Stochastic Models in Life Insurance
(Sprache: Englisch)
This book provides a mathematical basis for modeling life insurance policies using Markov chains, applying basic concepts to concrete examples. Includes chapters on ALM and abstract valuation concepts on the background of Solvency II, plus numerous examples.
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This book provides a mathematical basis for modeling life insurance policies using Markov chains, applying basic concepts to concrete examples. Includes chapters on ALM and abstract valuation concepts on the background of Solvency II, plus numerous examples.
Klappentext zu „Stochastic Models in Life Insurance “
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.
Inhaltsverzeichnis zu „Stochastic Models in Life Insurance “
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.
Bibliographische Angaben
- Autor: Michael Koller
- 2012, 2012, XI, 219 Seiten, Maße: 15,5 x 23,5 cm, Kartoniert (TB), Englisch
- Verlag: Springer, Berlin
- ISBN-10: 3642284388
- ISBN-13: 9783642284380
- Erscheinungsdatum: 20.04.2012
Sprache:
Englisch
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