Nonlife Actuarial Models
Theory, Methods and Evaluation

An updated edition of the invaluable textbook on the concepts and practical application of nonlife actuarial models.

Yiu-Kuen Tse (Author)

9781009315074, Cambridge University Press

Hardback, published 25 May 2023

560 pages
23.5 x 15.7 x 2.9 cm, 0.96 kg

'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

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.

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.

Subject Areas: Mathematical modelling [PBWH], Probability & statistics [PBT], Insurance & actuarial studies [KFFN]