Market-Valuation Methods in Life and Pension Insurance

Erscheinungsjahr 2014
ISBN: 978-0-521-86877-8
Verlag: Cambridge University Press

Buch, Englisch, 294 Seiten, Format (B × H): 157 mm x 235 mm, Gewicht: 631 g

Reihe: International Series on Actuarial Science

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 However, this approach is being superseded by developments in international accounting and solvency standards coupled with other advances enabling a market-based valuation of risk, i.e., its price if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 new 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.

Autoren/Hrsg.

Møller, Thomas

Steffensen, Mogens

Fachgebiete

• Mathematik | Informatik Mathematik Numerik und Wissenschaftliches Rechnen Angewandte Mathematik, Mathematische Modelle
• Mathematik | Informatik EDV | Informatik Angewandte Informatik Computeranwendungen in Wissenschaft & Technologie
• Mathematik | Informatik EDV | Informatik Professionelle Anwendung Computer-Aided Design (CAD)
• Technische Wissenschaften Technik Allgemein Computeranwendungen in der Technik
• Mathematik | Informatik Mathematik Numerik und Wissenschaftliches Rechnen Computeranwendungen in der Mathematik
• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Versicherungswirtschaft

Inhaltsverzeichnis

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.

Über Autor(innen)

Møller, Thomas
Thomas Møller is a Senior Specialist at PFA Pension, Copenhagen.

Steffensen, Mogens
Mogens Steffensen is Associate Professor of Actuarial Mathematics at the Institute for Mathematical Sciences, University of Copenhagen.