Michel Denuit – författare

Actuarial Modelling of Claim Counts presents a comprehensive treatment of the various experience rating systems and their relationships with risk classification. The authors summarize the most recent developments in the field, presenting ratemaking systems, whilst taking into account exogenous information.

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Actuarial Modelling of Claim Counts is essential reading for students in actuarial science, as well as practicing and academic actuaries. It is also ideally suited for professionals involved in the insurance industry, applied mathematicians, quantitative economists, financial engineers and statisticians.

This book summarizes the state of the art in generalized linear models (GLMs) and their various extensions: GAMs, mixed models and credibility, and some nonlinear variants (GNMs). In order to deal with tail events, analytical tools from Extreme Value Theory are presented. Going beyond mean modeling, it considers volatility modeling (double GLMs) and the general modeling of location, scale and shape parameters (GAMLSS). Actuaries need these advanced analytical tools to turn the massive data sets now at their disposal into opportunities.

The exposition alternates between methodological aspects and case studies, providing numerical illustrations using the R statistical software. The technical prerequisites are kept at a reasonable level in order to reach a broad readership.

This is the first of three volumes entitled Effective Statistical Learning Methods for Actuaries. Written by actuaries for actuaries, this series offers a comprehensive overview of insurance data analytics with applications to P&C, life and health insurance. Although closely related to the other two volumes, this volume can be read independently.

This book reviews some of the most recent developments in neural networks, with a focus on applications in actuarial sciences and finance. It simultaneously introduces the relevant tools for developing and analyzing neural networks, in a style that is mathematically rigorous yet accessible.

Artificial intelligence and neural networks offer a powerful alternative to statistical methods for analyzing data. Various topics are covered from feed-forward networks to deep learning, such as Bayesian learning, boosting methods and Long Short Term Memory models. All methods are applied to claims, mortality or time-series forecasting.

This is the third of three volumes entitled Effective Statistical Learning Methods for Actuaries. Written by actuaries for actuaries, this series offers a comprehensive overview of insurance data analytics with applications to P&C, life and health insurance. Although closely related to the other two volumes, this volume can be read independently.

This book summarizes the state of the art in tree-based methods for insurance: regression trees, random forests and boosting methods. It also exhibits the tools which make it possible to assess the predictive performance of tree-based models. Actuaries need these advanced analytical tools to turn the massive data sets now at their disposal into opportunities.

The exposition alternates between methodological aspects and numerical illustrations or case studies. All numerical illustrations are performed with the R statistical software. The technical prerequisites are kept at a reasonable level in order to reach a broad readership. In particular, master''s students in actuarial sciences and actuaries wishing to update their skills in machine learning will find the book useful.

This is the second of three volumes entitled Effective Statistical Learning Methods for Actuaries. Written by actuaries for actuaries, this series offers a comprehensive overview of insurancedata analytics with applications to P&C, life and health insurance.

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 measures and premium principles, bonus-malus systems, ordering of risks and credibility theory. It also contains some chapters about Generalized Linear Models, applied to rating and IBNR problems. As to the level of the mathematics, the book would fit in a bachelors or masters program in quantitative economics or mathematical statistics. This second and much expanded edition emphasizes the implementation of these techniques through the use of R. This free but incredibly powerful software is rapidly developing into the de facto standard for statistical computation, not just in academic circles but also in practice. With R, one can do simulations, find maximum likelihood estimators, compute distributions by inverting transforms, and much more.