Pension Mathematics for Actuaries
Author : Arthur W. Anderson
Publisher : ACTEX Publications
Page : 305 pages
File Size : 13,33 MB
Release : 2006
Category : Business & Economics
ISBN : 1566985595
Essential Pension Actuarial Mathematics
Author : Philip Martin McCaulay
Publisher : Independently Published
Page : 0 pages
File Size : 44,91 MB
Release : 2024-01-03
Category : Mathematics
ISBN :
Book Description
"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.
Pension Mathematics with Numerical Illustrations
Author : Howard E. Winklevoss
Publisher : University of Pennsylvania Press
Page : 342 pages
File Size : 30,5 MB
Release : 1993-03-29
Category : Business & Economics
ISBN : 9780812231960
Book Description
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.
Actuarial Mathematics for Pensions - Basics and Concepts applied to Business
Author : Dominique Beckers
Publisher : Wolters Kluwer Belgium
Page : 176 pages
File Size : 43,42 MB
Release : 2017
Category :
ISBN : 9046597407
Book Description
Fundamentals of Actuarial Mathematics
Author : S. David Promislow
Publisher : John Wiley & Sons
Page : 390 pages
File Size : 15,95 MB
Release : 2011-01-06
Category : Mathematics
ISBN : 0470978074
Book Description
This book provides a comprehensive introduction to actuarial mathematics, covering both deterministic and stochastic models of life contingencies, as well as more advanced topics such as risk theory, credibility theory and multi-state models. This new edition includes additional material on credibility theory, continuous time multi-state models, more complex types of contingent insurances, flexible contracts such as universal life, the risk measures VaR and TVaR. Key Features: Covers much of the syllabus material on the modeling examinations of the Society of Actuaries, Canadian Institute of Actuaries and the Casualty Actuarial Society. (SOA-CIA exams MLC and C, CSA exams 3L and 4.) Extensively revised and updated with new material. Orders the topics specifically to facilitate learning. Provides a streamlined approach to actuarial notation. Employs modern computational methods. Contains a variety of exercises, both computational and theoretical, together with answers, enabling use for self-study. An ideal text for students planning for a professional career as actuaries, providing a solid preparation for the modeling examinations of the major North American actuarial associations. Furthermore, this book is highly suitable reference for those wanting a sound introduction to the subject, and for those working in insurance, annuities and pensions.
Modelling Longevity Dynamics for Pensions and Annuity Business
Author : Ermanno Pitacco
Publisher : OUP Oxford
Page : 417 pages
File Size : 32,83 MB
Release : 2009-01-29
Category : Business & Economics
ISBN : 0191563153
Book Description
Mortality improvements, uncertainty in future mortality trends and the relevant impact on life annuities and pension plans constitute important topics in the field of actuarial mathematics and life insurance techniques. In particular, actuarial calculations concerning pensions, life annuities and other living benefits (provided, for example, by long-term care insurance products and whole life sickness covers) are based on survival probabilities which necessarily extend over a long time horizon. In order to avoid underestimation of the related liabilities, the insurance company (or the pension plan) must adopt an appropriate forecast of future mortality. Great attention is currently being devoted to the management of life annuity portfolios, both from a theoretical and a practical point of view, because of the growing importance of annuity benefits paid by private pension schemes. In particular, the progressive shift from defined benefit to defined contribution pension schemes has increased the interest in life annuities with a guaranteed annual amount. This book provides a comprehensive and detailed description of methods for projecting mortality, and an extensive introduction to some important issues concerning longevity risk in the area of life annuities and pension benefits. It relies on research work carried out by the authors, as well as on a wide teaching experience and in CPD (Continuing Professional Development) initiatives. The following topics are dealt with: life annuities in the framework of post-retirement income strategies; the basic mortality model; recent mortality trends that have been experienced; general features of projection models; discussion of stochastic projection models, with numerical illustrations; measuring and managing longevity risk.
Pension Fund Risk Management
Author : Marco Micocci
Publisher : CRC Press
Page : 766 pages
File Size : 35,23 MB
Release : 2010-01-25
Category : Business & Economics
ISBN : 1439817545
Book Description
As pension fund systems decrease and dependency ratios increase, risk management is becoming more complex in public and private pension plans. Pension Fund Risk Management: Financial and Actuarial Modeling sheds new light on the current state of pension fund risk management and provides new technical tools for addressing pension risk from an integr
An Introduction to Actuarial Mathematics
Author : Arjun K. Gupta
Publisher : Springer Science & Business Media
Page : 359 pages
File Size : 41,54 MB
Release : 2013-04-17
Category : Business & Economics
ISBN : 9401707111
Book Description
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 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Health Insurance
Author : Ermanno Pitacco
Publisher : Springer
Page : 172 pages
File Size : 24,18 MB
Release : 2014-11-04
Category : Business & Economics
ISBN : 3319122355
Book Description
Health Insurance aims at filling a gap in actuarial literature, attempting to solve the frequent misunderstanding in regards to both the purpose and the contents of health insurance products (and ‘protection products’, more generally) on the one hand, and the relevant actuarial structures on the other. In order to cover the basic principles regarding health insurance techniques, the first few chapters in this book are mainly devoted to the need for health insurance and a description of insurance products in this area (sickness insurance, accident insurance, critical illness covers, income protection, long-term care insurance, health-related benefits as riders to life insurance policies). An introduction to general actuarial and risk-management issues follows. Basic actuarial models are presented for sickness insurance and income protection (i.e. disability annuities). Several numerical examples help the reader understand the main features of pricing and reserving in the health insurance area. A short introduction to actuarial models for long-term care insurance products is also provided. Advanced undergraduate and graduate students in actuarial sciences; graduate students in economics, business and finance; and professionals and technicians operating in insurance and pension areas will find this book of benefit.
Solutions Manual for Actuarial Mathematics for Life Contingent Risks
Author : David C. M. Dickson
Publisher : Cambridge University Press
Page : 180 pages
File Size : 15,31 MB
Release : 2012-03-26
Category : Business & Economics
ISBN : 1107608449
Book Description
"This manual presents solutions to all exercises from Actuarial Mathematics for Life Contingent Risks (AMLCR) by David C.M. Dickson, Mary R. Hardy, Howard Waters; Cambridge University Press, 2009. ISBN 9780521118255"--Pref.
