Download or read book Analysis of Time Dependent Aggregate Claims written by Di Xu and published by . This book was released on 2016 with total page 122 pages. Available in PDF, EPUB and Kindle. Book excerpt: Estimation of aggregate claim amounts is a fundamental task in Actuarial science, based on which risk theory, ruin theory and reinsurance theory can be studied. Properties, including moments, Laplace transforms, and probability functions of aggregate claims have been extensively studied by many scholars under various models (see, e.g., Hogg and Klugman (1984)). The main classical model is the compound Poisson risk model, where the interclaim times are independent of the claim severities. Scholars started to explore this problem by considering more general counting processes, such as mixed Poisson processes (e.g., Willmot (1986)) and renewal processes (e.g., Andersen (1957)). Afterwards, the independence assumptions on multiple risk factors were gradually relaxed. Additionally, the observation times are further randomized to fit the reality better. In this thesis, we propose to analyze the aggregate claims until both randomized and deterministic time horizons by incorporating inflation and payment (reporting) delays into the analysis. Dependence between the claim occurrence times (also interclaim times) and claim severities is further considered. A comprehensive review on the study of the aggregate claims is given in Chapter 1. Chapter 2 introduces the relevant preliminary knowledge on the aggregate models and techniques used in this thesis. Chapter 3 examines the Laplace transforms of the aggregate claims under a nonhomogeneous birth process, which covers Poisson, mixed Poisson and linear contagion model. Furthermore, the claim occurrence times influence the distribution of the claim severities. Under some assumptions on the counting process, the time-dependent aggregate claims are represented as a random sum of independent and identically distributed random variables. The aggregate incurred but not reported (IBNR) claims are studied in Chapter 4 due to their essential role in reserving. A recursive formula is identified for the moments of the total discounted IBNR claims under a generalized renewal risk model where the interclaim times, claim severities and random reporting lags have an arbitrary dependence structure. The probability mass function of the number of IBNR claims is obtained under certain assumptions on the marginal distributions of the interclaim times, claim severities and reporting lags. To address the influence of the economic environment, a Markovian arrival process is introduced in Chapter 5 to analyze the IBNR claim problem. A straightforward representation and a closed-form expression are identified for the moments of the total discounted IBNR claim amount and numbers respectively without adding much difficulty to the analysis. Instead of a deterministic time horizon as considered in Chapters 3, 4 and 5, attention has also been paid to the analysis under a randomized observation time (see, e.g., Stanford et al. (2005) and Ramaswami et al. (2008)). Randomization in the time horizon usually leads to more tractable expressions for given quantities (e.g., Albrecher et al. (2011, 2013)). However, in the case of time-dependent aggregate claims, it only adds extra integration to the expressions of relevant quantities. In this thesis, instead of working with general random time horizons, we work with some specific random time horizons, i.e. two-sided exit time, in Chapter 6. The two-sided exit problem has been the subject matter of risk management analysis to better understand the dynamic of various insurance risk processes. In the two-sided exit setting, the discounted aggregate claims are investigated under a dependent renewal process (also known as dependent Sparre Andersen risk process). Utilizing Laplace transforms, we identify the fundamental solutions to a given integral equation, which will be shown to play a role similar to the scale matrix for spectrally-negative Markov-additive processes (e.g., Kyprianou and Palmowski (2008)). Explicit expressions and recursions are then identified for the two-sided probabilities and the moments of the aggregate claims respectively. Chapter 7 ends the thesis by some concluding remarks and directions for future research.

Download or read book RUIN ANALYSIS OF CORRELATED AG written by Lai-Mei Wan and published by Open Dissertation Press. This book was released on 2017-01-27 with total page 80 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation, "Ruin Analysis of Correlated Aggregate Claims Models" by Lai-mei, Wan, was obtained from The University of Hong Kong (Pokfulam, Hong Kong) and is being sold pursuant to Creative Commons: Attribution 3.0 Hong Kong License. The content of this dissertation has not been altered in any way. We have altered the formatting in order to facilitate the ease of printing and reading of the dissertation. All rights not granted by the above license are retained by the author. Abstract: Abstract of thesis entitled RUIN ANALYSIS OF CORRELATED AGGREGATE CLAIMS MODELS Submitted by WAN LAI MEI for the degree of Master of Philosophy at The University of Hong Kong in January 2005 In recent years, study of risk models with dependent classes of insurance business has become a popular topic in actuarial science. The main theme of this the- sis is to explore more general models which include various types of dependence structures among classes in a book of insurance business. Specifically, ruin anal- ysis was performed on two correlated aggregate claims models for a book of m (m>= 2) dependent classes of insurance business. Firstly, a discrete-time risk model was considered with m dependent classes of business in which a time-series approach was adopted. The claim processes of the m classes were assumed to follow a multivariate autoregressive time-series model of order 1. In this framework, different classes were dependent due to the time-series structure and the correlation among current claims. The probability of ruin for the risk model was studied. In the case of m = 2, simulation studiesfor absolutely continuous bivariate exponential (ACBVE) claim distribution and bivariate gamma claim distribution were performed. Next, a continuous-time risk model with m dependent classes of insurance business was investigated. The claim-number processes of the m classes were correlated due to the so-called thinning dependence together with a common shock. Various aspects of the proposed model were examined, and the impact of therelationofdependenceviatheadjustmentcoefficientwasthenstudied. Inthe bivariate case (m = 2), a numerical study was performed for exponential claim distribution and simulation studies were carried out for non-exponential claim distributions. DOI: 10.5353/th_b3070570 Subjects: Risk (Insurance) Probabilities Insurance claims - Mathematical models Insurance - Mathematics

