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Market-Valuation Methods in Life and Pension Insurance

Market-Valuation Methods in Life and Pension Insurance

$120.00 (P)

Part of International Series on Actuarial Science

  • Date Published: February 2007
  • availability: Available
  • format: Hardback
  • isbn: 9780521868778

$ 120.00 (P)
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About the Authors
  • 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 However, this approach is being superseded by developments in international accounting and solvency standards coupled with other advances enabling a market-based valuation of risk, i.e., its price if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.

    • Ideal for students and practitioners who seek a practical yet sound guide to life insurance accounting and product development
    • Integrates the topics of financial and insurance risk, methods and results
    • Describes new approaches in life insurance mathematics in conjunction with more traditional methods
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    Reviews & endorsements

    "The book under review is the first available reference to offer a comprehensive account for market-valuation methods in life and pension insurance, answering the insurance industry's demand in the wake of the European Union Solvency II project. The book is well-written, well organized and a very rich source of useful information for practitioners of the actuarial profession and financial asset managers who seek a practical yet sound guide to life and pension insurance accounting and product development. Both researchers in the fields of actuarial sciences and financial economics may find it informative and inspiring to further research in the field of asset and liability modeling."
    Boualem Djehiche, Department of Mathematics, the Royal Institute of Technology for the Scandanavian Actuarial Journal

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    Product details

    • Date Published: February 2007
    • format: Hardback
    • isbn: 9780521868778
    • length: 294 pages
    • dimensions: 229 x 157 x 20 mm
    • weight: 0.52kg
    • contains: 19 b/w illus. 6 tables
    • availability: Available
  • Table of Contents

    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.

  • Authors

    Thomas Møller, PFA Pension, Copenhagen
    Thomas Møller is a Senior Specialist at PFA Pension, Copenhagen.

    Mogens Steffensen, University of Copenhagen
    Mogens Steffensen is Associate Professor of Actuarial Mathematics at the Institute for Mathematical Sciences, University of Copenhagen.

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