Harry H. Panjer - Böcker

Discover how to optimize business strategies from both qualitative and quantitative points of view Operational Risk: Modeling Analytics is organized around the principle that the analysis of operational risk consists, in part, of the collection of data and the building of mathematical models to describe risk. This book is designed to provide risk analysts with a framework of the mathematical models and methods used in the measurement and modeling of operational risk in both the banking and insurance sectors. Beginning with a foundation for operational risk modeling and a focus on the modeling process, the book flows logically to discussion of probabilistic tools for operational risk modeling and statistical methods for calibrating models of operational risk. Exercises are included in chapters involving numerical computations for students' practice and reinforcement of concepts. Written by Harry Panjer, one of the foremost authorities in the world on risk modeling and its effects in business management, this is the first comprehensive book dedicated to the quantitative assessment of operational risk using the tools of probability, statistics, and actuarial science. In addition to providing great detail of the many probabilistic and statistical methods used in operational risk, this book features:* Ample exercises to further elucidate the concepts in the text* Definitive coverage of distribution functions and related concepts* Models for the size of losses* Models for frequency of loss* Aggregate loss modeling* Extreme value modeling* Dependency modeling using copulas* Statistical methods in model selection and calibration Assuming no previous expertise in either operational risk terminology or in mathematical statistics, the text is designed for beginning graduate-level courses on risk and operational management or enterprise risk management. This book is also useful as a reference for practitioners in both enterprise risk management and risk and operational management.

Student Solutions Manual to Accompany Loss Models: From Data to Decisions, Fourth Edition. This volume is organised around the principle that much of actuarial science consists of the construction and analysis of mathematical models which describe the process by which funds flow into and out of an insurance system.

An essential resource for constructing and analyzing advanced actuarial models  Loss Models: Further Topics presents extended coverage of modeling through the use of tools related to risk theory, loss distributions, and survival models. The book uses these methods to construct and evaluate actuarial models in the fields of insurance and business. Providing an advanced study of actuarial methods, the book features extended discussions of risk modeling and risk measures, including Tail-Value-at-Risk. Loss Models: Further Topics contains additional material to accompany the Fourth Edition of Loss Models: From Data to Decisions, such as: Extreme value distributionsCoxian and related distributionsMixed Erlang distributionsComputational and analytical methods for aggregate claim modelsCounting processesCompound distributions with time-dependent claim amountsCopula modelsContinuous time ruin modelsInterpolation and smoothingThe book is an essential reference for practicing actuaries and actuarial researchers who want to go beyond the material required for actuarial qualification. Loss Models: Further Topics is also an excellent resource for graduate students in the actuarial field.

A guide that provides in-depth coverage of modeling techniques used throughout many branches of actuarial science, revised and updatedNow in its fifth edition, Loss Models: From Data to Decisions puts the focus on material tested in the Society of Actuaries (SOA) newly revised Exams STAM (Short-Term Actuarial Mathematics) and LTAM (Long-Term Actuarial Mathematics). Updated to reflect these exam changes, this vital resource offers actuaries, and those aspiring to the profession, a practical approach to the concepts and techniques needed to succeed in the profession. The techniques are also valuable for anyone who uses loss data to build models for assessing risks of any kind.Loss Models contains a wealth of examples that highlight the real-world applications of the concepts presented, and puts the emphasis on calculations and spreadsheet implementation. With a focus on the loss process, the book reviews the essential quantitative techniques such as random variables, basic distributional quantities, and the recursive method, and discusses techniques for classifying and creating distributions. Parametric, non-parametric, and Bayesian estimation methods are thoroughly covered. In addition, the authors offer practical advice for choosing an appropriate model. This important text:•    Presents a revised and updated edition of the classic guide for actuaries that aligns with newly introduced Exams STAM and LTAM•    Contains a wealth of exercises taken from previous exams•    Includes fresh and additional content related to the material required by the Society of Actuaries (SOA) and the Canadian Institute of Actuaries (CIA)•    Offers a solutions manual available for further insight, and all the data sets and supplemental material are posted on a companion siteWritten for students and aspiring actuaries who are preparing to take the SOA examinations, Loss Models offers an essential guide to the concepts and techniques of actuarial science.