[PDF] Modelling In Life Insurance A Management Perspective eBook

Author : Jean-Paul Laurent
Publisher : Springer
Page : 263 pages
File Size : 32,56 MB
Release : 2016-05-02
Category : Mathematics
ISBN : 3319297767

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Focusing on life insurance and pensions, this book addresses various aspects of modelling in modern insurance: insurance liabilities; asset-liability management; securitization, hedging, and investment strategies. With contributions from internationally renowned academics in actuarial science, finance, and management science and key people in major life insurance and reinsurance companies, there is expert coverage of a wide range of topics, for example: models in life insurance and their roles in decision making; an account of the contemporary history of insurance and life insurance mathematics; choice, calibration, and evaluation of models; documentation and quality checks of data; new insurance regulations and accounting rules; cash flow projection models; economic scenario generators; model uncertainty and model risk; model-based decision-making at line management level; models and behaviour of stakeholders. With author profiles ranging from highly specialized model builders to decision makers at chief executive level, this book should prove a useful resource to students and academics of actuarial science as well as practitioners.

Author : Mary Hardy
Publisher : John Wiley & Sons
Page : 306 pages
File Size : 15,19 MB
Release : 2003-04-07
Category : Business & Economics
ISBN : 0471460125

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A comprehensive guide to investment guarantees in equity-linked life insurance Due to the convergence of financial and insurance markets, new forms of investment guarantees are emerging which require financial service professionals to become savvier in modeling and risk management. With chapters that discuss stock return models, dynamic hedging, risk measures, Markov Chain Monte Carlo estimation, and much more, this one-stop reference contains the valuable insights and proven techniques that will allow readers to better understand the theory and practice of investment guarantees and equity-linked insurance policies. Mary Hardy, PhD (Waterloo, Ontario, Canada), is an Associate Professor and Associate Chair of Actuarial Science at the University of Waterloo and is a Fellow of the Institute of Actuaries and an Associate of the Society of Actuaries, where she is a frequent speaker. Her research covers topics in life insurance solvency and risk management, with particular emphasis on equity-linked insurance. Hardy is an Associate Editor of the North American Actuarial Journal and the ASTIN Bulletin and is a Deputy Editor of the British Actuarial Journal.

Author : Michael Koller
Publisher : Springer Science & Business Media
Page : 222 pages
File Size : 11,32 MB
Release : 2012-03-23
Category : Mathematics
ISBN : 3642284388

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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.

Author : Michael Koller
Publisher : Springer Science & Business Media
Page : 345 pages
File Size : 10,9 MB
Release : 2011-05-04
Category : Business & Economics
ISBN : 3642207219

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The aim of the book is to provide an overview of risk management in life insurance companies. The focus is twofold: (1) to provide a broad view of the different topics needed for risk management and (2) to provide the necessary tools and techniques to concretely apply them in practice. Much emphasis has been put into the presentation of the book so that it presents the theory in a simple but sound manner. The first chapters deal with valuation concepts which are defined and analysed, the emphasis is on understanding the risks in corresponding assets and liabilities such as bonds, shares and also insurance liabilities. In the following chapters risk appetite and key insurance processes and their risks are presented and analysed. This more general treatment is followed by chapters describing asset risks, insurance risks and operational risks - the application of models and reporting of the corresponding risks is central. Next, the risks of insurance companies and of special insurance products are looked at. The aim is to show the intrinsic risks in some particular products and the way they can be analysed. The book finishes with emerging risks and risk management from a regulatory point of view, the standard model of Solvency II and the Swiss Solvency Test are analysed and explained. The book has several mathematical appendices which deal with the basic mathematical tools, e.g. probability theory, stochastic processes, Markov chains and a stochastic life insurance model based on Markov chains. Moreover, the appendices look at the mathematical formulation of abstract valuation concepts such as replicating portfolios, state space deflators, arbitrage free pricing and the valuation of unit linked products with guarantees. The various concepts in the book are supported by tables and figures.

