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Über dieses Buch

The book aims at presenting technical and financial features of life insurance, non-life insurance, pension plans. The book has been planned assuming non-actuarial readers as its “natural” target, namely - advanced undergraduate and graduate students in Economics, Business and Finance; - professionals and technicians operating in Insurance and pension areas, whose job may regard investments, risk analysis, financial reporting, etc, and hence implies a communication with actuarial professionals and managers. Given the assumed target, the book focuses on technical and financial aspects of insurance, however avoiding the use of complex mathematical tools. In this sense, the book can be placed at some “midpoint” of the existing literature, part of which adopts more formal approaches to insurance problems implying the use of non-elementary mathematics, whereas another part addresses practical questions totally avoiding even simple mathematical tools (which, in our opinion, can conversely provide effective tools for presenting technical and financial features of the insurance business).

Inhaltsverzeichnis

Frontmatter

Chapter 1. Risks and insurance

Abstract
The main purposes of this Chapter are:
• to present the concept of individual “risk”, focussing in particular on quantitative aspects of the (negative) financial consequences of some events which can concern a person, a family, a firm, and so on;
• to introduce the role of an insurance company (briefly, an insurer), which takes individual risks, building up a “pool”, and then bears the risk of losses caused by an unexpected number of events in the pool, or by an unexpected severity of the financial consequences of such events.
Annamaria Olivieri, Ermanno Pitacco

Chapter 2. Managing a portfolio of risks

Abstract
Basic ideas concerning risk pooling and risk transfer, presented in Chap. 1, are progressed further in the present Chapter, mainly with the following purposes:
1. to discuss key features of premium calculation when non-homogeneous portfolios are concerned, namely portfolios consisting of risks with various claim probabilities;
2. to analyze, more deeply, the riskiness of a portfolio and the tools which can be used to face potential losses, in particular introducing the role of the shareholders’ capital;
3. to illustrate the possibility, for an insurance company, to transfer, in its turn, risk of losses to another insurer, namely the possibility to resort to reinsurance;
4. to address dynamic aspects of the management of insurance portfolios.
As we will see, the actions undertaken by an insurer in order to deal with potential losses (see points 1 and 3 above) constitute important examples of risk management actions, in the specific framework of insurance risk management.
Annamaria Olivieri, Ermanno Pitacco

Chapter 3. Life insurance: modeling the lifetime

Abstract
When writing insurance contracts, the insurer takes risks originating from various causes. In life insurance, causes of risk relate to financial aspects (e.g. investment yield, inflation, etc.), demographical aspects (e.g. lifetimes of policyholders, lapses and surrenders, etc.), expenses. In this Section we are dealing with demographical aspects only, focussing on policyholders’ lifetimes, which in turn determine the frequency of death in a portfolio.
Annamaria Olivieri, Ermanno Pitacco

Chapter 4. Life insurance: pricing

Abstract
A short description of the main features of life insurance products is provided in this Section, which mainly aims at paving the way to premium calculation and other quantitative assessments.
Annamaria Olivieri, Ermanno Pitacco

Chapter 5. Life insurance: reserving

Abstract
The insurer’s debt position, which is an obvious implication of the single premium arrangement, must be realized also when other premium arrangements are adopted. This need clearly emerged in Sect. 4.4.1. We recall that an asset accumulation - decumulation process develops, throughout the policy duration, against the insurer’s debt position. A technical tool for assessing the insurer’s debt is provided by the socalled mathematical reserve.
Annamaria Olivieri, Ermanno Pitacco

Chapter 6. Reserves and profits in a life insurance portfolio

Abstract
When shifting from individual reserves to the portfolio reserve, various specific problems arise, although many basic ideas about the individual reserving process keep their validity.
In particular, as in the individual case, the portfolio reserve can be looked at under two different perspectives:
• an amount which quantifies the expected insurer’s liability for future benefits, net of future premiums;
• assets, provided by the accumulation of (part of) the premiums, facing the liability mentioned above.
Annamaria Olivieri, Ermanno Pitacco

Chapter 7. Finance in life insurance: linking benefits to the investment performance

Abstract
The life insurance products described in the previous chapters are characterized by fixed benefits (and premiums), i.e. the amount of benefits and premiums is stated at issue.
Annamaria Olivieri, Ermanno Pitacco

Chapter 8. Pension plans: technical and financial perspectives

Abstract
In this Chapter we examine some features of private pension programmes, namely those arrangements providing a post-retirement income in addition to the public pension. As we will see, a private pension plan can be designed either on an individual or a group basis. Although in the modern forms the funding of benefits is always realized on individual basis, group pension plans allow for a funding arrangement based on solidarity principles. The post-retirement income is the basic benefit of a pension plan; however, several rider benefits can be underwritten, covering risks to which an individual is exposed either before or after retirement.
Annamaria Olivieri, Ermanno Pitacco

Chapter 9. Non-life insurance: pricing and reserving

Abstract
The purpose of this Chapter is to introduce the fundamentals of the actuarial valuation of non-life insurance covers. First we give an overview of the contents of non-life insurance products, then we focus on premium calculation and reserving issues. While numerical examples are provided, specific covers are not dealt with in detail. To develop premiums and reserves for specific lines of business, further reading is required (some suggestions are provided in Sect. 9.13).
Annamaria Olivieri, Ermanno Pitacco

Backmatter

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