Modelling in Life Insurance – A Management Perspective

Front Cover
Jean-Paul Laurent, Ragnar Norberg, Frédéric Planchet
Springer, May 2, 2016 - Mathematics - 255 pages

Focusing on life insurance and pensions, this book addresses various aspects of modelling in modern insurance: insurance liabilities; asset-liability management; securitization, hedging, and investment strategies. With contributions from internationally renowned academics in actuarial science, finance, and management science and key people in major life insurance and reinsurance companies, there is expert coverage of a wide range of topics, for example: models in life insurance and their roles in decision making; an account of the contemporary history of insurance and life insurance mathematics; choice, calibration, and evaluation of models; documentation and quality checks of data; new insurance regulations and accounting rules; cash flow projection models; economic scenario generators; model uncertainty and model risk; model-based decision-making at line management level; models and behaviour of stakeholders.

With author profiles ranging from highly specialized model builders to decision makers at chief executive level, this book should prove a useful resource to students and academics of actuarial science as well as practitioners.

 

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Contents

1 Paradigms in Life Insurance
3
2 About Market Consistent Valuation in Insurance
43
Design and Implementation of Life Insurance Models
61
3 Cash Flow Projection Models
63
4 Economic Scenario Generators
81
5 From Internal to ORSA Models
105
Practical Implementation
125
Model Validation and Steering Processes
150
8 The Threat of Model Risk for Insurance Companies
161
9 MetaModels and Consistency Issues
181
Models and Business Processes
202
10 Model Feeding and Data Quality
203
11 The Role of Models in Management DecisionMaking
223
12 Models and Behaviour of Stakeholders
237
Bibliography
249
Copyright

7 Exante Model Validation and BackTesting
151

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