Market-Valuation Methods in Life and Pension Insurance
1st Edition
Published on 25. March 2007
978-0-511-26722-2 (ISBN)
Description
In classical life insurance mathematics the obligations of the insurance company towards the policy holders were calculated on artificial conservative assumptions on mortality and interest rates. However, this approach is being superseded by developments in international accounting and solvency standards coupled with other advances enabling a market-based valuation of risk, i.e., its price if traded in a free market. The book describes these approaches, and is the first to explain them in conjunction with more traditional methods. The various chapters address specific aspects of market-based valuation. The exposition integrates methods and results from financial and insurance mathematics, and is based on the entries in a life insurance company's market accounting scheme. The book will be of great interest and use to students and practitioners who need an introduction to this area, and who seek a practical yet sound guide to life insurance accounting and product development.
Reviews / Votes
'... a very thorough treatment of the mathematical instruments that are developed.' H. van Wijk 'The book under review is the first available reference to offer a comprehensive account for market-valuation methods in life and pension insurance, answering the insurance industry's demand in the wake of the European Union Solvency II project. ... The book is well written, well organized and a very rich source of useful information for practitioners of the actuarial profession and financial asset managers who seek a practical yet sound guide to life and pension insurance accounting and product development. ... researchers in the fields of actuarial sciences and financial economics may find it informative and inspiring to further research in the field of asset and liability modeling.' Scandinavian Actuarial JournalMore details
Series
Language
English
Place of publication
Cambridge
United Kingdom
Publishing group
Cambridge University Press
Target group
Professional and scholarly
Illustrations
6 Tables, unspecified; 19 Line drawings, unspecified
File size
2,20 MB
ISBN-13
978-0-511-26722-2 (9780511267222)
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Schweitzer Classification
Other editions
Additional editions
Thomas Moller | Mogens Steffensen
Market-Valuation Methods in Life and Pension Insurance
Book
01/2007
Cambridge University Press
€140.60
Shipment within 15-20 days
Persons
Thomas Moller is a Senior Specialist at PFA Pension, Copenhagen. Mogens Steffensen is Associate Professor of Actuarial Mathematics at the Institute for Mathematical Sciences, University of Copenhagen.
Content
Preface; 1. Introduction and life insurance practice; 2. Technical reserves and market value; 3. Interest rate theory in insurance; 4. Bonus, binomial and Black-Scholes; 5. Integrated actuarial and financial valuation; 6. Surplus-linked life insurance; 7. Interest rate derivatives in insurance; Appendix A.
