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Risk Modelling in General Insurance
From Principles to Practice


Part of International Series on Actuarial Science

  • Date Published: June 2012
  • availability: Available
  • format: Hardback
  • isbn: 9780521863940

£ 44.99

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About the Authors
  • Knowledge of risk models and the assessment of risk is a fundamental part of the training of actuaries and all who are involved in financial, pensions and insurance mathematics. This book provides students and others with a firm foundation in a wide range of statistical and probabilistic methods for the modelling of risk, including short-term risk modelling, model-based pricing, risk-sharing, ruin theory and credibility. It covers much of the international syllabuses for professional actuarial examinations in risk models, but goes into further depth, with worked examples, exercises and detailed case studies. The authors also use the statistical package R to demonstrate how simple code and functions can be used profitably in an actuarial context. The authors' engaging and pragmatic approach, balancing rigour and intuition and developed over many years of teaching the subject, makes this book ideal for self-study or for students taking courses in risk modelling.

    • Includes necessary background material for undergraduate students
    • Provides help with the statistical package R, not yet commonly used in actuarial science books
    • Both authors have served as Examiners for the UK Actuarial Profession
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    Product details

    • Date Published: June 2012
    • format: Hardback
    • isbn: 9780521863940
    • length: 410 pages
    • dimensions: 235 x 159 x 28 mm
    • weight: 0.77kg
    • contains: 45 b/w illus. 30 tables 140 exercises
    • availability: Available
  • Table of Contents

    1. Introduction
    2. Models for claim numbers and claim sizes
    3. Short term risk models
    4. Model based pricing – setting premiums
    5. Risk sharing – reinsurance and deductibles
    6. Ruin theory for the classical risk model
    7. Case studies
    8. Appendix: utility theory
    Answers to exercises

  • Authors

    Roger J. Gray, Heriot-Watt University, Edinburgh
    Roger J. Gray was a Senior Lecturer in the School of Mathematical and Computer Sciences at Heriot-Watt University, Edinburgh until his death in 2011.

    Susan M. Pitts, University of Cambridge
    Susan M. Pitts is a Senior Lecturer in the Statistical Laboratory at the University of Cambridge.

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