Stochastic Models in Life Insurance
The book provides a sound mathematical base for life insurance mathematics and applies the underlying concepts to concrete examples. Moreover the models presented make it possible to model life insurance policies by means of Markov chains. Two chapters co
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M. Koller A. Pelsser
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
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Michael Koller
Stochastic Models in Life Insurance
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Michael Koller Mathematics Department ETH Zürich Zurich Switzerland
Translation from the German edition: Michael Koller, Stochastische Modelle in der Lebensversicherung, 2nd Ed. Ó Springer-Verlag Berlin Heidelberg 2010 ISSN 1869-6929 ISBN 978-3-642-28438-0 DOI 10.1007/978-3-642-28439-7
e-ISSN 1869-6937 e-ISBN 978-3-642-28439-7
Springer Heidelberg New York Dordrecht London Library of Congress Control Number: 2012933836 Mathematics Subject Classification (2010): 60G35, 62J20, 60J10, 60J27, 60J65, 60K30, 60J70 Ó Springer-Verlag Berlin Heidelberg 2012 This work is subject to copyright. All rights are reserved by the Publisher, whether the whole or part of the material is concerned, specifically the rights of translation, reprinting, reuse of illustrations, recitation, broadcasting, reproduction on microfilms or in any other physical way, and transmission or information storage and retrieval, electronic adaptation, computer software, or by similar or dissimilar methodology now known or hereafter developed. Exempted from this legal reservation are brief excerpts in connection with reviews or scholarly analysis or material supplied specifically for the purpose of being entered and executed on a computer system, for exclusive use by the purchaser of the work. Duplication of this publication or parts thereof is permitted only under the provisions of the Copyright Law of the Publisher’s location, in its current version, and permission for use must always be obtained from Springer. Permissions for use may be obtained through RightsLink at the Copyright Clearance Center. Violations are liable to prosecution under the respective Copyright Law. The use of general descriptive names, registered names, trademarks, service marks, 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. While the advice and information in this book are believed to be true and accurate at the date of publication, neither the authors nor the editors nor the publisher can accept any legal responsibility for any errors or omissions that may be made. The publisher makes no warranty, express or implied, with respect to the material contained herein. Printed on acid-free paper Springer is part of Springer Science+Business Media (www.springer.com)
To Luisa, Giulia and Anna
Preface
This book was originally writ
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