Overview

Life Insurance is by essence a field where stochastic processes can be easily applied. Indeed, a Life Insurance contract can be characterized by two fundamental elements: time and risk: this constitutes precisely the core business of stochastic processes! Life Insurance is also at the conjunction between Insurance and Finance. Life products contain often a crucial saving aspect but simultaneously they are generally based on various insurance risks (mortality, longevity, disability, long term care). Random techniques inspired by modern quantitative finance as well as by actuarial theory are therefore largely used. The purpose of this book is to show how stochastic processes develop, and can lead to various stochastic methods applied to life insurance, in order to price, valuate, hedge and manage these contracts. This random perspective becomes particularly essential nowadays in the context of SOLVENCY II which requires sound risk management modelling. In this context, in contrast with the traditional way in actuarial science to model life insurance (constant discount rate mixed with a fixed deterministic life table), modern approaches incorporate the stochastic nature of these elements.

Full Product Details

Author:   Janssen ,  Raimondo Manca
Publisher:   ISTE Ltd and John Wiley & Sons Inc
Imprint:   ISTE Ltd and John Wiley & Sons Inc
Weight:   0.666kg
ISBN:  

9781848218994

ISBN 10:   1848218990
Pages:   200
Publication Date:   08 January 2016
Audience:   Professional and scholarly ,  Professional & Vocational
Format:   Hardback
Publisher's Status:   Active
Availability:   In Print  
This item will be ordered in for you from one of our suppliers. Upon receipt, we will promptly dispatch it out to you. For in store availability, please contact us.

Table of Contents

Chapter 1 : Classical principles of life contingencies Chapter 2 : Market consistent valuation and Solvency II of life insurance contracts Chapter 3 : Pricing and reserving of life insurance contracts with participation Chapter 4 : Surrender risk and American options Chapter 5 : Solvency constraints and Barrier options Chapter 6 : Pricing of maturity guarantee for unit-linked contracts Chapter 7 : Look back options and exchange options applied to unit -linked products Chapter 8 : Valuation of life insurance under stochastic mortality rates Chapter 9 : Guaranteed annuity option Chapter10: Standards migration life insurance models Chapter 11 Standard Markov and Semi -Markov life insurance models Chapter 12: Multiple life insurance migration models Chapter 13: Disability insurance models Chapter 14: Claim amount, reserves and solvency models

Reviews

Author Information

Tab Content 6

Author Website:  

Customer Reviews

Recent Reviews

No review item found!

Add your own review!

Countries Available

All regions