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Actuarial Mathematics for Life Contingent Risks

3rd Edition



Part of International Series on Actuarial Science

  • Date Published: December 2019
  • availability: Available
  • format: Hardback
  • isbn: 9781108478083

£ 76.99

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About the Authors
  • The substantially updated third edition of the popular Actuarial Mathematics for Life Contingent Risks is suitable for advanced undergraduate and graduate students of actuarial science, for trainee actuaries preparing for professional actuarial examinations, and for life insurance practitioners who wish to increase or update their technical knowledge. The authors provide intuitive explanations alongside mathematical theory, equipping readers to understand the material in sufficient depth to apply it in real-world situations and to adapt their results in a changing insurance environment. Topics include modern actuarial paradigms, such as multiple state models, cash-flow projection methods and option theory, all of which are required for managing the increasingly complex range of contemporary long-term insurance products. Numerous exam-style questions allow readers to prepare for traditional professional actuarial exams, and extensive use of Excel ensures that readers are ready for modern, Excel-based exams and for the actuarial work environment. The Solutions Manual (ISBN 9781108747615), available for separate purchase, provides detailed solutions to the text's exercises.

    • The required text for the Society of Actuaries' LTAM Exam
    • Contains over 100 new exercises, for a total of 300 exercises and 160 worked examples
    • Designed to be read thoroughly, encouraging students to engage with the subject beyond merely preparing for exams
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    Reviews & endorsements

    'Some decades ago, Life Contingencies were viewed as the boring part of actuarial mathematics. The third (substantially enlarged) edition of this classic is proof of how wrong that view was. Some of the most exciting developments of our field are taking place here. The authors are to be congratulated on having made the latter abundantly clear. This surely is my desert island book on the topic!' Paul Embrechts, Emeritus Professor of Insurance Mathematics, ETH Zurich

    Review of the second edition: 'This book is an excellent textbook for undergraduate, master's level graduate students, and practitioners. It is easy to read, clearly written, and mathematically rigorous. The authors clearly emphasize important concepts and equations, helping readers to the see the forest from the trees. For example they box important formulas and present in bold type assumptions, formulas, statements, examples, and solutions. Many graphs, figures and tables compete a useful summary for the reader's convenience.' Kissop Lee, The American Statistician

    Review of the second edition: 'The book is well written and the content is generally quite accessible … The content focuses on examples of practical actuarial work through use of spreadsheets … Overall, the book provides a good framework in life insurance contingencies so as to cover mortality, longevity interest rate modeling, pricing and guarantees. The strength of the book lies in the fact that this is the 2nd edition and reflects modern actuarial methods that have become popular since the last edition was published.' Gautam Kakar, Annals of Actuarial Science

    Review of the first edition: 'The book is well written, well organized, and easy to read. It may be an excellent textbook for both undergraduate and graduate programs in actuarial science. It is also a rich source of useful information for practitioners of the actuarial profession and financial risk managers who seek a practical and inspiring guide to liability cash flow modeling and valuation.' Scandinavian Actuarial Journal

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    Product details

    • Edition: 3rd Edition
    • Date Published: December 2019
    • format: Hardback
    • isbn: 9781108478083
    • length: 782 pages
    • dimensions: 234 x 159 x 38 mm
    • weight: 1.34kg
    • contains: 11 b/w illus. 4 tables 300 exercises
    • availability: Available
  • Table of Contents

    Preface to the third edition
    1. Introduction to life and long term health insurance
    2. Survival models
    3. Life tables and selection
    4. Insurance benefits
    5. Annuities
    6. Premium calculation
    7. Policy values
    8. Multiple state models
    9. Multiple decrement models
    10. Joint life and last survivor benefits
    11. Pension mathematics
    12. Yield curves and non-diversifiable risk
    13. Emerging costs for traditional life insurance
    14. Universal life insurance
    15. Emerging costs for equity-linked insurance
    16. Option pricing
    17. Embedded options
    18. Estimating survival models
    19. Stochastic longevity models
    Appendix A. Probability and statistics
    Appendix B. Numerical techniques
    Appendix C. Monte Carlo simulation
    Appendix D. Tables

  • Resources for

    Actuarial Mathematics for Life Contingent Risks

    David C. M. Dickson, Mary R. Hardy, Howard R. Waters

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  • Authors

    David C. M. Dickson, University of Melbourne
    David C. M. Dickson holds a Ph.D. in Actuarial Science from Heriot-Watt University, Edinburgh, and is a Fellow of the Institute and Faculty of Actuaries and the Institute of Actuaries of Australia. He lectured for seven years at Heriot-Watt University before moving to the University of Melbourne in 1993. In 2000 Dickson was appointed to the Chair in Actuarial Studies in Melbourne. He was Head of the Department of Economics from 2016 to 2018. He has twice been awarded the H.M. Jackson Prize of the Institute of Actuaries of Australia, most recently for his book Insurance Risk and Ruin (2016).

    Mary R. Hardy, University of Waterloo, Ontario
    Mary R. Hardy is Professor of Actuarial Science at the University of Waterloo, Ontario. She earned her Ph.D. in Actuarial Science from Heriot-Watt University, Edinburgh,where she lectured for eleven years before moving to the University of Waterloo in 1997. She is a Fellow of the Institute and Faculty of Actuaries, and of the Society of Actuaries. In 2007 she was awarded the Chartered Enterprise Risk Analyst designation of the Society of Actuaries, through their thought-leader recognition program. In 2013 she was awarded the Finlaison Medal of the Institute and Faculty of Actuaries for services to the actuarial profession, in research, teaching and governance.

    Howard R. Waters, Heriot-Watt University, Edinburgh
    Howard R. Waters is Professor Emeritus at the Department of Actuarial Mathematics and Statistics at Heriot-Watt University, Edinburgh. He holds a D.Phil. in mathematics from the University of Oxford, and worked as a consulting actuary for several years before joining Heriot-Watt University. He is a Fellow of the Institute and Faculty of Actuaries. He was awarded the Finlaison medal of the Institute of Actuaries in 2006 for services to actuarial research and education.

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