Loss Models: From Data to Decisions, 5/e (Hardcover)

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

  • 出版商: Wiley
  • 出版日期: 2019-01-17
  • 售價: $5,589
  • 貴賓價: 9.8$5,477
  • 語言: 英文
  • 頁數: 560
  • 裝訂: Hardcover - also called cloth, retail trade, or trade
  • ISBN: 1119523788
  • ISBN-13: 9781119523789

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A guide that provides in-depth coverage of modeling techniques used throughout many branches of actuarial science, revised and updated

Now in its fifth edition, Loss Models: From Data to Decisions puts the focus on material tested in the Society of Actuaries (SOA) newly revised Exams STAM (Short-Term Actuarial Mathematics) and LTAM (Long-Term Actuarial Mathematics). Updated to reflect these exam changes, this vital resource offers actuaries, and those aspiring to the profession, a practical approach to the concepts and techniques needed to succeed in the profession. The techniques are also valuable for anyone who uses loss data to build models for assessing risks of any kind.

Loss Models contains a wealth of examples that highlight the real-world applications of the concepts presented, and puts the emphasis on calculations and spreadsheet implementation. With a focus on the loss process, the book reviews the essential quantitative techniques such as random variables, basic distributional quantities, and the recursive method, and discusses techniques for classifying and creating distributions. Parametric, non-parametric, and Bayesian estimation methods are thoroughly covered. In addition, the authors offer practical advice for choosing an appropriate model. This important text:

- Presents a revised and updated edition of the classic guide for actuaries that aligns with newly introduced Exams STAM and LTAM

- Contains a wealth of exercises taken from previous exams

- Includes fresh and additional content related to the material required by the Society of Actuaries (SOA) and the Canadian Institute of Actuaries (CIA)

- Offers a solutions manual available for further insight, and all the data sets and supplemental material are posted on a companion site

Written for students and aspiring actuaries who are preparing to take the SOA examinations, Loss Models offers an essential guide to the concepts and techniques of actuarial science.


STUART A. KLUGMAN, PHD, FSA, CERA, is Staff Fellow (Education) at the Society of Actuaries (SOA) and Principal Financial Group Distinguished Professor Emeritus of Actuarial Science at Drake University. He has served as SOA vice president.

HARRY H. PANJER, PHD, FSA, FCIA, CERA, HonFIA, is Distinguished Professor Emeritus in the Department of Statistics and Actuarial Science at the University of Waterloo, Canada. He has served as CIA president and as SOA president.

GORDON E. WILLMOT, PHD, FSA, FCIA, is Munich Re Chair in Insurance and Professor in the Department of Statistics and Actuarial Science at the University of Waterloo, Canada.


Part I Introduction
1 Modeling
2 Random Variables
3 Basic Distributional Quantities
Part II Actuarial Models
4 Characteristics of Actuarial Models
5 Continuous Models
6 Discrete Distributions
7 Advanced Discrete Distributions
8 Frequency and Severity with Coverage Modifications
9 Aggregate Loss Models
Part III Mathematical Statistics
10 Introduction to Mathematical Statistics
11 Maximum Likelihood Estimation
12 Frequentist Estimation for Discrete Distributions
13 Bayesian Estimation
Part IV Construction of Models
14 Construction of Empirical Models
15 Model Selection
Part V Credibility
16 Introduction to Limited Fluctuation Credibility
17 Greatest Accuracy Credibility
18 Empirical Bayes Parameter Estimation
Part VI Simulation
19 Simulation
A An Inventory of Continuous Distributions
B An Inventory of Discrete Distributions
C Frequency and Severity Relationships
D The Recursive Formula
E Discretization of the Severity Distribution