Market-Valuation Methods in Life and Pension Insurance


Author: Thomas Møller,Mogens Steffensen
Publisher: Cambridge University Press
ISBN: 1139462970
Category: Business & Economics
Page: N.A
View: 1324
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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 However, this approach is being superseded by developments in international accounting and solvency standards coupled with other advances enabling a market-based valuation of risk, i.e., its price if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.

Actuarial Mathematics for Life Contingent Risks


Author: David C. M. Dickson,Mary Hardy,Mary R. Hardy,Howard R. Waters
Publisher: Cambridge University Press
ISBN: 1107044073
Category: Business & Economics
Page: 616
View: 494
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This groundbreaking text has been augmented with new material and fully updated to prepare students for the new-style MLC exam.

Mathematics – Key Technology for the Future

Joint Projects between Universities and Industry 2004 -2007
Author: Willi Jäger,Hans-Joachim Krebs
Publisher: Springer Science & Business Media
ISBN: 9783540772033
Category: Computers
Page: 357
View: 2934
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Risk Modelling in General Insurance

From Principles to Practice
Author: Roger J. Gray,Susan M. Pitts
Publisher: Cambridge University Press
ISBN: 0521863945
Category: Business & Economics
Page: 393
View: 7514
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A wide range of topics to give students a firm foundation in statistical and actuarial concepts and their applications.

Solutions Manual for Actuarial Mathematics for Life Contingent Risks


Author: David C. M. Dickson,Mary R. Hardy,Howard R. Waters
Publisher: Cambridge University Press
ISBN: 1107620260
Category: Business & Economics
Page: 227
View: 4016
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This must-have manual provides detailed solutions to all of the 200+ exercises in Dickson, Hardy and Waters' Actuarial Mathematics for Life Contingent Risks, Second Edition. This groundbreaking text on the modern mathematics of life insurance is required reading for the Society of Actuaries' Exam MLC and also provides a solid preparation for the life contingencies material of the UK actuarial profession's exam CT5. Beyond the professional examinations, the textbook and solutions manual offer readers the opportunity to develop insight and understanding, and also offer practical advice for solving problems using straightforward, intuitive numerical methods. Companion spreadsheets illustrating these techniques are available for free download.

Actuarial Mathematics for Life Contingent Risks


Author: David C. M. Dickson,Mary Hardy,Mary R. Hardy,Howard R. Waters
Publisher: Cambridge University Press
ISBN: 1107044073
Category: Business & Economics
Page: 616
View: 3104
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This groundbreaking text has been augmented with new material and fully updated to prepare students for the new-style MLC exam.

Mathematical and Statistical Methods for Actuarial Sciences and Finance


Author: Cira Perna,Marilena Sibillo
Publisher: Springer
ISBN: 3319050141
Category: Business & Economics
Page: 190
View: 2563
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This volume aims to collect new ideas presented in the form of 4 page papers dedicated to mathematical and statistical methods in actuarial sciences and finance. The cooperation between mathematicians and statisticians working in insurance and finance is a very fruitful field and provides interesting scientific products in theoretical models and practical applications, as well as in scientific discussion of problems of national and international interest. This work reflects the results discussed at the biennial conference on Mathematical and Statistical Methods for Actuarial Sciences and Finance (MAF), born at the University of Salerno in 2004.

Modelling Mortality with Actuarial Applications


Author: Angus S. Macdonald,Stephen J. Richards,Iain D. Currie
Publisher: Cambridge University Press
ISBN: 110704541X
Category: Business & Economics
Page: 385
View: 5451
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Modern mortality modelling for actuaries and actuarial students, with example R code, to unlock the potential of individual data.

Mathematical and Statistical Methods for Actuarial Sciences and Finance


Author: Marco Corazza,Claudio Pizzi
Publisher: Springer
ISBN: 331902499X
Category: Mathematics
Page: 313
View: 4921
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The interaction between mathematicians and statisticians has been shown to be an effective approach for dealing with actuarial, insurance and financial problems, both from an academic perspective and from an operative one. The collection of original papers presented in this volume pursues precisely this purpose. It covers a wide variety of subjects in actuarial, insurance and finance fields, all treated in the light of the successful cooperation between the above two quantitative approaches. The papers published in this volume present theoretical and methodological contributions and their applications to real contexts. With respect to the theoretical and methodological contributions, some of the considered areas of investigation are: actuarial models; alternative testing approaches; behavioral finance; clustering techniques; coherent and non-coherent risk measures; credit scoring approaches; data envelopment analysis; dynamic stochastic programming; financial contagion models; financial ratios; intelligent financial trading systems; mixture normality approaches; Monte Carlo-based methods; multicriteria methods; nonlinear parameter estimation techniques; nonlinear threshold models; particle swarm optimization; performance measures; portfolio optimization; pricing methods for structured and non-structured derivatives; risk management; skewed distribution analysis; solvency analysis; stochastic actuarial valuation methods; variable selection models; time series analysis tools. As regards the applications, they are related to real problems associated, among the others, to: banks; collateralized fund obligations; credit portfolios; defined benefit pension plans; double-indexed pension annuities; efficient-market hypothesis; exchange markets; financial time series; firms; hedge funds; non-life insurance companies; returns distributions; socially responsible mutual funds; unit-linked contracts. This book is aimed at academics, Ph.D. students, practitioners, professionals and researchers. But it will also be of interest to readers with some quantitative background knowledge.

