During the last ten years new life insurance products have radically transformed the once conservative business to a risk-aware business that heavily depends on sophisticated methods, as the current problems in the market-downturn have shown. By now life insurance mathematics has become a branch of modern financial mathematics.
Members of the Approximity team contributed to the following publications:
Life insurance mathematics in discrete time DownloadTom Fischer Draft slides; The link below leads to the preliminary (slide-form) version of the notes of a lecture at the Middle East Technical University in Ankara, Turkey, held by the author from April 12 to 16, 2004. As the audience was quite inhomogeneous, the notes contain a brief review of discrete time financial mathematics. Some notions and results from stochastics are explained in the Appendix. The notes contain several internet links to numerical spreadsheet examples which where developed by the author (see also links below). The author does not (and cannot) guarantee for the correctness of the data supplied and the computations taking place.
An axiomatic approach to valuation in life insurance
DownloadTom Fischer working paper The classical Principle of Equivalence ensures that a life insurance company can accomplish that the mean balance per contract converges to zero almost sureley for an increasing number of clients. In an axiomatic approach, this idea is adapted to the general case of stochastic financial markets. In accordance with existing results, the implied minimum fair price of general life insurance products is then uniquely determined by the product of the given equivalent martingale measure of the financial market with the probability measure of the biometric state space. A detailed historical example concerning contract pricing and valuation is given.
An axiomatic approach to valuation in life insurance
DownloadTom Fischer Seventh International Congress on Insurance in Mathematics and Economics Anpassung eines CIR-k-Modells mit Hilfe der Kalman-Filter-Methode
Tom Fischer, Angelika May, Brigitte Walther preprint, TU Darmstadt (German article for practitioners in German life insurance companies). In dieser Arbeit wird erlaeutert, wie die Theorie des Kalman-Filters fuer die Parameterschaetzung eines Cox-Ingersoll-Ross-Models mit k Faktoren genutzt werden kann. Die zunaechst theoretische Ausfuehrung der Vorgehensweise wird an Hand des Deutschen Rentenmarkts konkretisiert.
This sample premium calculator is part of our software package for life insurance companies currently under development. Knowing the correct premium is crucial for any life insurance company. The valuation principles of modern life insurance mathematics show that the minimum fair premiums depend on the daily yield structure.
Life insurance specialist | 