Stochastic Models in Life Insurance, 2012 Coll. EAA

Langue : Allemand

Auteur : Koller Michael

Couverture de l’ouvrage Stochastic Models in Life Insurance

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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.

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.

Concrete application of Markov chains in life insurance for pricing and reserving

Abstract valuation

Broché

Date de parution : 03-2012

Ouvrage de 219 p.

15.5x23.5 cm

Disponible chez l'éditeur (délai d'approvisionnement : 15 jours).

Prix indicatif 73,84 €

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Thèmes de Stochastic Models in Life Insurance :

Mots-clés :

Abstract valuation; Fair value; Life insurance; Markov chains

Stochastic Models in Life Insurance, 2012 Coll. EAA

Auteur : Koller Michael

Résumé

Sommaire

Commentaire

Thèmes de Stochastic Models in Life Insurance :

Mots-clés :

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