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.

Table of Contents

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

A Probability and statistics

B Numerical techniques

C Monte Carlo simulation

D Tables

About the Authors

David C. M. Dickson holds a PhD in Actuarial Science from Heriot-Watt University and is a Fellow of the Institute and Faculty of Actuaries and the Institute of Actuaries of Australia. David lectured for seven years at Heriot- Watt University before moving to the University of Melbourne in 1993. In 2000 David 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 HM Jackson Prize of the Institute of Actuaries of Australia, most recently for his book Insurance Risk and Ruin.

Mary R. Hardy is Professor of Actuarial Science at the University ofWaterloo. She earned her PhD in Actuarial Science from Heriot-Watt University, where she lectured for 11 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 is Professor Emeritus at the Department of Actuarial Mathematics and Statistics at Heriot-Watt University. He holds a DPhil in mathematics from Oxford University, 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.