Loss Models: From Data to Decisions (Wiley Series in Probability and Statistics)

Features of the Third Edition include: 

• Extended discussion of risk management and risk measures, including Tail-Value-at-Risk
• Maintains an approach to modeling and forecasting that utilizes tools related to risk theory, loss distributions, and survival models
• Expanded coverage of copula models and their estimation
• New sections on extreme value distributions and their estimations
• All data sets are available on the book’s FTP site

 Loss Models, Third Edition is an essential resource for students and aspiring actuaries who are preparing to take the SOA and CAS preliminary examination. It is a must-have reference for professional actuaries, graduate students in the actuarial field, and anyone who works with loss and risk models in their everyday work.

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All Customer Reviews
Average Customer Review:
2 of 2 people found the following review helpful:

Mathematics for property and casualty insurance actuaries, 2008-03-24
"Loss Models from Data to Decision" is an excellent book that covers many of the areas of mathematics and statistics that property and casualty insurance (aka general insurance) actuaries are required to know. Topics include: frequency and severity models; aggregate loss models; ruin models; Bayesian statistics; credibility and simulation. The theory is well explained; with worked examples throughout and numerous exercises at the end of each section (these questions are based on past SOA and CAS exam questions, so are directly relevant to people studying for either of these exams). Solutions to the exercises are not provided in this book, but a separate solutions manual is available.

I am a lecturer in Actuarial Studies at an Australian university and set this book for one of my (later-year undergraduate) units. In my opinion, this is the best General Insurance text book available and students whom I have spoken to tell me that they like this book very much, too. I highly recommend this text for all student actuaries.



21 of 21 people found the following review helpful:

important topic not often covered, 2008-02-13
When I took a job to model prediction of loss reserves for workers compensation insurance, I began to realize that the traditional statistical methods that I generally relied n would not help me (without modification). The required modification would be either to transform variables or to model long-tailed probability distributions. This is because in the insurance business you have to reserve for those big catastrophies. The cost data for workers compensation data generally show a high frequency of low to moderate costs... . However occasionally there are a few cases of sever injury causing permanent disability which could run over 1 million dollars. Even though the probability of occurrence is small the cost is so high that it cannot be ignored. Such claims will surely be found when large insurance company cover millions of employees over many years.
The problem occurs when insuring for floods, earthquakes, fires and other disasters. Stuart Klugman and Bob Hogg in 1984 wrote the first introductory text to acquaint statisticians with such probability models that are important in the insurance business. Other books covering the subject were covered in books on risk theory designed for actuaries. This book covers all the topics and assumes mathematical and staistical knowledge at the level of the book by Hogg and Craig (so some calculus is required).




1 of 2 people found the following review helpful:

Good one but for advance users, 2007-03-01
Nothing else to say. The best book for actuarial mathematics. Also good for risk managers, in particular for operational risk. It does not introduce many concepts but rather take to advance level. Excellent concepts that can be applicable in any topic or situation. A must buy in you want to have your grips on acturial mathematics and concepts


0 of 3 people found the following review helpful:

Best Actuarial Book, 2007-02-22
Nothing else to say. The best book for actuarial mathematics. Also good for risk managers, in particular for operational risk.


16 of 21 people found the following review helpful:

great introduction to models needed in insurance, 2000-08-09
When I took a job to model prediction of loss reserves for workers compensation insurance, I began to realize that the traditional statistical methods that I generally relied n would not help me (without modification). The required modification would be either to transform variables or to model long-tailed probability distributions. This is because in the insurance business you have to reserve for those big catastrophies. The cost data for workers compensation data generally show a high frequency of low to moderate costs (say in the range of $1000 to $50,000). However occasionally there are a few cases of severe injury causing permanent disability which could run over 1 million dollars. Even though the probability of occurrence is small the cost is so high that it cannot be ignored. Such claims will surely be found when large insurance company cover millions of employees over many years.

The problem occurs when insuring for floods, earthquakes, fires and other disasters. Stuart Klugman and Bob Hogg in 1984 wrote the first introductory text to acquaint statisticians with such probability models that are important in the insurance business. Other books covering the subject were covered in books on risk theory designed for actuaries. This book covers all the topics and assumes mathematical and staistical knowledge at the level of the book by Hogg and Craig (so some calculus is required).

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