Market-Valuation Methods in Life and Pensi...

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Sprache: Englisch

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Beschreibung

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 However, this approach is being superseded by developments in international accounting and solvency standards coupled with other advances enabling a market-based valuation of risk, i.e., its price if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 new 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.

Über den Autor

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

Zusammenfassung

In classical life insurance mathematics the obligations of insurance companies towards 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 However, this approach is being superseded by developments in international accounting and solvency standards coupled with other advances enabling a market-based valuation of risk. The book describes these new approaches, together with more traditional methods, with various chapters addressing specific aspects of market-based valuation. It will be of great interest and use to students and practitioners who need a guide to life insurance accounting and product development.

Inhaltsverzeichnis

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.

Erscheinungsjahr:	2014
Fachbereich:	Einzelne Wirtschaftszweige
Genre:	Wirtschaft
Rubrik:	Recht & Wirtschaft
Medium:	Buch
ISBN-13:	9780521868778
ISBN-10:	0521868777
Sprache:	Englisch
Ausstattung / Beilage:	HC gerader Rücken kaschiert
Einband:	Gebunden
Autor:	Moller, Thomas Steffensen, Mogens
Hersteller:	Cambridge University Press
Maße:	235 x 157 x 22 mm
Von/Mit:	Thomas Moller (u. a.)
Erscheinungsdatum:	27.02.2014
Gewicht:	0,633 kg

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