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Full Description
Focusing on life insurance and pensions, this book addresses various
aspects of modelling in modern insurance: insurance liabilities;
asset-liability management; securitization, hedging, and investment strategies.
With contributions from internationally renowned academics in actuarial
science, finance, and management science and key people in major life insurance
and reinsurance companies, there is expert coverage of a wide range of topics,
for example: models in life insurance and their roles in decision making; an
account of the contemporary history of insurance and life insurance
mathematics; choice, calibration, and evaluation of models; documentation and
quality checks of data; new insurance regulations and accounting rules; cash
flow projection models; economic scenario generators; model uncertainty and
model risk; model-based decision-making at line management level; models and
behaviour of stakeholders.
With author profiles ranging from highly specialized model builders to
decision makers at chief executive level, this book should prove a useful resource
to students and academics of actuarial science as well as practitioners.
Contents
Paradigms in life insurance.- About market consistent valuation in insurance.-
Cash flow projection models.- Economic scenario generators.- From internal to
ORSA models.- Building a model: practical implementation.- Ex-ante model
validation and back-testing.- The threat of model risk for insurance companies.-
Meta-models and consistency issues.- Model feeding & Data Quality.- The
role of models in management decision making.- Models and behaviour of
stakeholders
