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Market-valuation methods in life and pension insurance. (English) Zbl 1114.91062
International Series on Actuarial Science. Cambridge: Cambridge University Press (ISBN 978-0-521-86877-8/hbk; 978-0-511-26722-2/ebook). xiv, 279 p. (2007).
This book provides the state of mathematical finance models and actuarial techniques for life and pension insurance, treated by means of a combined approach.
Following the guidelines suggested by the well known current international accounting and solvency standards, the book focuses on a market consistent valuation system in the insurance realm. After a brief overview (Chapter 1) on life insurance practice, with-profit insurance contracts are presented (Chapter 2) first in a classical actuarial framework, then according to a market-valuation approach.
This market-valuation method is then developed considering stochastic interest rates (Chapter 3) and risky investment alternatives (Chapter 4).
Successively (Chapter 5) an integrated analysis, based on financial and actuarial valuation, is applied to unit-linked insurance contracts and in particular the authors tackle the probems arising from the incompleteness in insurance market by means of alternative methods (i.e. risk minimization, mean-variance approach, utility optimization).
The application of mathematical finance techniques to unit-linked insurance contracts is then unified with the theory of distribution of surplus (Chpter 6).
Finally (Chapter 7) the authors provide a useful presentation of interest rate derivatives within the life insurance field.
The book, providing a substantial contribution involving recent advancements in insurance mathematics, is addressed to both practising life insurance actuaries and students in actuarial science.

MSC:
91B30 Risk theory, insurance (MSC2010)
91-02 Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance
91B28 Finance etc. (MSC2000)
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