Nonlife Actuarial Models

Theory, Methods and Evaluation

Yiu-Kuen Tse (Singapore Management University)

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English

Cambridge University Press
25 May 2023

Insurance & actuarial studies; Probability & statistics; Mathematical modelling

Series: International Series on Actuarial Science

Actuaries must pass exams, but more than that: they must put knowledge into practice. This coherent book supports the Society of Actuaries' short-term actuarial mathematics syllabus while emphasizing the concepts and practical application of nonlife actuarial models. A class-tested textbook for undergraduate courses in actuarial science, it is also ideal for those approaching their professional exams. Key topics covered include loss modelling, risk and ruin theory, credibility theory and applications, and empirical implementation of loss models. Revised and updated to reflect curriculum changes, this second edition includes two brand new chapters on loss reserving and ratemaking. R replaces Excel as the computation tool used throughout – the featured R code is available on the book's webpage, as are lecture slides. Numerous examples and exercises are provided, with many questions adapted from past Society of Actuaries exams.

By: Yiu-Kuen Tse (Singapore Management University)
Imprint: Cambridge University Press
Country of Publication: United Kingdom
Edition: 2nd Revised edition
Dimensions: Height: 235mm, Width: 157mm, Spine: 29mm
Weight: 960g
ISBN: 9781009315074
ISBN 10: 1009315072
Series: International Series on Actuarial Science
Pages: 560
Publication Date: 25 May 2023
Audience: College/higher education , A / AS level
Format: Hardback
Publisher's Status: Active

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. Bühlmann 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; Part V. Loss reserving and ratemaking: 16. Loss reserving; 17. Ratemaking; Appendix: review of statistics; Answers to Exercises; References; Index.

Yiu-Kuen Tse is an Emeritus Professor with the Singapore Management University. He has been a Fellow of the Society of Actuaries since 1993. He has published extensively in the areas of financial data analysis and financial risk management, including the book Financial Mathematics for Actuaries (third edition, 2021) which he co-authored with Wai-Sum Chan.

Reviews for Nonlife Actuarial Models: Theory, Methods and Evaluation

'This book covers the body of knowledge required by the Society of Actuaries (SOA) for its Fundamentals of Actuarial Mathematics Exam (Sections for short-term coverages) starting from 2023. I believe that it is an ideal textbook for a semester course on the introduction of short-term actuarial mathematics. It is also useful for self-study candidates preparing for the actuarial professional exams.' Wai-Sum Chan, Ph.D., FSA, HonFIA, CERA Dean, School of Decision Sciences, The Hang Seng University of Hong Kong 'I taught a statistical modeling course with applications in Actuarial Science. I use this book because it strikes a fine balance for readers who are preparing for Exam C of the Society of Actuaries and for readers who want to pick up skills in statistical modeling. Professor Tse is commended for expertly packing and streamlining a lot of materials (theory, methods, and empirical implementation) of nonlife actuarial models into this book. A welcome change of the second edition is the adoption of R as the computation tool.' Kwok Pui Choi, National University of Singapore