As the title suggests, I'm looking for reference works on Monte Carlo methods in insurance.
Wikipedia tells me that the terminus technicus here is dynamic financial analysis. I'm about to start a carreer in this field and have a strong math background. So I'm trying to catch up on the financial/numerical side of things.
I found the book "Monte Carlo Methods in Financial Engeneering" by Glasserman to strike a nice balance between application and background.
For my purposes, though, it has a few shortcomings: 1) It focuses on derivative pricing more than on risk management/macroeconomic scenario generation etc. 2) The 15 years since publication are a long time in such a fast-evolving technical field, I guess? 3) There is no hint whats-o-ever on how to construct a stochastic representation of the business modell of a life/non-life insurer.
The only DFA reference Glasserman gives is to the paper Kaufmann, Gardmer, Klett, which is from 2001 and is concerned with non-life insurance. Is there a comprehensive reference in this direction, covering life insurance, aswell?