Stochastic Models in Life Insurance

Häftad, Engelska, 2012

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The book provides a sound mathematical base for life insurance mathematics and applies the underlying concepts to concrete examples. Moreover the models presented make it possible to model life insurance policies by means of Markov chains. Two chapters covering ALM and abstract valuation concepts on the background of Solvency II complete this volume. Numerous examples and a parallel treatment of discrete and continuous approaches help the reader to implement the theory directly in practice.

Produktinformation

Utgivningsdatum2012-03-23
Mått155 x 235 x 13 mm
Vikt359 g
FormatHäftad
SpråkEngelska
SerieEAA Series
Antal sidor219
Upplaga2012
FörlagSpringer-Verlag Berlin and Heidelberg GmbH & Co. KG
ISBN9783642284380
OriginaltitelStochastische Modelle in der Lebensversicherung, 2. Auflage

Tillhör följande kategorier

1. A general life insurance model.- 2. Stochastic processes.- 3. Interest rate.- 4. Cash flows and the mathematical reserve.- 5. Difference equations and differential equations.- 6. Examples and problems from applications.- 7. Hattendorff's Theorem.- 8. Unit-linked policies.- 9. Policies with stochastic interest rate.- 10. Technical analysis.- 11. Abstract valuation.- 12. Policyholder bonus mechanism.- A. Notes on stochastic integration.- B. Examples.- C. Mortality rates in Germany.- D. Mortality rates in Switzerland.- E. Java code for the calculation of the Markov model.- References.- Notation.- Index.