Financial and Actuarial Statistics

This work enables readers to obtain the mathematical and statistical background required in the current financial and actuarial industries. It also advances the application and theory of statistics in modern financial and actuarial modeling. This second edition adds a substantial amount of new material, including Excel exercises with solutions;

---

Understand Up-to-Date Statistical Techniques for Financial and Actuarial Applications



Since the first edition was published, statistical techniques, such as reliability measurement, simulation, regression, and Markov chain modeling, have become more prominent in the financial and actuarial industries. Consequently, practitioners and students must acquire strong mathematical and statistical backgrounds in order to have successful careers.



Financial and Actuarial Statistics: An Introduction, Second Edition enables readers to obtain the necessary mathematical and statistical background. It also advances the application and theory of statistics in modern financial and actuarial modeling. Like its predecessor, this second edition considers financial and actuarial modeling from a statistical point of view while adding a substantial amount of new material.



New to the Second Edition










Nomenclature and notations standard to the actuarial field



Excel exercises with solutions, which demonstrate how to use Excel functions for statistical and actuarial computations



Problems dealing with standard probability and statistics theory, along with detailed equation links



A chapter on Markov chains and actuarial applications



Expanded discussions of simulation techniques and applications, such as investment pricing



Sections on the maximum likelihood approach to parameter estimation as well as asymptotic applications



Discussions of diagnostic procedures for nonnegative random variables and Pareto, lognormal, Weibull, and left truncated distributions



Expanded material on surplus models and ruin computations



Discussions of nonparametric prediction intervals, option pricing diagnostics, variance of the loss function associated with standard actuarial models, and Gompertz and Makeham distributions



Sections on the concept of actuarial statistics for a collection of stochastic status models






The book presents a unified approach to both financial and actuarial modeling through the use of general status structures. The authors define future time-dependent financial actions in terms of a status structure that may be either deterministic or stochastic. They show how deterministic status structures lead to classical interest and annuity models, investment pricing models, and aggregate claim models. They also employ stochastic status structures to develop financial and actuarial models, such as surplus models, life insurance, and life annuity models.