Modern Actuarial Risk Theory Using R
Modern Actuarial Risk Theory contains what every actuary needs to know about non-life insurance mathematics. It starts with the standard material like utility theory, individual and collective model and basic ruin theory. Other topics are risk measur
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Rob Kaas • Marc Goovaerts Jan Dhaene • Michel Denuit
Modern Actuarial Risk Theory Using R Second Edition
Professor Rob Kaas UvA / KE Roetersstraat 11 1018 WB Amsterdam The Netherlands [email protected] Professor Jan Dhaene AFI (Accountancy, Finance, Insurance) Research Group Faculteit Economie en Bedrijfswetenschappen K.U. Leuven University of Amsterdam Naamsestraat 69 3000 Leuven Belgium [email protected]
ISBN: 978-3-540-70992-3
Professor Marc Goovaerts UvA / KE Roetersstraat 11 1018 WB Amsterdam The Netherlands K.U. Leuven University of Amsterdam Naamsestraat 69 3000 Leuven Belgium [email protected] Professor Michel Denuit Institut de Statistique Université Catholique de Louvain Voie du Roman Pays 20 1348 Louvain-la-Neuve Belgium [email protected]
e-ISBN: 978-3-540-70998-5
Library of Congress Control Number: 2008931511 © 2008 Springer-Verlag Berlin Heidelberg This work is subject to copyright. All rights are reserved, whether the whole or part of the material is concerned, specifically the rights of translation, reprinting, reuse of illustrations, recitation, broadcasting, reproduction on microfilm or in any other way, and storage in data banks. Duplication of this publication or parts thereof is permitted only under the provisions of the German Copyright Law of September 9, 1965, in its current version, and permission for use must always be obtained from Springer-Verlag. Violations are liable for prosecution under the German Copyright Law. The use of registered names, trademarks, etc. in this publication does not imply, even in the absence of a specific statement, that such names are exempt from the relevant protective laws and regulations and therefore free for general use. Cover design: WMXDesign GmbH, Heidelberg Printed on acid-free paper 987654321 springer.com
Foreword to the First Edition
Study the past if you would define the future — Confucius, 551 BC - 479 BC
Risk Theory has been identified and recognized as an important part of actuarial education; this is for example documented by the Syllabus of the Society of Actuaries and by the recommendations of the Groupe Consultatif. Hence it is desirable to have a diversity of textbooks in this area. This text in risk theory is original in several respects. In the language of figure skating or gymnastics, the text has two parts, the compulsory part and the freestyle part. The compulsory part includes Chapters 1–4, which are compatible with official material of the Society of Actuaries. This feature makes the text also useful to students who prepare themselves for the actuarial exams. Other chapters are more of a free-style nature, for example Chapter 7 (Ordering of Risks, a speciality of the authors). And I would like to mention Chapters 9 and 11 in particular. To my knowledge, this is the first text in risk theory with an introduction to Generalized Linear Models. Special pedagogical efforts have been made throughout the book. The clear language and the numerous exercises are an example for this. Thus the book can be highly rec
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