Last update: August 2009

Books of Interest for Actuaries

Myroslav Drozdenko and Vitaliy Drozdenko
1. Albrecher H. & Teugels J. (2008) Reinsurance: Actuarial and Financial Aspects, WileyBlackwell. 2. Alm E. & Andersson G. & von Bahr B. & Martin-Lf A. (2006) Livfrsko o a ringsmatematik II, Svenska Frskringsfreningen, Stockholm. This book is the o a o second volume of the book Andersson (2005). 3. Andersson G. (2005) Livfrskringsmatematik, Svenska Frskringsfreningen, o a o a o Stockholm. 4. Asmussen S. (2000) Ruin Probabilities, World Sientic, Singapore. 5. Beard R.E. & Pentikinen T. & Pesonen E. (1969) Risk Theory, Mathuen & Co a LTD, London. 6. Bening V.E. & Korolev V.Yu. (2002) Generalized Poisson Models and their Applications in Insurance and Finance, Brill Academic Publishers, Utrecht. 7. Benjamin B. & Pollard J.H. (1993) The Analysis of Mortality and other Actuarial Statistics, Institute of Actuaries, The Chameleon Press Ltd., London. 8. Blom R. (2002) Livfrskringsmatematik, IFU Utbildnings AB och BICON, o a Stockholm. 9. Boland P.J. (2007) Statistical and Probabilistic Methods in Actuarial Science, Chapman & Hall, Boca Raton. 10. Boos A. (1991) Eziens von Bonus-Malus-Systemen, Gabler-Verlag, Wiesbaden. 11. Booth P.M. & Chadburn R. & Cooper D. & Haberman S. & James D. (1998) Modern Actuarial Theory and Practice, Chapman & Hall, Boca Raton. 12. Borowiak D.S. (2003) Financial and Actuarial Statistics: An Introduction, Chapman & Hall, Boca Raton.

MYROSLAV DROZDENKO and VITALIY DROZDENKO 13. Borowiak D.S. & Balakrishnan N. & Schucany W.R. & Schilling E.G. (2009) Financial and Actuarial Statistics , Chapman & Hall, Boca Raton. 14. Bowers N.L. & Gerber H.U. & Hickman J.C. & Jones D.A. & Nesbit C.J. (1986) Actuarial Mathematics, The Society of Actuaries, Illinoice. 15. Bunyakvsky V.Ya. (1846) Foundations of Mathematical Probability Theory, o Saint-Petersburg, 480 pages (in Russian). Original title: .. (1846). , -, 480 . u 16. Bhlmann H. (1970) Mathematical Methods in Risk Theory, Springer, Berlin. 17. Bhlmann H. & Gisler A. (2005) A Course in Credibility Theory and its Appliu cations, Springer, Berlin. 18. Chan W.-S. & Tse Y.-K (2007) Financial and Actuarial Mathematics, McGrawHill, Asia. 19. Corazza M. & Claudio P. (2009) Mathematical and Statistical Methods for Actuarial Sciences and Finance , Springer, Berlin. 20. Cramr H. (1930) On the Mathematical Theory of Risk, Frskringsaktiebolaget e o a Skandia, Stockholm. 21. Cramr H. (1955) Collective Risk Theory, a Survey of the Theory from the Point e of View of Stochastic Processes, Frskringsaktiebolaget Skandia, Stockholm. o a 22. Daykin C.D. & Pentikinen T. & Pesonen M. (1994) Practical Risk Theory for a Actuaries, Chapman & Hall, London. 23. Dickson D.C.M. (2005) Insurance Risk and Ruin, Cambridge University Press, Cambridge. 24. Dickson D.C.M. & Hardy M.R. & Waters H. (2009) Actuarial Mathematics for Life Contingent Risks, Cambridge University Press, Cambridge. 25. Denuit M. & Dhaene J. & Goovaerts M. & Kaas R. (2005) Actuarial Theory for Dependent Risks: Measures, Orders and Models, John Wiley & Sons, Chichester. 26. Denuit M. & Marechal X. & Pitrebois S. & Walhin J.-F. (2007) Actuarial Modelling of Claim Counts: Risk Classication, Credibility and Bonus-Malus Systems, John Wiley & Sons, Chichester.

