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The aim of the book is to provide an overview of risk management in
life insurance companies. The focus is twofold: (1) to provide a
broad view of the different topics needed for risk management and
(2) to provide the necessary tools and techniques to concretely
apply them in practice. Much emphasis has been put into the
presentation of the book so that it presents the theory in a simple
but sound manner. The first chapters deal with valuation concepts
which are defined and analysed, the emphasis is on understanding
the risks in corresponding assets and liabilities such as bonds,
shares and also insurance liabilities. In the following chapters
risk appetite and key insurance processes and their risks are
presented and analysed. This more general treatment is followed by
chapters describing asset risks, insurance risks and operational
risks - the application of models and reporting of the
corresponding risks is central. Next, the risks of insurance
companies and of special insurance products are looked at. The aim
is to show the intrinsic risks in some particular products and the
way they can be analysed. The book finishes with emerging risks and
risk management from a regulatory point of view, the standard model
of Solvency II and the Swiss Solvency Test are analysed and
explained. The book has several mathematical appendices which deal
with the basic mathematical tools, e.g. probability theory,
stochastic processes, Markov chains and a stochastic life insurance
model based on Markov chains. Moreover, the appendices look at the
mathematical formulation of abstract valuation concepts such as
replicating portfolios, state space deflators, arbitrage free
pricing and the valuation of unit linked products with guarantees.
The various concepts in the book are supported by tables and
figures.
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.
Im vorliegenden Buch werden neue Erkenntnisse der
Lebensversicherungsmathematik aus dem Gebiet der Markovmodelle und
der stochastischen Zinsen behandelt. Besonderes Gewicht wird auf
die Anwendbarkeit der Modelle in der Praxis gelegt, so dass die
Aussagen direkt angewendet werden konnen. Die dargestellten Modelle
sind in besonderer Weise geeignet, eine schnelle Tarifierung neuer
Lebensversicherungsprodukte zu ermoglichen. Gleichzeitig geben
diese Modelle einen tieferen Einblick in das Wesen der
Lebensversicherungsmathematik. Der besondere Nutzen dieses Buches
liegt einerseits in der parallelen Behandlung der Theorie in
stetiger und in diskreter Zeit. Zusatzlich wird das fur die
Behandlung der Theorie notige Vorwissen im Buch dargestellt. Durch
die vielen Beispiele konnen die entsprechenden Aussagen direkt in
die Praxis umgesetzt werden. Die zweiten Auflage wurde an die
aktuellen Entwicklungen, insbesondere in Bezug auf Solvency 2,
angepasst."
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