Financial and Actuarial Statistics: An Introduction, 2nd Edition

ABOUT THIS BOOK
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.

-Discusses actuarial and financial models and computations from a statistical perspective, developing confidence and prediction intervals for actuarial and financial statistics and using order statistics to introduce multiple life status models
-Extends conventional treatments of Markov chains and applications to actuarial science by using various models based on life table data to compute survival and decrement probabilities as well as standard actuarial present value expectations
-Describes modern simulation techniques for analyzing investment pricing, surplus models, and actuarial statistics
-Includes many new end-of-chapter exercises and problems with solutions


TABLE OF CONTENTS
Statistical Concepts
Probability
Random Variables
Expectations
Moment Generating Function
Survival Functions
Nonnegative Random Variables
Conditional Distributions
Joint Distributions
Statistical Techniques
Sampling Distributions and Estimation
Sums of Independent Variables
Order Statistics and Empirical Prediction Intervals
Approximating Aggregate Distributions
Compound Aggregate Variables
Regression Modeling
Autoregressive Systems
Model Diagnostics
Financial Computational Models
Fixed Financial Rate Models
Fixed-Rate Annuities
Stochastic Rate Models
Deterministic Status Models
Basic Loss Model
Stochastic Loss Criterion
Single-Risk Models
Collective Aggregate Models
Stochastic Surplus Model
Future Lifetime Random Variables and Life Tables
Continuous Future Lifetime
Discrete Future Lifetime
Force of Mortality
Fractional Ages
Select Future Lifetimes
Survivorship Groups
Life Models and Life Tables
Life Table Confidence Sets and Prediction Intervals
Life Models and Life Table Parameters
Select and Ultimate Life Tables
Stochastic Status Models
Stochastic Present Value Functions
Risk Evaluations
Percentile Evaluations
Life Insurance
Life Annuities
Relating Risk Calculations
Actuarial Life Tables
Loss Models and Insurance Premiums
Reserves
General Time Period Models
Expense Models and Computations
Advanced Stochastic Status Models
Multiple Future Lifetimes
Multiple-Decrement Models
Pension Plans
Markov Chain Methods
Introduction to Markov Chains
Nonhomogeneous Stochastic Status Chains
Homogeneous Stochastic Status Chains
Survivorship Chains
Scenario and Simulation Testing
Scenario Testing
Simulation Techniques
Investment Pricing Applications
Stochastic Surplus Application
Future Directions in Simulation Analysis
Further Statistical Considerations
Mortality Adjustment Models
Mortality Trend Modeling
Actuarial Statistics
Data Set Simplifications
Appendix A: Excel Statistical Functions, Basic Mathematical Functions, and Add-Ins
Appendix B: Acronyms and Principal Sections
References
Subject Index
Index


ABOUT THE AUTHORS
Dale S. Borowiak is a Professor Emeritus at the University of Akron, where he served for 35 years teaching statistics and initiating the actuarial science program. He received a Ph.D. from Bowling Green State University. His research has been published in professional journals in the fields of statistics, actuarial science, and engineering. He also published Model Discrimination for Nonlinear Regression Models, along with the first edition of the current text.
Arnold F. Shapiro is a Professor Emeritus at the Pennsylvania State University, where he was director of the actuarial program. He received a Ph. D. from the University of Pennsylvania (Wharton). He has published more than 100 articles in professional journals and two books. A Fellow of the Society of Actuaries and an Enrolled Actuary, he been a recipient of the Innovation in Teaching Award from the American Risk and Insurance Association and the Best Research Paper Award from the Health Section of the Society of Actuaries.