Author : Dominique Beckers
Publisher : Wolters Kluwer Belgium
Page : 176 pages
File Size : 15,90 MB
Release : 2017
Category :
ISBN : 9046597407
Author : S. David Promislow
Publisher : John Wiley & Sons
Page : 552 pages
File Size : 37,86 MB
Release : 2014-10-27
Category : Mathematics
ISBN : 1118782496
Provides a comprehensive coverage of both the deterministic and stochastic models of life contingencies, risk theory, credibility theory, multi-state models, and an introduction to modern mathematical finance. New edition restructures the material to fit into modern computational methods and provides several spreadsheet examples throughout. Covers the syllabus for the Institute of Actuaries subject CT5, Contingencies Includes new chapters covering stochastic investments returns, universal life insurance. Elements of option pricing and the Black-Scholes formula will be introduced.
Author : Arjun K. Gupta
Publisher : Springer Science & Business Media
Page : 359 pages
File Size : 12,63 MB
Release : 2013-04-17
Category : Business & Economics
ISBN : 9401707111
to Actuarial Mathematics by A. K. Gupta Bowling Green State University, Bowling Green, Ohio, U. S. A. and T. Varga National Pension Insurance Fund. Budapest, Hungary SPRINGER-SCIENCE+BUSINESS MEDIA, B. V. A C. I. P. Catalogue record for this book is available from the Library of Congress. ISBN 978-90-481-5949-9 ISBN 978-94-017-0711-4 (eBook) DOI 10. 1007/978-94-017-0711-4 Printed on acid-free paper All Rights Reserved © 2002 Springer Science+Business Media Dordrecht Originally published by Kluwer Academic Publishers in 2002 No part of the material protected by this copyright notice may be reproduced or utilized in any form or by any means, electronic or mechanical, including photocopying, recording or by any information storage and retrieval system, without written permission from the copyright owner. To Alka, Mita, and Nisha AKG To Terezia and Julianna TV TABLE OF CONTENTS PREFACE. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ix CHAPTER 1. FINANCIAL MATHEMATICS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1 1. 1. Compound Interest . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1 1. 2. Present Value. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 31 1. 3. Annuities. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 48 CHAPTER 2. MORTALITy . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 80 2. 1 Survival Time . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 80 2. 2. Actuarial Functions of Mortality. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 84 2. 3. Mortality Tables. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 98 CHAPTER 3. LIFE INSURANCES AND ANNUITIES . . . . . . . . . . . . . . . . . . . . . 112 3. 1. Stochastic Cash Flows . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 112 3. 2. Pure Endowments. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 130 3. 3. Life Insurances . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 133 3. 4. Endowments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 147 3. 5. Life Annuities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 154 CHAPTER 4. PREMIUMS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 194 4. 1. Net Premiums . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 194 4. 2. Gross Premiums . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 215 Vll CHAPTER 5. RESERVES . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 223 5. 1. Net Premium Reserves . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 223 5. 2. Mortality Profit. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 272 5. 3. Modified Reserves . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 286 ANSWERS TO ODD-NuMBERED PROBLEMS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Author : Ermanno Pitacco
Publisher : Oxford University Press
Page : 416 pages
File Size : 49,16 MB
Release : 2009-01-29
Category : Business & Economics
ISBN : 0199547270
A text aimed at researchers and postgraduates actuarial science, statistics, and actuarial mathematics providing a comprehensive and detailed description of statistical methods for projecting mortality, and an extensive discussion of some important issues concerning the longevity risk in the area of life annuities and pension benefits.
