Actuarial Mathematics for Life Contingent Risks
Published on 3. November 2009
978-0-511-62965-5 (ISBN)
Description
How can actuaries best equip themselves for the products and risk structures of the future? Using the powerful framework of multiple state models, three leaders in actuarial science give a modern perspective on life contingencies, and develop and demonstrate a theory that can be adapted to changing products and technologies. The book begins traditionally, covering actuarial models and theory, and emphasizing practical applications using computational techniques. The authors then develop a more contemporary outlook, introducing multiple state models, emerging cash flows and embedded options. Using spreadsheet-style software, the book presents large-scale, realistic examples. Over 150 exercises and solutions teach skills in simulation and projection through computational practice. Balancing rigour with intuition, and emphasising applications, this text is ideal for university courses, but also for individuals preparing for professional actuarial exams and qualified actuaries wishing to freshen up their skills.
Reviews / Votes
Endorsement Official reading for SOA Exam MLC in 2012: download free supplementary notes from the Resources tab belowMore details
Series
Language
English
Place of publication
Cambridge
United Kingdom
Publishing group
Cambridge University Press
Target group
College/higher education
Professional and scholarly
Illustrations
Worked examples or Exercises; 65 Tables, unspecified
File size
1,71 MB
ISBN-13
978-0-511-62965-5 (9780511629655)
Copyright in bibliographic data and cover images is held by Nielsen Book Services Limited or by the publishers or by their respective licensors: all rights reserved.
Schweitzer Classification
Other editions
Additional editions
David C. M. Dickson | Mary R. Hardy | Howard R. Waters
Actuarial Mathematics for Life Contingent Risks
Book
09/2009
Cambridge University Press
€53.23
Article exhausted; check for reprint
Persons
David C. M. Dickson is Professor of Actuarial Studies in the Department of Economics at the University of Melbourne. He has twice been awarded the H. M. Jackson Prize of the Institute of Actuaries of Australia, most recently for his book Insurance Risk and Ruin (Cambridge University Press, 2005). Mary R. Hardy holds the CIBC Chair in Financial Risk Management at the University of Waterloo, Ontario. She is a Fellow of the UK Institute of Actuaries and of the Society of Actuaries, and has won awards and commendations for her research from the International Actuarial Association, the Institute of Actuaries and the Society of Actuaries. Howard Waters is Professor in the Department of Actuarial Mathematics and Statistics at Heriot-Watt University, Edinburgh. He is a Fellow of the Faculty of Actuaries and the Institute of Actuaries, by whom he was awarded the Finlaison Medal for 'Services to the Actuarial Profession' in 2006.
Content
Preface; 1. Introduction to life insurance; 2. Survival models; 3. Life tables and selection; 4. Insurance benefits; 5. Annuities; 6. Premium calculation; 7. Policy values; 8. Multiple state models; 9. Pension mathematics; 10. Interest rate risk; 11. Emerging costs for traditional life insurance; 12. Emerging costs for equity-linked insurance; 13. Option pricing; 14. Embedded options; A. Probability theory; B. Numerical techniques; C. Simulation; References; Index.
