Market-Valuation Methods in Life and Pension Insurance: International Series on Actuarial Science
Autor Thomas Møller, Mogens Steffensenen Limba Engleză Hardback – 17 ian 2007
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Specificații
ISBN-10: 0521868777
Pagini: 294
Ilustrații: 19 b/w illus. 6 tables
Dimensiuni: 157 x 229 x 20 mm
Greutate: 0.52 kg
Editura: Cambridge University Press
Colecția Cambridge University Press
Seria International Series on Actuarial Science
Locul publicării:Cambridge, United Kingdom
Cuprins
Preface; 1. Introduction and life insurance practice; 2. Technical reserves and market value; 3. Interest rate theory in insurance; 4. Bonus, binomial and Black-Scholes; 5. Integrated actuarial and financial valuation; 6. Surplus-linked life insurance; 7. Interest rate derivatives in insurance; Appendix A.
Recenzii
Descriere
In classical life insurance mathematics the obligations of the insurance company towards the policy holders were calculated on artificial conservative assumptions on mortality and interest rates. However, this approach is being superseded by developments in international accounting and solvency standards coupled with other advances enabling a market-based valuation of risk, i.e., its price if traded in a free market. The book describes these approaches, and is the first to explain them in conjunction with more traditional methods. The various chapters address specific aspects of market-based valuation. The exposition integrates methods and results from financial and insurance mathematics, and is based on the entries in a life insurance company's market accounting scheme. The book will be of great interest and use to students and practitioners who need an introduction to this area, and who seek a practical yet sound guide to life insurance accounting and product development.