Author : Arthur W. Anderson
Publisher : ACTEX Publications
Page : 305 pages
File Size : 32,38 MB
Release : 2006
Category : Business & Economics
ISBN : 1566985595
Author : Philip Martin McCaulay
Publisher : Independently Published
Page : 0 pages
File Size : 30,63 MB
Release : 2024-01-03
Category : Mathematics
ISBN :
"Essential Pension Actuarial Mathematics" is a comprehensive and invaluable resource for pension actuaries and actuarial students seeking a deep understanding of the mathematical principles and techniques essential in the field of pension actuarial science. Authored by experts in the field, this book covers a wide range of topics relevant to pension actuarial practice. Part I - Interest and Mortality: Mortality Rates and Survival Functions: This section introduces the fundamental concepts of mortality rates and survival functions, which are essential for assessing life expectancies and mortality risks in pension calculations. The Theory of Interest: Explore the theory of interest, including accumulation factors, compound interest accumulation functions, and interest discount factors. Gain insights into the mathematical foundation of interest rate calculations critical for pension actuaries. Commutation Functions and Life Annuity Factors: Delve into commutation functions and life annuity factors, which are vital tools for estimating pension payouts and assessing actuarial liabilities. Part II - Cost Methods: 4. Unit Credit (UC) Cost Method: Understand the Unit Credit cost method, one of the essential techniques for calculating pension costs and liabilities, especially in defined benefit pension plans. Projected Unit Credit (PUC) Cost Method: Explore the Projected Unit Credit cost method, which provides a more sophisticated approach to estimating pension obligations based on projected salaries and service. Entry Age Normal (EAN) Cost Method: Learn about the Entry Age Normal cost method, an individualized approach to determining pension costs and liabilities, considering participants' entry ages. Aggregate Cost Method: Discover the Aggregate Cost method, which helps assess pension costs as a percentage of payroll, providing insights into group-based pension plans. Part III - Amortization and Contributions: 8. Calculating Amortization Periods: Gain insights into calculating amortization periods, a crucial step in managing unfunded pension liabilities and contributions. Formulas for Amortization Factors: Explore the formulas for amortization factors, which facilitate the determination of contributions needed to fund pension plan deficits. Part IV - Duration and Convexity: 10. Duration: Understand the concept of duration, a critical measure for assessing the sensitivity of pension liabilities to changes in interest rates. Convexity: Explore convexity, which provides a deeper understanding of how pension liabilities respond to interest rate movements, including the concept of negative convexity. Negative Convexity: Learn about negative convexity and its implications for pension actuaries, especially in cases where certain pension securities exhibit non-linear price responses to interest rate changes. Exercise Sets: Each part includes exercise sets designed to reinforce the understanding of the presented concepts and allow readers to apply their knowledge. Comprehensive Coverage: "Essential Pension Actuarial Mathematics" provides a comprehensive and in-depth exploration of essential topics in pension actuarial mathematics, making it an invaluable reference for both experienced pension actuaries and actuarial students. Practical Application: The book not only explains theoretical concepts but also focuses on their practical application in pension actuarial practice, helping readers bridge the gap between theory and real-world scenarios.
Author : Harry H. Panjer
Publisher : American Mathematical Soc.
Page : 143 pages
File Size : 22,5 MB
Release : 1986
Category : Business & Economics
ISBN : 0821800965
These lecture notes from the 1985 AMS Short Course examine a variety of topics from the contemporary theory of actuarial mathematics. Recent clarification in the concepts of probability and statistics has laid a much richer foundation for this theory. Other factors that have shaped the theory include the continuing advances in computer science, the flourishing mathematical theory of risk, developments in stochastic processes, and recent growth in the theory of finance. In turn, actuarial concepts have been applied to other areas such as biostatistics, demography, economic, and reliability engineering.
Author : Howard E. Winklevoss
Publisher : University of Pennsylvania Press
Page : 342 pages
File Size : 47,36 MB
Release : 1993-03-29
Category : Business & Economics
ISBN : 9780812231960
A text that quantifies and provides new or improved actuarial notation for long recognized pension cost concepts and procedures and, in certain areas, develops new insights and techniques. With the exception of the first few chapters, the text is a virtual rewrite of the first edition of 1977. Among the major additions are chapters on statutory funding requirements, pension accounting, funding policy analysis, asset allocation, and retiree health benefits.
Author : Catrin Townsend
Publisher : Springer Nature
Page : 415 pages
File Size : 39,75 MB
Release : 2022-09-24
Category : Business & Economics
ISBN : 3031116739
Intangible, invisible and worth trillions, risk is everywhere. Its quantification and management are key to the success and failure of individuals, businesses and governments. Whether you’re an interested observer or pursuing a career in risk, this book delves into the complex and multi-faceted work that actuaries undertake to quantify, manage and commodify risk—supporting our society and servicing a range of multi-billion-dollar industries. Starting at the most basic level, this book introduces key concepts in actuarial science, insurance and pensions. Through case studies, explanations and mathematical examples, it fosters an understanding of current industry practice. This book celebrates the long history of actuarial science and poses the problems facing actuaries in the future, exploring complex global risks including climate change, aging populations, healthcare models and pandemic epidemiology from an actuarial perspective. It gives practical advice for new and potential actuaries on how to identify an area of work to go into, how best to navigate (and pass!) actuarial exams and how to develop your skills post-qualification. A Risky Business illuminates how actuaries are central to society as we know it, revealing what they do and how they do it. It is the essential primer on actuarial science.
Author : Subramaniam Iyer
Publisher : International Labour Organization
Page : 152 pages
File Size : 17,19 MB
Release : 1999
Category : Political Science
ISBN : 9789221108665
Describes the application of actuarial principles and techniques to public social insurance pension schemes. Aims to establish a link between public social security and occupational pension scheme methods. Part one discusses actuarial theory. Part two deals with two techniques: the projection technique, and the present value technique. There is also a brief description of actuarial mathematics.
