Stochastic Models in Life Insurance
Author:   Michael Koller
Publisher:   Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
Edition:   2012 ed.
ISBN:  

9783642284380


Pages:   219
Publication Date:   23 March 2012
Format:   Paperback
Availability:   Manufactured on demand   Availability explained
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Stochastic Models in Life Insurance


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Overview

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.

Full Product Details

Author:   Michael Koller
Publisher:   Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
Imprint:   Springer-Verlag Berlin and Heidelberg GmbH & Co. K
Edition:   2012 ed.
Dimensions:   Width: 15.50cm , Height: 1.50cm , Length: 23.50cm
Weight:   0.426kg
ISBN:  

9783642284380


ISBN 10:   3642284388
Pages:   219
Publication Date:   23 March 2012
Audience:   Professional and scholarly ,  Professional & Vocational
Format:   Paperback
Publisher's Status:   Active
Availability:   Manufactured on demand   Availability explained
We will order this item for you from a manufactured on demand supplier.
Language:   German

Table of Contents

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.

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