Modelling in Life Insurance – A Management Perspective

  • Jean-Paul Laurent
  • Ragnar Norberg
  • Frédéric Planchet

Part of the EAA Series book series (EAAS)

Table of contents

  1. Front Matter
    Pages i-xvi
  2. Life Insurance Context

    1. Front Matter
      Pages 1-1
    2. Ragnar Norberg
      Pages 3-42
    3. Pierre-E. Thérond
      Pages 43-60
  3. Design and Implementation of Life Insurance Models

    1. Front Matter
      Pages 61-61
    2. Jean-Paul Felix
      Pages 63-79
    3. Thierry Moudiki, Frédéric Planchet
      Pages 81-104
    4. Frédéric Planchet, Christian-Yann Robert
      Pages 105-124
    5. Patrice Palsky
      Pages 125-147
  4. Model Validation and Steering Processes

    1. Front Matter
      Pages 149-149
    2. Stéphane Loisel, Kati Nisipasu
      Pages 151-160
    3. Christian-Yann Robert
      Pages 161-180
    4. Jean-Paul Laurent
      Pages 181-201
  5. Models and Business Processes

    1. Front Matter
      Pages 203-203
    2. Jean-Paul Felix, Nathalie Languillat, Amélie Mourens
      Pages 205-222
    3. Bernard Bolle-Reddat, Renaud Dumora
      Pages 223-235
    4. David Ingram, Stéphane Loisel
      Pages 237-248
  6. Back Matter
    Pages 249-255

About this book


Focussing on life insurance and pensions, this book addresses various aspects of modelling in modern insurance: insurance liabilities; asset-liability management; securitization, hedging, and investment strategies. With contributions from internationally renowned academics in actuarial science, finance, and management science and key people in major life insurance and reinsurance companies, there is expert coverage of a wide range of topics, for example: models in life insurance and their roles in decision making; an account of the contemporary history of insurance and life insurance mathematics; choice, calibration, and evaluation of models; documentation and quality checks of data; new insurance regulations and accounting rules; cash flow projection models; economic scenario generators; model uncertainty and model risk; model-based decision-making at line management level; models and behaviour of stakeholders.

With author profiles ranging from highly specialized model builders to decision makers at chief executive level, this book should prove a useful resource to students and academics of actuarial science as well as practitioners.


Life insurance models and decision-making Contemporary history of life insurance mathematics Choice, calibration and evaluation of insurance models Insurance regulations and accounting rules Cash flow projection models Economic scenario generators Decision-making at line management level

Editors and affiliations

  • Jean-Paul Laurent
    • 1
  • Ragnar Norberg
    • 2
  • Frédéric Planchet
    • 3
  1. 1.Université Paris 1 Panthéon - Sorbonne ParisFrance
  2. 2.Univ Lyon–Université Lyon 1–ISFA–LSAF Lyon Cedex 7France
  3. 3.Univ Lyon-Université Lyon 1–ISFA–LSAF Lyon Cedex 7France

Bibliographic information

Industry Sectors
Finance, Business & Banking