Practical Risk Theory for Actuaries

By T. Pentikainen, C.D. Daykin, Martti Pesonen

This classic textbook covers all aspects of risk theory in a practical way. It builds on from the late R.E. Beard's extremely popular book Risk Theory, but features more emphasis on simulation and modeling and on the use of risk theory as a practical tool. Practical Risk Theory is a textbook for practicing and student actuaries on the practical aspects of stochastic modeling of the insurance business. It has its roots in the classical theory of risk but introduces many new elements that are important in managing the insurance business but are usually ignored in the classical theory. The authors avoid overcomplicated mathematics and provide an abundance of diagrams.

• Format: Hardcover
• Language: English
• ISBN: 0412428504
• ISBN13: 9780412428500
• Release Date: December 1993
• Publisher: CRC Press
• Length: 568 Pages
• Weight: 1.60 lbs.
• Dimensions: 1.2" x 5.4" x 8.9"
• Grade Range: Postsecondary and higher

Customer Reviews

An excellent book on risk theory AND stochastic insurance analysis.

"Practical Risk Theory for Actuaries" is an excellent book for people interested in the stochastic modelling of insurance business from a practical point of view. This book is divided into two parts, the first of which looks at insurance business in the short term, while the second of which look at it in the long term. In Part 1 of this book, the authors describe aggregate claim processes in great length (including derivations of all relevant formulae), introduce simulation techniques, then combine the two in order to simulate claims over a short time horizon. Part 2 focusses on asset-liability model and the authors describe a full stochastic asset-liability model which could be used to model the financial position of either a life insurer or a pension fund. Although there are some practice problems included in this text (with answers at the back of the book), this book is probably too advanced for most student actuaries. However, for more advanced students and practicing actuaries, this book is ideal. The material in this book is well explained and unlike much of what is taught to actuarial students, it is also very relevant. I am currently writing a PhD on stochastic solvency testing in Life Insurance and I have found this book to be of great use. Speaking from experience, this is the best reference on the stochastic modelling of insurance business that is currently available.