Author : Nils Rüfenacht
Publisher : Springer Science & Business Media
Page : 187 pages
File Size : 18,2 MB
Release : 2012-04-03
Category : Business & Economics
ISBN : 3790828432

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This book presents a market-consistent valuation framework for implicit embedded options in life insurance contracts. This framework is used to perform an empirical analysis based on more than 110,000 actual and in-force life insurance policies and with a focus on the modeling of interest rates. Its results are the answer to the central question posed in the objectives: What value do the embedded options and guarantees considered have? This question is answered both absolutely and relative to the current policy reserves, from the perspective of the insurer, the policyholder and the shareholder respectively

Author : Barrieu Pauline
Publisher : World Scientific
Page : 320 pages
File Size : 36,72 MB
Release : 2019-04-18
Category : Business & Economics
ISBN : 1786341964

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with an autobiography from Ragnar NorbergThe Risk and Stochastics Conference, held at the Royal Statistical Society in April 2015, brought together academics from the worlds of actuarial science, stochastic calculus, finance and statistics to celebrate the achievements of Professor Ragnar Norberg as he turned 70. After the conference, Ragnar Norberg suddenly fell very ill and passed away; this book honours his life and work.This collection of articles is written by speakers of the conference, themselves respected academics who have influenced and been influenced by the life and work of Professor Norberg. His professional and academic achievements are celebrated here, most significantly the instrumental work he put into setting up the world-renowned Risk and Stochastics Enterprise at the London School of Economics (LSE). Subjects covered include discussion of risk measurements, ruin constraint, supporting stable pensions, filtration in discrete time, Riesz means and Beurling moving averages and orthonormal polynomial expansions. Also featured are notes from contributors giving account of their personal relations with Professor Norberg, as well as an autobiographical chapter from the man himself.Aimed at graduate level students and researchers interested in the life and work of Ragnar Norberg, this book provides a unique opportunity to reflect on and understand key findings and ground-breaking research in modern actuarial and financial mathematics and their interface, while giving intimate insights into the life of a leading academic mind.

Author : Aymeric Kalife
Publisher : CRC Press
Page : 766 pages
File Size : 44,9 MB
Release : 2023-08-18
Category : Mathematics
ISBN : 1000876292

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Sustainable Life Insurance: Managing Risk Appetite for Insurance Savings and Retirement Products gives an overview of all relevant aspects of traditional and non-traditional savings and retirement products from both insurers’ and policyholders’ respective risk appetites. Examples of such products include general accounts, whole life, annuities (variable, fixed and fixed indexed, structured), index-linked products, CPPI-based products, etc. The book contains technical details associated with both practice and theory, specifically related to modelling, product design, investments and risk management challenges and solutions, tailored to both insurers’ and policyholders’ perspectives. Features The book offers not only theoretical background but also concrete, cutting-edge "quick wins" across strategic and operational business axes. It will be an asset for professionals in the insurance industry, and a great teaching/learning resource for courses in risk management, insurance modelling, and more. The book highlights the operational challenges encountered across modelling, product designs and hedging.

Author : Jiuping Xu
Publisher : Springer Nature
Page : 869 pages
File Size : 31,88 MB
Release : 2021-07-15
Category : Technology & Engineering
ISBN : 303079203X

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This book gathers the proceedings of the fifteenth International Conference on Management Science and Engineering Management (ICMSEM 2021) held on August 1-4, 2021, at the University of Castilla-La Mancha (UCLM), Toledo, Spain. The proceedings contains theoretical and practical research of decision support systems, complex systems, empirical studies, sustainable development, project management, and operation optimization, showing advanced management concepts and demonstrates substantial interdisciplinary developments in MSEM methods and practical applications. It allows researchers and practitioners in management science and engineering management (MSEM) to share their latest insights and contribution. Meanwhile, it appeals to readers interested in these areas, especially those looking for new ideas and research directions.