Hostname: page-component-586b7cd67f-2plfb Total loading time: 0 Render date: 2024-11-23T01:06:00.286Z Has data issue: false hasContentIssue false
  • English
  • Français

New Econ for Life Actuaries

Published online by Cambridge University Press:  17 April 2015

Knut K. Aase  and
Svein-Arne Persson
Knut K. Aase
Affiliation:
Norwegian School of Economics and Business Administration, 5045 Bergen, Norway
Svein-Arne Persson
Affiliation:
Norwegian School of Economics and Business Administration, 5045 Bergen, Norway
Rights & Permissions [Opens in a new window]

Abstract

Core share and HTML view are not available for this content. However, as you have access to this content, a full PDF is available via the ‘Save PDF’ action button.

In an editorial in ASTIN BULLETIN, Hans Bühlmann (2002) suggests it is time to change the teaching of life insurance theory towards the real life challenges of that industry. The following note is a response to this editorial. In Bergen we have partially taught the NUMAT, or the NUMeraire based Actuarial Teaching since the beginning of the 90's at the Norwegian School of Economics and Business Administration (NHH). In this short note we point out that there may be some practical problems when these principles are to be implemented.

Type
Discussion Articles
Information
ASTIN Bulletin: The Journal of the IAA , Volume 33 , Issue 2 , November 2003 , pp. 117 - 122
Copyright
Copyright © ASTIN Bulletin 2003

Footnotes

*

In addition to the response from Hans Bühlmann, the authors appreciate the comments from Editor Andrew Cairns.

References

Aase, K.K. (1996) Anvendt sannsynlighetsteori: Forsikringsmatematikk (in Norwegian) (English: Applied probability theory: Insurance mathematics). Cappelen Akademisk Forlag, Oslo, Norge.Google Scholar
Adams, K. and van Deventer, D. (1994) Fitting yield curves and forward rate curves with maximum smoothness. Journal of Fixed Income, 52–62.Google Scholar
Bacinello, A. and Persson, S.-A. (2002) Design and pricing of equity-linked life insurance under stochastic interest rates. The Journal of Risk Finance 3(2), 6–21.CrossRefGoogle Scholar
Bühlmann, H. (2002) New math for life actuaries. ASTIN Bulletin 32(2), 209–211.CrossRefGoogle Scholar
Cairns, A.J.G. (1998) Descriptive bond-yield and forward rate models for the british government securities' market. British Actuarial Journal 4(2), 265–321.CrossRefGoogle Scholar
Davis, M. and Mataix-Pastor, V. (2003) Finite-dimensional models of the yield curve. Working paper, Department of Mathematics, Imperial College, London SW7 2BZ, England.Google Scholar
Duffie, D. (2001) Dynamic Asset Pricing Theory. Princeton University Press, Princeton, New Jersey, USA, 3rd edition.Google Scholar
Heath, D., Jarrow, R. and Morton, A.J. (1992) Bond pricing and the term structure of interest rates: A new methodology for contingent claims valuation. Econometrica, 60(1) 77–105.CrossRefGoogle Scholar
Miltersen, K.R. and Persson, S.-A. (1999) Pricing rate of return guarantees in a Heath-Jarrow-Morton framework. Insurance: Mathematics and Economics 25, 307–325.Google Scholar
Miltersen, K.R. and Persson, S.-A. (2003) Guaranteed investment contracts: Distributed and undistributed excess return. Scandinavian Actuarial Journal. Forthcoming.Google Scholar
Persson, S.-A. (1998) Stochastic interest rate in life insurance: The principle of equivalence revisited. Scandinavian Actuarial Journal, 97–112.CrossRefGoogle Scholar
Persson, S.-A. and Aase, K. (1997) Valuation of the minimum guaranteed return embedded in life insurance contracts. Journal of Risk and Insurance 64, 599–617.Google Scholar