Catastrophe, Ruin and Death - Some Perspectives on Insurance Mathematics
2014 (English)Doctoral thesis, comprehensive summary (Other academic)
This thesis gives some perspectives on insurance mathematics related to life insurance and / or reinsurance. Catastrophes and large accidents resulting in many lost lives are unfortunatley known to happen over and over again. A new model for the occurence of catastrophes is presented; it models the number of catastrophes, how many lives that are lost, how many lost lives that are insured by a specific insurer and the cost of the resulting claims, this makes it possible to calculate the price of reinsurance contracts linked to catastrophic events.
Ruin is the result if claims exceed inital capital and the premiums collected by an insurance company. We analyze the Cramér-Lundberg approximation for the ruin probability and give an explicit rate of convergence in the case were claims are bounded by some upper limit.
Death is known to be the only thing that is certain in life. Individual life spans are however random, models for and statistics of mortality are imortant for, amongst others, life insurance companies whose payments ultimatley depend on people being alive or dead. We analyse the stochasticity of mortality and perform a variance decomposition were the variation in mortality data is either explained by the covariates age and time, unexplained systematic variation or random noise due to a finite population. We suggest a mixed regression model for mortality and fit it to data from the US and Sweden, including prediction intervals of future mortalities.
Place, publisher, year, edition, pages
Stockholm: Department of Mathematics, Stockholm University , 2014. , 36 p.
Probability Theory and Statistics
Research subject Mathematical Statistics
IdentifiersURN: urn:nbn:se:su:diva-103165ISBN: 978-91-7447-935-5OAI: oai:DiVA.org:su-103165DiVA: diva2:716005
2014-06-05, room 14, house 5, Kräftriket, Roslagsvägen 101, Stockholm, 13:00 (English)
Haberman, Steven, Professor
Silvestrov, Dmitrii, Professor
At the time of the doctoral defense, the following papers were unpublished and had a status as follows: Paper 3: In press. Paper 4: Submitted.2014-05-142014-05-072014-05-09Bibliographically approved
List of papers