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Stochastic Models in Life Insurance [electronic resource] / by Michael Koller

Author
Koller, Michael, 1961-
Published
Berlin, Heidelberg : Springer Berlin Heidelberg, 2012.
Physical Description
XI, 219 pages 41 illustrations, 33 illustrations in color : digital
Additional Creators
SpringerLink (Online service)
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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.
Summary
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.
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ISBN
9783642284397
Note
AVAILABLE ONLINE TO AUTHORIZED PSU USERS.
Part Of
Springer eBooks
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