Download or read book Extremes on the Discounted Aggregate Claims in a Time Dependent Risk Model written by Alexandru Vali Asimit and published by . This book was released on 2013 with total page 16 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper presents an extension of the classical compound Poisson risk model for which the inter-claim time and the forthcoming claim amount are no longer independent random variables. Asymptotic tail probabilities for the discounted aggregate claims are presented when the force of interest is constant and the claim amounts are heavy tail distributed random variables. Furthermore, we derive asymptotic finite time ruin probabilities, as well as asymptotic approximations for some common risk measures associated with the discounted aggregate claims. A simulation study is performed in order to validate the results obtained in the free interest risk model.

Download or read book Analysis of Aggregate Longitudinal Data with Time dependent Exposure written by Benjamin French and published by . This book was released on 2008 with total page 131 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Probability Combinatorics and Control written by Andrey Kostogryzov and published by BoD – Books on Demand. This book was released on 2020-04-15 with total page 336 pages. Available in PDF, EPUB and Kindle. Book excerpt: Probabilistic and combinatorial techniques are often used for solving advanced problems. This book describes different probabilistic modeling methods and their applications in various areas, such as artificial intelligence, offshore platforms, social networks, and others. It aims to educate how modern probabilistic and combinatorial models may be created to formalize uncertainties; to train how new probabilistic models can be generated for the systems of complex structures; to describe the correct use of the presented models for rational control in systems creation and operation; and to demonstrate analytical possibilities and practical effects for solving different system problems on each life cycle stage.

Download or read book Surplus Analysis of Sparre Andersen Insurance Risk Processes written by Gordon E. Willmot and published by Springer. This book was released on 2017-12-21 with total page 228 pages. Available in PDF, EPUB and Kindle. Book excerpt: This carefully written monograph covers the Sparre Andersen process in an actuarial context using the renewal process as the model for claim counts. A unified reference on Sparre Andersen (renewal risk) processes is included, often missing from existing literature. The authors explore recent results and analyse various risk theoretic quantities associated with the event of ruin, including the time of ruin and the deficit of ruin. Particular attention is given to the explicit identification of defective renewal equation components, which are needed to analyse various risk theoretic quantities and are also relevant in other subject areas of applied probability such as dams and storage processes, as well as queuing theory. Aimed at researchers interested in risk/ruin theory and related areas, this work will also appeal to graduate students in classical and modern risk theory and Gerber-Shiu analysis.

Download or read book Encyclopedia of Quantitative Risk Analysis and Assessment written by and published by John Wiley & Sons. This book was released on 2008-09-02 with total page 2163 pages. Available in PDF, EPUB and Kindle. Book excerpt: Leading the way in this field, the Encyclopedia of Quantitative Risk Analysis and Assessment is the first publication to offer a modern, comprehensive and in-depth resource to the huge variety of disciplines involved. A truly international work, its coverage ranges across risk issues pertinent to life scientists, engineers, policy makers, healthcare professionals, the finance industry, the military and practising statisticians. Drawing on the expertise of world-renowned authors and editors in this field this title provides up-to-date material on drug safety, investment theory, public policy applications, transportation safety, public perception of risk, epidemiological risk, national defence and security, critical infrastructure, and program management. This major publication is easily accessible for all those involved in the field of risk assessment and analysis. For ease-of-use it is available in print and online.

Download or read book Ruin Probabilities 2nd Edition written by Soren Asmussen and published by World Scientific. This book was released on 2010-09-09 with total page 621 pages. Available in PDF, EPUB and Kindle. Book excerpt: The book gives a comprehensive treatment of the classical and modern ruin probability theory. Some of the topics are Lundberg's inequality, the Cramér-Lundberg approximation, exact solutions, other approximations (e.g., for heavy-tailed claim size distributions), finite horizon ruin probabilities, extensions of the classical compound Poisson model to allow for reserve-dependent premiums, Markov-modulation, periodicity, change of measure techniques, phase-type distributions as a computational vehicle and the connection to other applied probability areas, like queueing theory. In this substantially updated and extended second version, new topics include stochastic control, fluctuation theory for Levy processes, Gerber-Shiu functions and dependence.

