Phase-type (PH) distributions are defined as distributions of lifetimes of finite continuous-time Markov processes. Their traditional applications are in queueing, insurance risk, and reliability, but more recently, also in finance and, though to a lesser extent, to life and health insurance....

This concise introduction to life contingencies, the theory behind the actuarial work around life insurance and pension funds, will appeal to the reader who likes applied mathematics. In addition to model of life contingencies, the theory of compound interest is explained and it is shown how...