Insurance Risk and Ruin

by David C. M. Dickson

Overview

The focus of this book is on the two major areas of risk theory: aggregate claims distributions and ruin theory. For aggregate claims distributions, detailed descriptions are given of recursive techniques that can be used in the individual and collective risk models. For the collective model, the book discusses different classes of counting distribution, and presents recursion schemes for probability functions and moments. For the individual model, the book illustrates the three most commonly applied techniques. Beyond the classical topics in ruin theory, this new edition features an expanded section covering time of ruin problems, Gerber–Shiu functions, and the application of De Vylder approximations. Suitable for a first course in insurance risk theory and extensively classroom tested, the book is accessible to readers with a solid understanding of basic probability. Numerous worked examples are included and each chapter concludes with exercises for which complete solutions are provided.

Product Details

ISBN-13:	9781316839119
Publisher:	Cambridge University Press
Publication date:	10/27/2016
Series:	International Series on Actuarial Science
Sold by:	Barnes & Noble
Format:	eBook
File size:	13 MB
Note:	This product may take a few minutes to download.

About the Author

David C. M. Dickson is Professor of Actuarial Studies at the University of Melbourne. His main research interest is ruin theory, and he has published many papers in the leading international actuarial journals. He is a Fellow of the Institute and Faculty of Actuaries in the UK and the Institute of Actuaries of Australia, and has twice been awarded the H. M. Jackson Prize of the Institute of Actuaries of Australia, most recently for the first edition of this book. He is also a co-author of Actuarial Mathematics for Life Contingent Risks (Cambridge, 2013), the recommended text for the Society of Actuaries MLC exam.

Table of 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; Appendix; Solutions to exercises; References; Index.

Editorial Reviews

"This is a nice introduction to some basic aspects of risk theory, with special emphasis on utility theory, recursive methods and ruin theory. The book is written in a style which is close to what a presentation in a classroom might be: it is narrative and moves ahead from definitions to results in a flow of mathematical arguments and accompanying explanations...The book greatly benefits from numerical illustrations, numerous examples and many exercises and their solutions. What I appreciate most is the way in which the author explains the different topics dealt with in this book." ISI Short Book Reviews

"...this is a nice textbook, especially for students with a limited background in probability. In particular, it should be useful for students studying fro the professional examination.... I am not aware of any book on the same level in which ruin theory is treated so deeply. The numerous exercises allow for the application of theory immediately. For this reason, this book is also ideal for an applied course for students with only a basic introduction to probability."
Journal of the American Statistical Association

"A clear, concise and well written text-book on two daunting actuarial areas... The exposition is so clear that it feels like [the author is] talking to you... This is an excellent book equally suitable for self-study and classroom instruction. It is highly recommended as supplementary reading for students studying for their professional exams and as an overview of the latest developments in risk models, ruin theory and reinsurance for practitioners."
Seow Fan Chong, Annals of Actuarial Science

From the Publisher