Download or read book Striatal Signaling Two Decades of Progress written by Emmanuel Valjent and published by Frontiers E-books. This book was released on with total page 216 pages. Available in PDF, EPUB and Kindle. Book excerpt: This Research Topic aims to highlight and cover recent understanding on striatal signaling pathways, which are activated by a variety of therapeutic agents or drugs of abuse in physiological and pathological context. The recent development of different mouse models allowing the identification of specific cell types and neuronal circuits in which a given signaling pathway is activated in various physiological and pathological conditions provides essential information and allowed to untangle the complexity of study signal transduction in the brain in vivo.

Download or read book Biomechanics at Micro and Nanoscale Levels written by Hiroshi Wada and published by World Scientific. This book was released on 2006 with total page 178 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume contains the proceedings of the 8th Epioptics Workshop, held at the Ettore Majorana Foundation and Centre for Scientific Culture, Erice, Sicily. The book assesses the capabilities of state-of-the-art optical techniques in elucidating the fundamental electronic and structural properties of semiconductor and metal surfaces, interfaces, thin layers, and layer structures. The contributions consider the usefulness of these techniques for optimization of high quality multilayer samples through feedback control during materials growth and processing. Particular emphasis is placed on the theory of non-linear optics and on dynamical processes through the use of pump-probe techniques together with the search for new optical sources. Some new applications of Scanning Near-field Optical Microscopy to material science and biological samples, dried and in vivo, with the use of different laser sources are also included.

Download or read book Methods and Applications of Statistics in the Life and Health Sciences written by Narayanaswamy Balakrishnan and published by John Wiley & Sons. This book was released on 2009-12-02 with total page 1027 pages. Available in PDF, EPUB and Kindle. Book excerpt: Inspired by the Encyclopedia of Statistical Sciences, Second Edition, this volume outlines the statistical tools for successfully working with modern life and health sciences research Data collection holds an essential part in dictating the future of health sciences and public health, as the compilation of statistics allows researchers and medical practitioners to monitor trends in health status, identify health problems, and evaluate the impact of health policies and programs. Methods and Applications of Statistics in the Life and Health Sciences serves as a single, one-of-a-kind resource on the wide range of statistical methods, techniques, and applications that are applied in modern life and health sciences in research. Specially designed to present encyclopedic content in an accessible and self-contained format, this book outlines thorough coverage of the underlying theory and standard applications to research in related disciplines such as biology, epidemiology, clinical trials, and public health. Uniquely combining established literature with cutting-edge research, this book contains classical works and more than twenty-five new articles and completely revised contributions from the acclaimed Encyclopedia of Statistical Sciences, Second Edition. The result is a compilation of more than eighty articles that explores classic methodology and new topics, including: Sequential methods in biomedical research Statistical measures of human quality of life Change-point methods in genetics Sample size determination for clinical trials Mixed-effects regression models for predicting pre-clinical disease Probabilistic and statistical models for conception Statistical methods are explored and applied to population growth, disease detection and treatment, genetic and genomic research, drug development, clinical trials, screening and prevention, and the assessment of rehabilitation, recovery, and quality of life. These topics are explored in contributions written by more than 100 leading academics, researchers, and practitioners who utilize various statistical practices, such as election bias, survival analysis, missing data techniques, and cluster analysis for handling the wide array of modern issues in the life and health sciences. With its combination of traditional methodology and newly developed research, Methods and Applications of Statistics in the Life and Health Sciences has everything students, academics, and researchers in the life and health sciences need to build and apply their knowledge of statistical methods and applications.

Download or read book Causal Analysis in Population Studies written by Henriette Engelhardt and published by Springer Science & Business Media. This book was released on 2009-05-05 with total page 253 pages. Available in PDF, EPUB and Kindle. Book excerpt: The central aim of many studies in population research and demography is to explain cause-effect relationships among variables or events. For decades, population scientists have concentrated their efforts on estimating the ‘causes of effects’ by applying standard cross-sectional and dynamic regression techniques, with regression coefficients routinely being understood as estimates of causal effects. The standard approach to infer the ‘effects of causes’ in natural sciences and in psychology is to conduct randomized experiments. In population studies, experimental designs are generally infeasible. In population studies, most research is based on non-experimental designs (observational or survey designs) and rarely on quasi experiments or natural experiments. Using non-experimental designs to infer causal relationships—i.e. relationships that can ultimately inform policies or interventions—is a complex undertaking. Specifically, treatment effects can be inferred from non-experimental data with a counterfactual approach. In this counterfactual perspective, causal effects are defined as the difference between the potential outcome irrespective of whether or not an individual had received a certain treatment (or experienced a certain cause). The counterfactual approach to estimate effects of causes from quasi-experimental data or from observational studies was first proposed by Rubin in 1974 and further developed by James Heckman and others. This book presents both theoretical contributions and empirical applications of the counterfactual approach to causal inference.

