The aim of the book is to provide an overview of risk management in life insurance companies. The focus is twofold: (1) to provide a broad view of the different topics needed for risk management and (2) to provide the necessary tools and techniques to concretely apply them in practice. Much emphasis has been put into the presentation of the book so that it presents the theory in a simple but sound manner. The first chapters deal with valuation concepts which are defined and analysed, the emphasis is on understanding the risks in corresponding assets and liabilities such as bonds, shares and...

This volume provides a mathematical basis for modelling life insurance policies using Markov chains, applying basic concepts to concrete examples. It includes chapters on ALM and abstract valuation concepts on the background of Solvency II, plus numerous examples.