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Stochastic Claims Reserving Methods in Insurance (Hardcover)
Loot Price: R2,269
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Stochastic Claims Reserving Methods in Insurance (Hardcover)
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Claims reserving is central to the insurance industry. Insurance
liabilities depend on a number of different risk factors which need
to be predicted accurately. This prediction of risk factors and
outstanding loss liabilities is the core for pricing insurance
products, determining the profitability of an insurance company and
for considering the financial strength (solvency) of the company.
Following several high-profile company insolvencies, regulatory
requirements have moved towards a risk-adjusted basis which has
lead to the Solvency II developments. The key focus in the new
regime is that financial companies need to analyze adverse
developments in their portfolios. Reserving actuaries now have to
not only estimate reserves for the outstanding loss liabilities but
also to quantify possible shortfalls in these reserves that may
lead to potential losses. Such an analysis requires stochastic
modeling of loss liability cash flows and it can only be done
within a stochastic framework. Therefore stochastic loss liability
modeling and quantifying prediction uncertainties has become
standard under the new legal framework for the financial industry.
This book covers all the mathematical theory and practical
guidance needed in order to adhere to these stochastic techniques.
Starting with the basic mathematical methods, working right through
to the latest developments relevant for practical applications;
readers will find out how to estimate total claims reserves while
at the same time predicting errors and uncertainty are quantified.
Accompanying datasets demonstrate all the techniques, which are
easily implemented in a spreadsheet. A practical and essential
guide, this book is a must-read in the light of the new solvency
requirements for the whole insurance industry
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