Stochastic models in life insurance
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...
Gardado en:
| Autor Principal: | |
|---|---|
| Formato: | Livre numérique |
| Idioma: | Anglais |
| Publicado: |
Berlin, Heidelberg :
Springer Berlin Heidelberg : Imprint: Springer
[20..].
Cham : Springer Nature |
| Edición: | 1st ed. 2012. |
| Series: | EAA Series
|
| Sujets: | |
| Acceso en liña: | Accès sur la plateforme de l'éditeur Accès sur la plateforme Istex Accès Université d'Orléans Accès INSA CVL |
| Nota: |
Archives Springer e-books (Licence nationale) Archives Springer e-books (Licence nationale) |
| Autres localisations: | Voir dans le Sudoc |
| Edition sous un autre format: | • Stochastic models in life insurance, Michael Koller, 2012, Berlin, Springer-Verlag, 1 vol.(XI-219 p.), EAA Series, 978-3-642-28438-0 |
Table des matières:
- 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.
- 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