Stochastic Models in Life Insurance

 
 
Springer (Verlag)
  • erschienen am 23. März 2012
 
  • Buch
  • |
  • Softcover
  • |
  • 232 Seiten
978-3-642-28438-0 (ISBN)
 
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.
Paperback
2012
  • Englisch
  • Heidelberg
  • |
  • Deutschland
Springer Berlin
  • Für Beruf und Forschung
  • |
  • Upper undergraduate
  • 32 farbige Abbildungen
  • |
  • 8 black & white illustrations, 33 colour illustrations, biography
  • Höhe: 235 mm
  • |
  • Breite: 155 mm
  • |
  • Dicke: 12 mm
  • 359 gr
978-3-642-28438-0 (9783642284380)
10.1007/978-3-642-28439-7
weitere Ausgaben werden ermittelt
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.
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.

Versand in 7-9 Tagen

32,09 €
inkl. 7% MwSt.
Sonderpreis bis 30.06.2020
Aktion Yellow Sale | statt 64,19 €
in den Warenkorb