Download or read book Asphalt aggregate Mixture Analysis System AAMAS written by National Research Council (U.S.). Transportation Research Board and published by Transportation Research Board. This book was released on 1991 with total page 196 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Dependence Modeling written by Harry Joe and published by World Scientific. This book was released on 2011 with total page 370 pages. Available in PDF, EPUB and Kindle. Book excerpt: 1. Introduction : Dependence modeling / D. Kurowicka -- 2. Multivariate copulae / M. Fischer -- 3. Vines arise / R.M. Cooke, H. Joe and K. Aas -- 4. Sampling count variables with specified Pearson correlation : A comparison between a naive and a C-vine sampling approach / V. Erhardt and C. Czado -- 5. Micro correlations and tail dependence / R.M. Cooke, C. Kousky and H. Joe -- 6. The Copula information criterion and Its implications for the maximum pseudo-likelihood estimator / S. Gronneberg -- 7. Dependence comparisons of vine copulae with four or more variables / H. Joe -- 8. Tail dependence in vine copulae / H. Joe -- 9. Counting vines / O. Morales-Napoles -- 10. Regular vines : Generation algorithm and number of equivalence classes / H. Joe, R.M. Cooke and D. Kurowicka -- 11. Optimal truncation of vines / D. Kurowicka -- 12. Bayesian inference for D-vines : Estimation and model selection / C. Czado and A. Min -- 13. Analysis of Australian electricity loads using joint Bayesian inference of D-vines with autoregressive margins / C. Czado, F. Gartner and A. Min -- 14. Non-parametric Bayesian belief nets versus vines / A. Hanea -- 15. Modeling dependence between financial returns using pair-copula constructions / K. Aas and D. Berg -- 16. Dynamic D-vine model / A. Heinen and A. Valdesogo -- 17. Summary and future directions / D. Kurowicka

Download or read book Biological Small Angle Scattering written by Eaton E. Lattman and published by Oxford University Press. This book was released on 2018-07-04 with total page 248 pages. Available in PDF, EPUB and Kindle. Book excerpt: Small angle solution scattering (SAS) is increasingly being applied to biological problems. It is a complementary technique that, when applied in appropriate circumstances with carefully structured questions, can provide unique information not available from other techniques. While small angle solution scattering has been around for some time, a confluence of recent developments has dramatically enhanced its power. Intense third generation X-ray sources, low noise detectors, development of new algorithms and the computational power to take advantage of these have all matured, and use of free-electron x-ray laser sources is on the horizon. Whole new classes of experiments and analyses have been created as a result. These include the generation of molecular envelopes, the ability to do time-resolved studies, and the ability to account for structural changes using modelling based on the SAS data. The technical improvements have also reduced the amount of time and material needed to carry out an experiment. Beamtime at synchrotron sources is in demand, workshops on the subject are popular and researchers adopting the technique as part of their repertoire are growing. With these in mind, this book was written to guide structural biologists who may wish to adopt the technique, understand its strengths and weaknesses or just have a general interest in its potential.

Download or read book Life Cycle Analysis and Assessment in Civil Engineering Towards an Integrated Vision written by Robby Caspeele and published by CRC Press. This book was released on 2018-10-15 with total page 5111 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume contains the papers presented at IALCCE2018, the Sixth International Symposium on Life-Cycle Civil Engineering (IALCCE2018), held in Ghent, Belgium, October 28-31, 2018. It consists of a book of extended abstracts and a USB device with full papers including the Fazlur R. Khan lecture, 8 keynote lectures, and 390 technical papers from all over the world. Contributions relate to design, inspection, assessment, maintenance or optimization in the framework of life-cycle analysis of civil engineering structures and infrastructure systems. Life-cycle aspects that are developed and discussed range from structural safety and durability to sustainability, serviceability, robustness and resilience. Applications relate to buildings, bridges and viaducts, highways and runways, tunnels and underground structures, off-shore and marine structures, dams and hydraulic structures, prefabricated design, infrastructure systems, etc. During the IALCCE2018 conference a particular focus is put on the cross-fertilization between different sub-areas of expertise and the development of an overall vision for life-cycle analysis in civil engineering. The aim of the editors is to provide a valuable source of cutting edge information for anyone interested in life-cycle analysis and assessment in civil engineering, including researchers, practising engineers, consultants, contractors, decision makers and representatives from local authorities.

Download or read book Capacity Planning in Stochastic and Time dependent Operations Systems written by Jannik Vogel and published by . This book was released on 2020 with total page 136 pages. Available in PDF, EPUB and Kindle. Book excerpt: