Life Insurance Risk Management Essentials
The aim of the book is to provide an overview of risk management in life insurance companies. The focus is twofold: (1) to provide a broad view of the different topics needed for risk management and (2) to provide the necessary tools and techniques to con
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E. Pitacco U. Orbanz (Co-Chair)
EAA series is successor of the EAA Lecture Notes and supported by the European Actuarial Academy (EAA GmbH), founded on the 29 August, 2005 in Cologne (Germany) by the Actuarial Associations of Austria, Germany, the Netherlands and Switzerland. EAA offers actuarial education including examination, permanent education for certified actuaries and consulting on actuarial education. actuarial-academy.com
For further volumes: www.springer.com/series/7879
Michael Koller
Life Insurance Risk Management Essentials
Michael Koller Mathematics Department ETH Zurich Rämistr. 101 Zurich 8092 Switzerland [email protected]
ISSN 1869-6929 ISBN 978-3-642-20720-4
e-ISSN 1869-6937 e-ISBN 978-3-642-20721-1
DOI 10.1007/978-3-642-20721-1 Springer Heidelberg Dordrecht London New York Library of Congress Control Number: 2011928505 © Springer-Verlag Berlin Heidelberg 2011 This work is subject to copyright. All rights are reserved, whether the whole or part of the material is concerned, specifically the rights of translation, reprinting, reuse of illustrations, recitation, broadcasting, reproduction on microfilm or in any other way, and storage in data banks. Duplication of this publication or parts thereof is permitted only under the provisions of the German Copyright Law of September 9, 1965, in its current version, and permission for use must always be obtained from Springer. Violations are liable to prosecution under the German Copyright Law. The use of general descriptive names, registered names, trademarks, etc. in this publication does not imply, even in the absence of a specific statement, that such names are exempt from the relevant protective laws and regulations and therefore free for general use. Cover design: deblik, Berlin Printed on acid-free paper Springer is part of Springer Science+Business Media (www.springer.com)
For Luisa, Giulia and Anna
Introduction
Fig. 0.1 Risk Management in a Nutshell
viii
Introduction
When starting to write a book, one always needs to ask oneself why one wants to do that and who is the target audience. Furthermore one needs also to know what is required from his audience. To start with the first question. I have performed quite a wide range of jobs in different international insurance groups and found that some patterns always repeat and that there is a need for education in relation to risk management. So at every place there were pieces missing and the overall risk management structure had to be improved. Over time I had to repeat parts of this educational process again and again. So I decided that it would be worthwhile to gather and compile all these different facts and leanings in order that other people can profit from it. I thought that it would be in particular valuable to have a book which covers a wide range of different topics in relation to risk management in such a way and tangible enough to be readily applicable. Hence the book does not focus on abstract concepts for the sake of mathematical beauty, but rather with the aim to concretel
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