BOOKS OF INTEREST FOR ACTUARIES

27. De Vylder F.E. (1996) Advanced Risk Theory: a Self-Conteined Introduction, Editions de IUniversit de Bruxelles, Bruxelles. e 28. De Vylder F.E. (1997) Life Insurance Theory: Actuarial Perspectives, Kluwer Academic Publishers, Boston. 29. De Vylder F.E. & Goovaerts M. & Haezendonck J. (editors) (1984) Premium Calculation in Insurance, Kluwer Academic Publishers, Boston. (collection of articles). 30. De Vylder F.E. & Goovaerts M. & Haezendonck J. (editors) (1986) Insurance and Risk Theory, Kluwer Academic Publishers, Boston. (collection of articles). 31. Dorfman M.S. (2002) Introduction to Risk Management and Insurance, Prentice Hall, New Jersey. 32. Drozdenko M. & Drozdenko V. (2009) Premium Calculation Principles and their Properties: Mathematics of Insurance, VDM Verlag Dr. Mller. u 33. Drozdenko V. (2008) Premium Calculations in Insurance: Actuarial Approach, VDM Verlag Dr. Mller. u 34. Embrechts P. & Klppelberg C. & Mikosch T. (1997) Modelling Extremal Events u for Insurance and Finance, Springer, Berlin. 35. Falin G.I. (1994) Mathematical Analysis of Risks in Insurance, Russian Juridical Publishing House, Moscow, (in Russian). Original title: .. (1994) , , . 36. Falin G.I. & Falin A.I. (1994) Introduction to Actuarial Mathematics, Moscow University Publishing, Moscow, (in Russian). Original title: .. & .. (1994) , , . 37. Falin G.I. (2007) Mathematical Foundations of Theory of Life Insurance and Pension Schemes, Ankil Moscow, (in Russian). Original title: .. (2007) , , . 38. Fisher H.F. & Young J. (1965) Actuarial Practice of Life Assurance, Cambridge University Press, Cambridge.

MYROSLAV DROZDENKO and VITALIY DROZDENKO 39. Freeman H. (1962) Finite Dierences for Actuarial Students, Institute of Actuaries, Cambridge. 40. Gerber H.U. (1979) An Introduction to Mathematical Risk Theory, Huebner S. S. Foundation for Insurance Education, Philadelpia. 41. Gerber H.U. (1990) Life Insurance Mathematics, Springer, Berlin. 42. Glen N. (2009) Actuarial Science an Elementary Manual, BiblioLife. 43. Goovaerts M.J. & Kaas R. & van Heerwarden A.E. & Bauwelinckx T. (1990) Eective Actuarial Methods. North-Holland, Amsterdam. 44. Grandell J. (1991) Aspects of Risk Theory, Springer, New York. 45. Grandell J. (1997) Mixed Poisson Processes, Chapman & Hall, London. 46. Grve D.A. (1912) Insurance Mathematics, Kiev, (in Russian). Original title: a .. (1912) , . 47. Grve D.A. (1917) Theory of Pension Funds, Kiev, (in Russian). Original title: a .. (1917) , . 48. Grve D.A. (1924) Mathematics of Social Insurance, State Publishing House, a Leningrad, (in Russian). Original title: .. (1924) , , . 49. Gupta A.K. & Varga T. (2002) An Introduction to Actuarial Mathematics, Kluwer Academic Publishers, Boston. 50. Gusak D.V. (2007) Boundary Value Problems for Processes with Independent Increments in Risk Theory, Publishing House of National Academy of Science of Ukraine, Kiev, (in Ukrainian). Original title: .. (2007) i i i i , i i , . 51. Gusak D.V. & Kulik A.M. & Mishura Yu.S. & Pylipenko A.Yu. (2008) Collection of Problems on Theory of Stochastic Processes and its Applications to Financial Mathematics and Risk theory, Publishing House of Kiev University, Kiev, (in Ukrainian). Original title: .. & .. & i .. & ., (2008). i i i ii i i , i, .

