Risk Modelling in General Insurance: From Principles to Practice, Roger J. Gray and Susan M. Pitts : book review

Abstract

The field of actuarial science has seen many changes over the past few years. We live in a world whose complexity becomes more apparent every day. From the well-known, such as natural catastrophes, to the esoteric, such as satellite launch coverage or cyberterrorism, actuaries are called upon more often to provide their principals with reasonable estimates of potential profit and loss exposure. The main tool of the actuary in all these cases is the ability to create a mathematical model of real-world events and, knowing the model's limitations, to use the model to develop a range of reasonable estimates of results. In this light, it is a welcome event to have a new text on the basics of risk modelling for general insurance. The text is structured so that each section adds more complexity and utility to the one before, and each is followed by a set of questions. There are six expository sections, a seventh section containing case studies that tie the subjects taught throughout the book together. The book concludes with two appendices - one discussing utility theory and Jensen's inequality, the other containing answers to selected questions.