Actuarial Mathematics for Life Contingent Risks

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Cambridge University Press, Sep 24, 2009 - Business & Economics
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How can actuaries best equip themselves for the products and risk structures of the future? Using the powerful framework of multiple state models, three leaders in actuarial science give a modern perspective on life contingencies, and develop and demonstrate a theory that can be adapted to changing products and technologies. The book begins traditionally, covering actuarial models and theory, and emphasizing practical applications using computational techniques. The authors then develop a more contemporary outlook, introducing multiple state models, emerging cash flows and embedded options. Using spreadsheet-style software, the book presents large-scale, realistic examples. Over 150 exercises and solutions teach skills in simulation and projection through computational practice. Balancing rigour with intuition, and emphasising applications, this text is ideal for university courses, but also for individuals preparing for professional actuarial exams and qualified actuaries wishing to freshen up their skills.

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Con respecto al Bowers (Actuarial Mathematics) parece un excelente resumen de los capítulos de tablas de vida, segurosy anualidades. Su valor agregado esta en el capítulo 1 donde explica como funcionan (a grandes rasgos) los seguros y planes de pensiones en la práctica, en el capítulo de las reservas y asset shares es mucho mejor que el Bowers, con más ejemplos numéricos y sentido práctico, de hecho no maneja la notación del Bowers por considerarla obsoleta en la práctica. Lo que no trae el Bowers y este libro si es la valuación de opciones. Creo que es un excelente libro, tan bueno como para reemplazar al de Bowers en la preparación del Examen MLC de la SOA. 


Survival models
Life tables and selection
Insurance benefits
Premium calculation
Policy values
Multiple state models
Pension mathematics
Emerging costs for traditional life insurance
Emerging costs for equitylinked insurance
Option pricing
Embedded options
A Probability theory
B Numerical techniques
Author index

Interest rate risk

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About the author (2009)

David C. M. Dickson is Professor of Actuarial Studies in the Department of Economics at the University of Melbourne. He has twice been awarded the H. M. Jackson Prize of the Institute of Actuaries of Australia, most recently for his book Insurance Risk and Ruin (Cambridge University Press, 2005).

Mary R. Hardy holds the CIBC Chair in Financial Risk Management at the University of Waterloo, Ontario. She is a Fellow of the UK Institute of Actuaries and of the Society of Actuaries, and has won awards and commendations for her research from the International Actuarial Association, the Institute of Actuaries and the Society of Actuaries.

Howard Waters is Professor in the Department of Actuarial Mathematics and Statistics at Heriot-Watt University, Edinburgh. He is a Fellow of the Faculty of Actuaries and the Institute of Actuaries, by whom he was awarded the Finlaison Medal for 'Services to the Actuarial Profession' in 2006.

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