BOOKS OF INTEREST FOR ACTUARIES

52. Gusak D. & Kukush A. & Kulik A. & Mishura Yu. & Pylipenko A. (2010) Theory of Stochastic Processes with Applications to Financial Mathematics and Risk Theory, Springer, Berlin. (to appear) 53. Haberman S. & Pitacco E. (1999) Actuarial Models for Disability Insurance, Chapman & Hall, Boca Raton. 54. Haberman S. & Sibbett T. (editors) (1995) History of Actuarial Science, Pickering & Chatto. 55. Heilman W.-R. (1988) Fundamentals of Risk Theory, Verlag Versicherungswirtschaft, Karlsruhe. 56. Hipp C. (1990) Risikotheorie: Stochastische Modelle und Methoden, Verlag Versicherungswirtschaft, Karlsruhe. 57. Hogg R.U. & Klugman S.A. (1984) Loss Distributions, John Wiley & Sons, New York. 58. Iyer S. (1999) Actuarial Mathematics of Social Security Pensions, International Labour Oce. 59. Janssen J. & Manca R. (2007) Semi-Markov Risk Models for Finance, Insurance and Reliability, Springer, New York. 60. Johansson J. (1997) Matematiska Modeller inom Sakfrskring, Kompendium, o a Stockholms universitet. 61. de Jong P. & Heller G.Z. (2008) Generalized Linear Models for Insurance Data, Cambridge University Press, Cambridge. 62. Kaas R. & van Heerwaarden & Goovaerts M.J. (1994) Ordering of Actuarial Risks, Caire Education Series, Brussels. 63. Kaas R. & Goovaerts M. & Dhaene J. & Denuit M. (2008) Modern Actuarial Risk Theory using R (second edition), Springer, Berlin. 64. Kalashnikov V.V. (1997) Geometric Sums: Bounds for Rare Events with Applications to Risk Analysis, Reliabilities, and Queueings, Kluwer Academic Publishers, Dordrecht. 65. Kleiber C. & Kotz S. (2003) Statistical Size Distributions in Economics and Actuarial Sciences , WileyBlackwell.

MYROSLAV DROZDENKO and VITALIY DROZDENKO 66. Klugman S.A. (1992) Bayesian Statistics in Actuarial Science, Springer, Berlin. 67. Klugman A.S. & Panjer H.H. & Willmot G.E. (2008) Loss Models: from Data to Decisions (third edition), John Wiley & Sons, New York. 68. Korolev V.Yu. & Bening V.E. & Shorgin S.Ya. (2007) Mathematical Foundations of Risk Theory, Fizmatlit, Moscow, (in Russian). Original title: .. & e .. & .. (2007). , , . 69. Kremer E. (1999) Applied Risk Theory, Shaker, Aachen. 70. Lemaire J. (1985) Automobile Insurance: Actuarial Models, Kluwer Academic Publishers, Boston. 71. Lemaire J. (1995) Bonus-Malus Systems in Automobile Insurance, Kluwer Academic Publishers, Boston. 72. Leonenko M.M. & Mishura Yu.S. & Parhomenko V.M. & Yadrenko M.Yo. (1995) Probabilistic and Statistical Methods in Econometrics and Financial Mathematics // Probabilistic models in insurance mathematics, Informtehnika, Kiev, (in Ukrainian). Original title: .. & i .. & .. & .. (1995) -iii i i ii i // -iii i i i, Ii, . 73. Lin X.S. (2006) Introductory Stochastic Analysis for Finance and Insurance, John Wiley & Sons. 74. Lundberg F. (1903) Approximerad Framstllning av Sannolikhetsfunktionen. a orskring av Kollektivrisker, PhD thesis, Almqvist & Wiksell, Uppsala. Aterf a 75. Markov A.A. (1913) Probability Calculus // On Life Insurance, Printing House of Imperial Academy of Science, Saint-Petersburg, (in Russian). Original title: .. (1913) // , , -. 76. Melnikov A.V. (2001) Risk-Management: Stochastic Risk Analysis in the Economy of Finance and Insurance, Ankil, Moscow, (in Russian). Original title: .. (2001) -: , , .

