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Actuarial Mathematics for Life Contingent Risks

$64.00 USD

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Part of International Series on Actuarial Science

  • Date Published: November 2009
  • availability: This ISBN is for an eBook version which is distributed on our behalf by a third party.
  • format: Adobe eBook Reader
  • isbn: 9780511629655

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  • How can actuaries best equip themselves for the products and risk structures of the future? Using the powerful framework of multiple state models, three leaders in actuarial science give a modern perspective on life contingencies, and develop and demonstrate a theory that can be adapted to changing products and technologies. The book begins traditionally, covering actuarial models and theory, and emphasizing practical applications using computational techniques. The authors then develop a more contemporary outlook, introducing multiple state models, emerging cash flows and embedded options. Using spreadsheet-style software, the book presents large-scale, realistic examples. Over 150 exercises and solutions teach skills in simulation and projection through computational practice. Balancing rigour with intuition, and emphasising applications, this text is ideal for university courses, but also for individuals preparing for professional actuarial exams and qualified actuaries wishing to freshen up their skills.

    • Practical textbook incorporating the latest developments in actuarial science
    • Includes numerical solutions to end-of-chapter exercises
    • Teaches the underlying principles while preparing the reader for practical applications in life insurance
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    Product details

    • Date Published: November 2009
    • format: Adobe eBook Reader
    • isbn: 9780511629655
    • contains: 65 tables 165 exercises
    • availability: This ISBN is for an eBook version which is distributed on our behalf by a third party.
  • Table of Contents

    Preface
    1. Introduction to life insurance
    2. Survival models
    3. Life tables and selection
    4. Insurance benefits
    5. Annuities
    6. Premium calculation
    7. Policy values
    8. Multiple state models
    9. Pension mathematics
    10. Interest rate risk
    11. Emerging costs for traditional life insurance
    12. Emerging costs for equity-linked insurance
    13. Option pricing
    14. Embedded options
    A. Probability theory
    B. Numerical techniques
    C. Simulation
    References
    Index.

  • Resources for

    Actuarial Mathematics for Life Contingent Risks

    David C. M. Dickson, Mary R. Hardy, Howard R. Waters

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  • Authors

    David C. M. Dickson, University of Melbourne
    David C. M. Dickson is Professor of Actuarial Studies in the Department of Economics at the University of Melbourne. He has twice been awarded the H. M. Jackson Prize of the Institute of Actuaries of Australia, most recently for his book Insurance Risk and Ruin (Cambridge University Press, 2005).

    Mary R. Hardy, University of Waterloo, Ontario
    Mary R. Hardy holds the CIBC Chair in Financial Risk Management at the University of Waterloo, Ontario. She is a Fellow of the UK Institute of Actuaries and of the Society of Actuaries, and has won awards and commendations for her research from the International Actuarial Association, the Institute of Actuaries and the Society of Actuaries.

    Howard R. Waters, Heriot-Watt University, Edinburgh
    Howard Waters is Professor in the Department of Actuarial Mathematics and Statistics at Heriot-Watt University, Edinburgh. He is a Fellow of the Faculty of Actuaries and the Institute of Actuaries, by whom he was awarded the Finlaison Medal for 'Services to the Actuarial Profession' in 2006.

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