Part I - Loss models

Summary

In this part of the book we discuss actuarial models for claim losses. The two components of claim losses, namely claim frequency and claim severity, are modeled separately, and are then combined to derive the aggregate-loss distribution. In Chapter 1, we discuss the modeling of claim frequency, introducing some techniques for modeling nonnegative integer-valued random variables. Techniques for modeling continuous random variables relevant for claim severity are discussed in Chapter 2, in which we also consider the effects of coverage modifications on claim frequency and claim severity. Chapter 3 discusses the collective risk model and individual risk model for analyzing aggregate losses. The techniques of convolution and recursive methods are used to compute the aggregate-loss distributions.