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Stochastic Models in Life Insurance

  • Michael Koller

Part of the EAA Series book series (EAAS)

Table of contents

  1. Front Matter
    Pages i-xi
  2. Michael Koller
    Pages 1-6
  3. Michael Koller
    Pages 7-20
  4. Michael Koller
    Pages 21-28
  5. Michael Koller
    Pages 29-52
  6. Michael Koller
    Pages 73-84
  7. Michael Koller
    Pages 85-92
  8. Michael Koller
    Pages 93-113
  9. Michael Koller
    Pages 115-131
  10. Michael Koller
    Pages 133-143
  11. Michael Koller
    Pages 145-161
  12. Michael Koller
    Pages 163-184
  13. Back Matter
    Pages 185-219

About this book

Introduction

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.

Keywords

Abstract valuation Fair value Life insurance Markov chains

Authors and affiliations

  • Michael Koller
    • 1
  1. 1.Mathematics DepartmentETH ZürichZürichSwitzerland

Bibliographic information

  • DOI https://doi.org/10.1007/978-3-642-28439-7
  • Copyright Information Springer-Verlag Berlin Heidelberg 2012
  • Publisher Name Springer, Berlin, Heidelberg
  • eBook Packages Mathematics and Statistics
  • Print ISBN 978-3-642-28438-0
  • Online ISBN 978-3-642-28439-7
  • Series Print ISSN 1869-6929
  • Series Online ISSN 1869-6937
  • Buy this book on publisher's site