精算模型：壽險和年金

《精算模型：壽險和年金》是高等教育出版社出版的圖書，作者是朱彥雲。

基本介紹

• 書名：精算模型：壽險和年金
• 頁數：341頁
• 出版社：高等教育出版社
• 出版時間：2008年1月1日

圖書信息

外文書名: Actuarial Model

叢書名: 精算科學系列

平裝

正文語種: 英語

開本: 16

ISBN: 9787040224689

條形碼: 9787040224689

尺寸: 25.8 x 18.4 x 1.6 cm

重量: 640 g

作者簡介

朱彥雲，於1995年在中央財經大學獲得精算學碩士學位，2001年及2003年在美國威斯康星大學麥迪遜分校獲得金融碩士和精算及保險學博士學位。自2003年至今，朱博士作者於美國伊利諾伊大學，講授的課程包括精算數學、風險模型、風險理論、養老金及機率基礎。朱博士於2004年取得美國精算師資格，並在2005年參與了美國精算師協會Course 8v Exam（投資學科方向）的出題及評卷工作。朱博士也通過了大部分英車精算師協會考試，僅需通過兩門考試即能取得英國精算師資格。

內容簡介

《精算模型:壽險和年金(英文版)》將壽險模型建立在不能確定終止日期的一系列現金流上，並結合金融理論和機率分布理論，重點講述如何對壽險和年金進行定價，是一本壽險理論的機率套用書。《精算模型:壽險和年金(英文版)》意在幫助有興趣於精算學和壽險理論的讀者理解壽險理論的定價體系。由於《精算模型:壽險和年金(英文版)》中眾多例子及練習取自往年北美精算師（SOA）考試試題，使得《精算模型——壽險和年金》也是一本針對北美精算師Exam MLC及英國精算師Subject CT5的很好的參考書。

目錄

Preface

1 Interest and Annuity-Certain

1.1 Introduction

1.2 Interest

1.2.1 Simple Interest

1.2.2 Compound Interest

1.2.3 Interest Convertible m-thly

1.2.4 Force cf Interest

1.2.5 Relationship among Interest Rates

1.2.6 The Accumulation Factor

1.2.7 The Discount Factor

1.3 Annuities-Certain

1.3.1 Annual Annuities-Certain

1.3.2 Continuous Annuities-Certain

1.3.3 m-thly Annuities-Certain

1.3.4 Accumulated Values of Annuities-Certain at Time n

1.4 Summary

1.5 Exercise

2 Individual Future Lifetime

2.1 Introduction

2.2 A Newborn's Future Lifetime X

2.3 Future Lifetime of (x)

2.3.1 Relationship Between Probability Functions of X and T(x)

2.3.2 Curtate-Future-Lifetime of (x)

2.3.3 Conditional Average Death Time

2.3.4 Central Force of Mortality

2.4 Life Table

2.4.1 Aggregate Life Table

2.4.2 Select-and-Ultimate Life Table

2.5 Summary

2.6 Exercise

3 Life Insurance

3.1 Introduction

3.2 Continuous Life Insurance

3.2.1 Level Life Insurance

3.2.2 A General Continuous Life Insurance

3.3 Discrete Life Insurance

3.3.1 Level Life Insurance

3.3.2 A General Discrete Life Insurance

3.3.3 Commutation Functions

3.4 m-thly Life Insurance

3.5 Endowment Insurance

3.6 Summary

3.7 Exercise

4 Life Annuities

4.1 Introduction

4.2 Continuous Life Annuities

4.2.1 Level Life Annuities

4.2.2 Varying Continuous Life Annuities

4.3 Annual Life Annuities

4.3.1 Level Annual Life Annuities

4.3.2 Varying Annual Life Annuities

4.3.3 Commutation Functions

4.4 Special Life Annuities

4.4.1 m-thly Life Annuities

4.4.2 n-Year-Certain-and-Life Annuities

4.4.3 Apportionable Annuities-Due

4.4.4 Complete Annuities-immediate

4.5 Summary

4.6 Exercise

5 Insurance Premiums

5.1 Introduction

5.2 Insurance Pricing Principles

5.2.1 The Three Pricing Principles

5.2.2 Single Benefit Premiums

5.3 Benefit Premiums

5.3.1 Fully Continuous Benefit Premiums

5.3.2 Fully Discrete Benefit Premiums

5.3.3 m-thly Benefit Premiums

5.3.4 Apportionable Benefit Premiums

5.4 Gross Insurance Premiums

5.4.1 Classification of Expenses

5.4.2 Gross Premiums Under the Equivalence Principle

5.5 Summary

5.6 Exercises

6 Insurance Reserves

6.1 Introduction

6.2 Insurance Reserve Principles

6.2.1 The Prospective Loss Random Variable

6.2.2 The Three Common Principles

6.3 Insurance Benefit Reserves

6.3.1 Benefit Reserves for Fully Continuous Life Insurance

6.3.2 Benefit Reserves for Fully Discrete Life Insurance

6.3.3 Benefit Reserves with the Retrospective Method

6.3.4 Recursive Formula between Discrete Benefit Reserves

6.4 Benefit Reserves for Special Life Insurance

6.4.1 Benefit Reserves for m-thiy Life Insurance

6.4.2 Benefit Reserves for Mixed Life Insurance

6.4.3 Benefit Reserves with Apportionable Premiums

6.4.4 Gross Insurance Reserves

6.5 Summary

6.6 Excercise

7 Joint-Life Functions

7.1 Introduction

7.2 Joint Distributions of Future Lifetimes

7.2.1 The Joint-Life Status

7.2.2 Last-Survivor Status

7.3 Relationship among T(x), T(y), Txy,and T

7.4 Contingent Probabilities

7.5 Dependent Models

7.5.1 Common Shock Model

7.5.2 Frank's Copula

7.6 Life Insurance on Two Individuals

7.6.1 Life Insurance on (xy) and

7.6.2 Contingent Life Insurance

7.7 Life Annuities on Two Individuals

7.7.1 Life Annuities on (xy) and

7.7.2 Reversionary Annuities

7.8 Summary

7.9 Exercise

8 Multiple-Decrement Model

8.1 Introduction

8.2 A Double-Decrement Model

8.2.1 Future Lifetimes of Two Risks

8.2.2 Probabilities of Decrement

8.3 A General m-Decrement Model

8.3.1 Probabilities of Decrement

8.3.2 Central Rates from a Multiple-Decrement Table

8.3.3 Constructing a Multiple-Decrement Table

8.4 Discretionary Life Insurance

8.4.1 Benefit Premiums for Discretionary Life Insurance

8.4.2 Benefit Reserves for Discretionary Life Insurance

8.4.3 Asset Share

8.5 Summary

8.6 Exercise

Appendix 1 Standard Normal Table

Appendix 2A Illustrative Life Table with i=0.06

Appendix 2B Illustrative Service Table with i=0.06

Appendix 2C Interest Rate Function at i=0.06

Appendix 3 Probability Theorem and Random Variables

Appendix 4 Interest Rate and Annuity-Certain

Bibliography

Symbol Index

Index