Library Services | Technical University of Kenya

Your cart is empty.
Normal view MARC view ISBD view

Stochastic Models in Life Insurance [electronic resource] / by Michael Koller.

By: Koller, Michael [author.].
Contributor(s): SpringerLink (Online service).
Material type: materialTypeLabelBookSeries: EAA Series: Publisher: Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer, 2012Description: XI, 219p. 41 illus., 33 illus. in color. online resource.Content type: text Media type: computer Carrier type: online resourceISBN: 9783642284397.Subject(s): Mathematics | Distribution (Probability theory) | Economics -- Statistics | Mathematics | Probability Theory and Stochastic Processes | Game Theory, Economics, Social and Behav. Sciences | Statistics for Business/Economics/Mathematical Finance/InsuranceDDC classification: 519.2 Online resources: Click here to access online
Contents:
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.
In: Springer eBooksSummary: 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.
Tags from this library: No tags from this library for this title. Log in to add tags.
No physical items for this record

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.

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.

There are no comments for this item.

Log in to your account to post a comment.

2017 | The Technical University of Kenya Library | +254(020) 2219929, 3341639, 3343672 | library@tukenya.ac.ke | Haile Selassie Avenue