utility theory, premium calculation principles and reinsurance problems.

Numerous worked examples are included and each chapter has exercises for which outline solutions are provided.

Contents: Preface; 1. Probability distributions and insurance applications; 2. Utility theory; 3. Principles of premium calculation; 4. The collective risk model; 5. The individual risk model; 6. Introduction to ruin theory; 7. Classical ruin theory; 8. Advanced ruin theory; 9. Reinsurance; References; Solutions to exercises; Index.

50 b/w illus. 15 tables 75 exercises 9780521176750 | Paperback | ÂŁ31.99 Publication September 2010

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Regression Modeling with Actuarial and Financial Applications Edward W. Frees University of Wisconsin, Madison

Gives actuarial and finance students a foundation in multiple regression and time series, and discusses advanced statistical topics that are relevant to actuarial and financial practice. It uses statistical techniques to analyze real data in risk management and finance. No specific knowledge of these areas is presumed.

Contents: 1. Regression and the normal distribution; Part I: Linear Regression. Part II: Topics in Time Series. Part III: Topics in Nonlinear Regression. Part IV: Actuarial Applications.

Appendix 1: basic statistical inference; Appendix 2: matrix algebra; Appendix 3: probability tables.

139 b/w illus. 142 tables 89 exercises 9780521760119 | Hardback | ÂŁ94.00 9780521135962 | Paperback | ÂŁ39.99 Publication February 2010

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Nonlife Actuarial Models Theory, Methods and Evaluation Yiu-Kuen Tse Singapore Management University

Actuaries must pass exams, but more than that: they must put knowledge into practice.

This coherent textbook gives complete syllabus coverage for Exam C of the Society of Actuaries (SOA) while emphasizing the concepts and practical application of nonlife actuarial models. It has also been class-tested for undergraduate university courses.

Contents: Preface; Notation and convention; Part I. Loss Models: 1. Claim-frequency distribution; 2. Claim-severity distribution; 3. Aggregate-loss models; Part II. Risk and Ruin: 4. Risk measures; 5.

Ruin theory; Part III. Credibility: 6. Classical credibility; 7. BĂźhlmann credibility; 8. Bayesian approach; 9.

Empirical implementation of credibility; Part IV. Model Construction and Evaluation: 10. Model estimation and types of data; 11. Nonparametric model estimation; 12. Parametric model estimation; 13. Model evaluation and selection; 14. Basic Monte Carlo methods; 15. Applications of Monte Carlo methods; Appendix. Review of statistics; Answers to exercises; References; Index.

1 b/w illus. 55 tables 350 exercises 9780521764650 | Hardback | ÂŁ43.00 Publication September 2009

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Generalized Linear Models for Insurance Data Piet de Jong Macquarie University, Sydney Gillian Z. Heller Macquarie University, Sydney

Actuaries should have the tools they need.

Practical and rigorous, this books introduces GLMs in the actuarial context. All techniques are illustrated on data sets relevant to insurance. Exercises and data-based practicals let readers consolidate skills. SAS code and output, data sets, exercise solutions on website.

Contents: Preface; 1. Insurance data; 2. Response distributions; 3. Exponential family responses and estimation; 4. Linear modeling; 5. Generalized linear models; 6. Models for count data; 7.

Categorical responses; 8. Continuous responses; 9.

Correlated data; 10. Extensions to the Generalized linear model; Appendix 1. Computer code and output; Bibliography; Index.

34 b/w illus. 5 colour illus. 43 tables 25 exercises 9780521879149 | Hardback | ÂŁ45.00 Publication February 2008

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Market-Valuation Methods in Life and Pension Insurance Thomas Møller PFA Pensions, Copenhagen Mogens Steffensen University of Copenhagen

Students and practitioners needing a guide to life insurance accounting and product development will welcome this book. New developments in life insurance mathematics are described, together with more traditional methods, with various chapters addressing specific aspects of market-based valuation.

Contents: Preface; 1. Introduction and life insurance practice; 2. Technical reserves and market value; 3. Interest rate theory in insurance; 4. Bonus, binomial and Black-Scholes; 5. Integrated actuarial and financial valuation; 6. Surplus-linked life insurance; 7. Interest rate derivatives in insurance; Appendix A. 19 b/w illus. 6 tables 9780521868778 | Hardback | ÂŁ68.00 Publication January 2007

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