Life Insurance Risk Management Essentials

  • MichaelĀ Koller

Part of the EAA Series book series (EAAS)

Table of contents

  1. Front Matter
    Pages I-XXI
  2. Michael Koller
    Pages 1-14
  3. Michael Koller
    Pages 47-64
  4. Michael Koller
    Pages 65-83
  5. Michael Koller
    Pages 85-95
  6. Michael Koller
    Pages 97-122
  7. Michael Koller
    Pages 123-145
  8. Michael Koller
    Pages 147-168
  9. Michael Koller
    Pages 169-173
  10. Michael Koller
    Pages 175-187
  11. Michael Koller
    Pages 197-222
  12. Michael Koller
    Pages 223-226
  13. Michael Koller
    Pages 243-260
  14. Michael Koller
    Pages 261-270
  15. Michael Koller
    Pages 277-296
  16. Michael Koller
    Pages 297-311

About this book

Introduction

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 tochastic 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.

Keywords

Insurance mathematics Market consistent valuation Risk Management

Authors and affiliations

  • MichaelĀ Koller
    • 1
  1. 1., Mathematics DepartmentETH ZurichZurichSwitzerland

Bibliographic information

  • DOI https://doi.org/10.1007/978-3-642-20721-1
  • Copyright Information Springer-Verlag Berlin Heidelberg 2011
  • Publisher Name Springer, Berlin, Heidelberg
  • eBook Packages Mathematics and Statistics
  • Print ISBN 978-3-642-20720-4
  • Online ISBN 978-3-642-20721-1
  • Series Print ISSN 1869-6929
  • Series Online ISSN 1869-6937
  • About this book