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Table Of Contents

1.1 Banking versus insurance
1.2 Mortality
1.3 Banking
1.4 Insurance
1.5 With-profit contracts: Surplus and bonus
1.6 Unit-linked insurance
1.7 Issues for further study
2.1 Basic definitions and relationships
2.2 Application to loans
Mortality
3.1 Aggregate mortality
3.2 Some standard mortality laws
3.3 Actuarial notation
3.4 Select mortality
4.2 The principle of equivalence
4.3 Prospective reserves
4.4 Thiele’s differential equation
4.5 Probability distributions
4.6 The stochastic process point of view
Expenses
5.1 A single life insurance policy
5.2 The general multi-state policy
Multi-life insurances
6.1 Insurances depending on the number of sur-
7.1 The insurance policy as a stochastic process
7.2 The time-continuous Markov chain
7.3 Applications
7.4 Selection phenomena
7.5 The standard multi-state contract
7.6 Select mortality revisited
7.7 Higher order moments of present values
7.8.2 Differential equations for moments of present values
7.8.3 Complement on Markov chains
7.9 Dependent lives
7.9.1 Introduction
7.9.2 Notions of positive dependence
7.9.3 Dependencies between present values
7.9.4 A Markov chain model for two lives
7.10 Conditional Markov chains
7.10.1 Retrospective fertility analysis
8.1 Introduction
8.3 The general Markov multistate policy
8.4 Differential equations for statewise distribu-
8.5 Applications
Reserves
9.1 Introduction
9.4 The Markov chain model
9.5 Reserves in the Markov chain model
9.6 Some examples
Safety loadings and bonus
10.1 General considerations
10.2 First and second order bases
10.3 The technical surplus and how it emerges
10.4 Dividends and bonus
10.5 Bonus prognoses
10.6 Examples
10.7 Including expenses
10.8 Discussions
11.2 Parametric inference in the Markov model
11.3 Confidence regions
11.4 More on simultaneous confidence intervals
11.5 Piecewise constant intensities
11.6 Impact of the censoring scheme
Heterogeneity models
12.1 The notion of heterogeneity – a two-stage
12.2 The proportional hazard model
Group life insurance
13.1 Basic characteristics of group insurance
13.3 Experience rated net premiums
13.4 The fluctuation reserve
13.5 Estimation of parameters
Hattendorff and Thiele
14.1 Introduction
14.2 The general Hattendorff theorem
14.3 Application to life insurance
14.4 Excerpts from martingale theory
15.1 Finance in insurance
15.2 Prerequisites
15.3 A Markov chain financial market - Intro-
15.4 The Markov chain market
15.5 Arbitrage-pricing of derivatives in a com-
15.6 Numerical procedures
15.7 Risk minimization in incomplete markets
15.8 Trading with bonds: How much can be
15.9 The Vandermonde matrix in finance
15.10 Two properties of the Vandermonde ma-
15.11 Applications to finance
15.12 Martingale methods
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Life Book

Life Book

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Published by acorna

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Published by: acorna on Aug 13, 2012
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