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Market-Valuation Methods in Life and Pension Insurance

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ISBN-10: 0521868777

ISBN-13: 9780521868778

Edition: 2007

Authors: Mogens Steffensen, Thomas M�ller, John McCutcheon, Mark Davis, John Hylands

List price: $120.00
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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 However, this approach is being superseded by developments in international accounting and solvency standards coupled with other advances enabling a market-based valuation of risk, i.e., its price if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 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…    
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Book details

List price: $120.00
Copyright year: 2007
Publisher: Cambridge University Press
Publication date: 1/18/2007
Binding: Hardcover
Pages: 294
Size: 6.00" wide x 9.00" long x 0.50" tall
Weight: 1.166
Language: English

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

Thomas M�ller is a Senior Specialist at PFA Pension, Copenhagen.

Introduction and life insurance practice
Technical reserves and market value
Interest rate theory in insurance
Bonus, binomial and Black-Scholes
Integrated actuarial and financial valuation
Surplus-linked life insurance
Interest rate derivatives in insurance
Appendix A