BOOKS OF INTEREST FOR ACTUARIES

77. Mikosch T. (2009) Non-Life Insurance Mathematics. An Introduction with the Poisson Process (second edition ), Springer, Berlin. 78. Mller T. & Steensen M. (2007) Market-Valuation Methods in Life and Pension Insurance, Cambridge University Press, Cambridge. 79. Panjer H. (1986) Actuarial Mathamatics, American Mathematical Society, New York. 80. Panjer H.H. (2006) Operational Risk: Modeling Analytics, John Wiley & Sons. 81. Panjer H.H & Willmot G.E. (1992) Insurance Risk Models. American Society of Actuaries, Schaumburg, Illinois. 82. Paulsen J. (1986) Stochastic Calculus with Applications to Risk Theory, unpublished manuscript. 83. Pitacco E. & Denuit M. & Haberman S. & Olivieri A. (2009) Modelling Longevity Dynamics for Pensions and Annuity Business , Oxford University Press. 84. Promislow S.D. (2005) Fundamentals of Actuarial Mathematics, John Wiley & Sons, Toronto. 85. Rolski T. & Schmidli H. & Schmidt V. & Teugels J. (1999) Stochastic Processes for Insurance and Finance, John Wiley & Sons, Chichester. 86. Rotar V.I. (2006) Actuarial Models: the Mathematics of Insurance, Chapman & Hall, Boca Raton. 87. Svich S.E. (1900) Elementary Theory of Life Insurance and of Ability to Work, a Saint-Petersburg, (in Russian). The book was reprinted by the Publishing House Yanus-K, Moscow, 2003. Original title: .. (1900) , -. 88. Schmidli H. (2007) Stochastic Control in Insurance, Springer, Berlin. 89. Schmidli H. Lecture Notes on Risk Theory, unpublished manuscript. 90. Schmidt K.D. (1996) Lectures on Risk Theory, Teubner, Stuttgart. 91. Seal H.L. (1969) Stochastic Theory of Risk Business, John Wiley & Sons, New York. 92. Seal H.L. (1978) Survival Probabilities, John Wiley & Sons, Chichester.

MYROSLAV DROZDENKO and VITALIY DROZDENKO 93. Shang H. (2006) Actuarial Science: Theory and Methodology , World Sientic, Singapore. 94. Sltsky E.E. (1911) Theory of Maximal Utility, unpublished manuscript, Nationu al Scientic Library of Ukraine, Kiev, 400 pages, (in Russian). Original title: .. , , , , 400 . 95. Straub E. (1988) Non-Life Insurance Mathematics, Springer, Berlin. 96. Sundt B. (1993) An Introduction to Non-Life Insurance Mathematics, Verlag Versicherungswirtschaft, Karlsruhe. 97. Taylor G. (2000) Loss Reserving: an Actuarial Perspective, Kluwer Academic Publishers, Boston. 98. Teugels J. & Sundt B. (editors) (2004) Encyclopedia of Actuarial Science, 3Volume Set, John Wiley & Sons, New York. 99. Tse Y.-K. (2009) Nonlife Actuarial Models: Theory, Methods and Evaluation, Cambridge University Press, Cambridge.

100. Vaughan E.J. & Vaughan T. (2008) Fundamentals of Risk and Insurance (tens edition), John Wiley & Sons, New York. 101. Wolthuis H. (1994) Life Insurance Mathematics: the Marcovian Model, Caire Education Series, Brussels. 102. Wthrich M.V. & Bhlmann H. & Furrer H. (2007) Market-Consistent Actuarial u u Valuation, SpringerVerlag, Berlin. 103. Wthrich M.V. & Merz M. (2008) Stochastic Claims Reserving Methods in Inu surance, John Wiley & Sons. 104. Zhu Y. (2008) Actuarial Model: Life Insurance and Annuity, International Press of Boston, Boston.