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Stochastic Models in Life Insurance

by Michael Koller

  • Concrete application of Markov chains in life insurance for pricing and reserving
  • Solvency II
  • Abstract valuation
  • Fair values

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.

Please find further information as well as the possibility to order this book here.

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