Fundamentals of Actuarial Mathematics

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John Wiley & Sons, Jan 6, 2011 - Mathematics - 424 pages
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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.


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The basic deterministic model 7
The life table 37
Life annuities 45
Life insurance 60
Insurance and annuity reserves 76
The stochastic approach to insurance and annuities 205
Simplifications under level benefit contracts 228
The minimum failure time 238
Risk Assessment 291
An introduction to stochastic processes 308
Poisson processes 324
Ruin models 332

Fractional durations 101
Continuous payments 115
Select mortality 136
Multiplelife contracts 143
Multipledecrement theory 164
Expenses 182
Credibility theory 361
Multistate models 389
Appendix A review of probability theory 406
The normal distribution 412
Probability generating functions 423
References 443

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