Actuarial Mathematics of Social Security Pensions


Author: Subramaniam Iyer
Publisher: International Labour Organization
ISBN: 9789221108665
Category: Political Science
Page: 130
View: 3006
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Describes the application of actuarial principles and techniques to public social insurance pension schemes. Aims to establish a link between public social security and occupational pension scheme methods. Part one discusses actuarial theory. Part two deals with two techniques: the projection technique, and the present value technique. There is also a brief description of actuarial mathematics.

Actuarial Practice in Social Security


Author: Pierre Plamondon
Publisher: International Labour Organization
ISBN: 9789221108634
Category: Political Science
Page: 513
View: 5230
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Actuaries, in the context of social security, analyse and set projections for future developments, balancing demographic, economic, and financial factors. Basing their predictions on the scrutiny of statistical information, they interpret these various areas to develop models that offer decision-makers and the general population options for improving suitable social protection schemes. This publication seeks to address and orient the practice of social security actuaries. The ILO sees their work as contributing to the Decent Work initiative, and that the international experience the ILO has gained can offer valuable insights into the developement of more cogent and coherent social protection schemes in general, through the technical exchange of information and the enhancement of quantitive tools.

Pension Fund Risk Management

Financial and Actuarial Modeling
Author: Marco Micocci,Greg N. Gregoriou,Giovanni Batista Masala
Publisher: CRC Press
ISBN: 1439817545
Category: Business & Economics
Page: 764
View: 3129
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As pension fund systems decrease and dependency ratios increase, risk management is becoming more complex in public and private pension plans. Pension Fund Risk Management: Financial and Actuarial Modeling sheds new light on the current state of pension fund risk management and provides new technical tools for addressing pension risk from an integrated point of view. Divided into four parts, the book first presents the correct measurement of risk in pension funds, fund dynamics under a performance-oriented arrangement, an attribution model for monitoring the performance and risk of a defined benefit (DB) pension fund, and an optimal investment problem of a defined contribution (DC) pension fund under inflationary risk. It also describes a pension plan from a dynamic optimization viewpoint, the optimal asset allocation of U.S. pension funds, the identification of stakeholders’ risks, value-at-risk (VaR) methodology, and various effects on the asset allocation of DB pension schemes. The second section focuses on the effects of uncertainty on employer-provided DB private pension plan liabilities; wage-based lump sum payments by death, retirement, or dismissal by the employer; fundamental retirement changes; occupational pension insurance in Germany; and longevity risk securitization in pension schemes. In the third part, the book examines employers’ risks, accountability rules and regulations, useful actuarial analysis instruments, risk-based solvency regime in the Netherlands, and the impact of the 2008 global financial crisis on pension participants. The final part covers DB pension freezes and terminations of plans, the two-pillar social security system of Italy, the Greek social security system, the effect of a company’s unfunded pension liabilities on its stock market valuation, and the returns of Spanish balanced pension plans and portfolio performance. With contributions from well-known, international academics and professionals, this book will assist pension fund executives, risk managers, consultants, and academic researchers in attaining a clear picture of the integration of risks in the pension world. It offers a comprehensive, contemporary account of how to handle the risks involved with pension funds.

Modelling in Life Insurance – A Management Perspective


Author: Jean-Paul Laurent,Ragnar Norberg,Frédéric Planchet
Publisher: Springer
ISBN: 3319297767
Category: Mathematics
Page: 255
View: 2998
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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.

Predictive Modeling Applications in Actuarial Science: Volume 2, Case Studies in Insurance


Author: Edward W. Frees,Glenn Meyers,Richard A. Derrig
Publisher: Cambridge University Press
ISBN: 1316720527
Category: Business & Economics
Page: N.A
View: 8047
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Predictive modeling uses data to forecast future events. It exploits relationships between explanatory variables and the predicted variables from past occurrences to predict future outcomes. Forecasting financial events is a core skill that actuaries routinely apply in insurance and other risk-management applications. Predictive Modeling Applications in Actuarial Science emphasizes life-long learning by developing tools in an insurance context, providing the relevant actuarial applications, and introducing advanced statistical techniques that can be used to gain a competitive advantage in situations with complex data. Volume 2 examines applications of predictive modeling. Where Volume 1 developed the foundations of predictive modeling, Volume 2 explores practical uses for techniques, focusing on property and casualty insurance. Readers are exposed to a variety of techniques in concrete, real-life contexts that demonstrate their value and the overall value of predictive modeling, for seasoned practicing analysts as well as those just starting out.

