Focusing on life insurance and pensions, this book addresses variousaspects of modelling in modern insurance: insurance liabilities;asset-liability management; securitization, hedging, and investment strategies.With contributions from internationally renowned academics in actuarialscience, finance, and management science and key people in major life insuranceand reinsurance companies, there is expert coverage of a wide range of topics,for example: models in life insurance and their roles in decision making; anaccount of the contemporary history of insurance and life insurancemathematics; choice, calibration, and evaluation of models; documentation andquality checks of data; new insurance regulations and accounting rules; cashflow projection models; economic scenario generators; model uncertainty andmodel risk; model-based decision-making at line management level; models andbehaviour of stakeholders.
With author profiles ranging from highly specialized model builders todecision makers at chief executive level, this book should prove a useful resourceto students and academics of actuarial science as well as practitioners.
Paradigms in life insurance.- About market consistent valuation in insurance.-Cash flow projection models.- Economic scenario generators.- From internal toORSA models.- Building a model: practical implementation.- Ex-ante modelvalidation and back-testing.- The threat of model risk for insurance companies.-Meta-models and consistency issues.- Model feeding & Data Quality.- Therole of models in management decision making.- Models and behaviour ofstakeholders
