Stochastic Models in Life Insurance
Published on 23. March 2012
Book
Paperback/Softback
232 pages
978-3-642-28438-0 (ISBN)
Description
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.
More details
Product info
Paperback
Series
Edition
2012
Language
English
Place of publication
Heidelberg
Germany
Publishing group
Springer Berlin
Target group
Professional and scholarly
Upper undergraduate
Illustrations
32 farbige Abbildungen
8 black & white illustrations, 33 colour illustrations, biography
Dimensions
Height: 235 mm
Width: 155 mm
Thickness: 13 mm
Weight
359 gr
ISBN-13
978-3-642-28438-0 (9783642284380)
DOI
10.1007/978-3-642-28439-7
Schweitzer Classification
Other editions
Additional editions
Michael Koller
Stochastic Models in Life Insurance
E-Book
03/2012
Springer
€80.24
Available for download
Content
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.