Health Insurance

Basic Actuarial Models
Author: Ermanno Pitacco
Publisher: Springer
ISBN: 3319122355
Category: Business & Economics
Page: 162
View: 4898
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Health Insurance aims at filling a gap in actuarial literature, attempting to solve the frequent misunderstanding in regards to both the purpose and the contents of health insurance products (and ‘protection products’, more generally) on the one hand, and the relevant actuarial structures on the other. In order to cover the basic principles regarding health insurance techniques, the first few chapters in this book are mainly devoted to the need for health insurance and a description of insurance products in this area (sickness insurance, accident insurance, critical illness covers, income protection, long-term care insurance, health-related benefits as riders to life insurance policies). An introduction to general actuarial and risk-management issues follows. Basic actuarial models are presented for sickness insurance and income protection (i.e. disability annuities). Several numerical examples help the reader understand the main features of pricing and reserving in the health insurance area. A short introduction to actuarial models for long-term care insurance products is also provided. Advanced undergraduate and graduate students in actuarial sciences; graduate students in economics, business and finance; and professionals and technicians operating in insurance and pension areas will find this book of benefit.

Financial Enterprise Risk Management


Author: Paul Sweeting
Publisher: Cambridge University Press
ISBN: 1107184614
Category: Business & Economics
Page: 600
View: 2185
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This comprehensive, yet accessible, guide to enterprise risk management for financial institutions contains all the tools needed to build and maintain an ERM framework. It discusses the internal and external contexts with which risk management must be carried out, and it covers a range of qualitative and quantitative techniques that can be used to identify, model and measure risks. This new edition has been thoroughly updated to reflect new legislation and the creation of the Financial Conduct Authority and the Prudential Regulation Authority. It includes new content on Bayesian networks, expanded coverage of Basel III, a revised treatment of operational risk and a fully revised index. Over 100 diagrams are used to illustrate the range of approaches available, and risk management issues are highlighted with numerous case studies. This book also forms part of the core reading for the UK actuarial profession's specialist technical examination in enterprise risk management, ST9.

Modelling in Health Care Finance

A Compendium of Quantitative Techniques for Health Care Financing
Author: Michael Cichon
Publisher: International Labour Organization
ISBN: 9789221108627
Category: Political Science
Page: 376
View: 8125
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This unique book provides a solid understanding of the basics of modeling and assists health care professionals in grasping its uses in creating and implementing informed health care policy. Modelling in Health Care Finance offers the quantitative and analytic tools needed for sound resource allocation and financial governance of health systems. It creates synergies and bridges gaps between quantitative health economics, health financing, and actuarial science while presenting methods for improving the efficiency and lowering the costs of current health systems. A valuable guidebook for health system and health insurance managers alike, this volume traces the foundations of modeling and explains how these very useful and available tools can aid in the design of effective health care policy. In straightforward, non-technical language, the book demystifies the modeling process and provides step-by-step guidance through model construction. From forming health policy goals, identifying options, and analyzing results, to actual implementation, the book demonstrates how managers and policy-makers can make use of models. Written by a team of health care policy experts from the ILO and other contributors, the book also includes a substantial glossary of terms, a section of accessible reference materials, and issue briefs that cover concepts of health economics, mathematics of private health insurance, and basic econometric techniques.

Generalized Linear Models for Insurance Data


Author: Piet de Jong,Gillian Z. Heller
Publisher: Cambridge University Press
ISBN: 1139470477
Category: Business & Economics
Page: N.A
View: 4016
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This is the only book actuaries need to understand generalized linear models (GLMs) for insurance applications. GLMs are used in the insurance industry to support critical decisions. Until now, no text has introduced GLMs in this context or addressed the problems specific to insurance data. Using insurance data sets, this practical, rigorous book treats GLMs, covers all standard exponential family distributions, extends the methodology to correlated data structures, and discusses recent developments which go beyond the GLM. The issues in the book are specific to insurance data, such as model selection in the presence of large data sets and the handling of varying exposure times. Exercises and data-based practicals help readers to consolidate their skills, with solutions and data sets given on the companion website. Although the book is package-independent, SAS code and output examples feature in an appendix and on the website. In addition, R code and output for all the examples are provided on the website.

Predictive Modeling Applications in Actuarial Science


Author: Edward W. Frees,Richard A. Derrig,Glenn Meyers
Publisher: Cambridge University Press
ISBN: 1107029872
Category: Business & Economics
Page: 544
View: 7078
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This book is for actuaries and financial analysts developing their expertise in statistics and who wish to become familiar with concrete examples of predictive modeling.

Insurance Risk and Ruin


Author: David C. M. Dickson
Publisher: Cambridge University Press
ISBN: 1316839532
Category: Business & Economics
Page: N.A
View: 7914
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The focus of this book is on the two major areas of risk theory: aggregate claims distributions and ruin theory. For aggregate claims distributions, detailed descriptions are given of recursive techniques that can be used in the individual and collective risk models. For the collective model, the book discusses different classes of counting distribution, and presents recursion schemes for probability functions and moments. For the individual model, the book illustrates the three most commonly applied techniques. Beyond the classical topics in ruin theory, this new edition features an expanded section covering time of ruin problems, Gerber–Shiu functions, and the application of De Vylder approximations. Suitable for a first course in insurance risk theory and extensively classroom tested, the book is accessible to readers with a solid understanding of basic probability. Numerous worked examples are included and each chapter concludes with exercises for which complete solutions are provided.