Overview
- Introduces and explains the concept of Valuation Portfolio
- Covers life and non-life insurance as well as financial risk
- Written on the background of Solvency II
- Includes supplementary material: sn.pub/extras
Part of the book series: EAA Series (EAAS)
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About this book
It is a challenging task to read the balance sheet of an insurance company. This derives from the fact that different positions are often measured by different yardsticks. Assets, for example, are mostly valued at market prices whereas liabilities are often measured by established actuarial methods. However, there is a general agreement that the balance sheet of an insurance company should be measured in a consistent way. Market-Consistent Actuarial Valuation presents powerful methods to measure liabilities and assets in a consistent way. The mathematical framework that leads to market-consistent values for insurance liabilities is explained in detail by the authors. Topics covered are stochastic discounting with deflators, valuation portfolio in life and non-life insurance, probability distortions, asset and liability management, financial risks, insurance technical risks, and solvency.
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Keywords
Table of contents (6 chapters)
Reviews
From the reviews of the second edition:
“This book is the second, enlarged edition of the first one published in 2007. It deals with principles and logical structures in market-consistent actuarial valuations. … The book is addressed to researchers and graduate students, as well as professionals in insurance sector; it is characterized by the accurate and rigorous treatment of advanced issues in the insurance field, framed within the current economic and regulatory scenario.” (Emilia Di Lorenzo, Zentralblatt MATH, Vol. 1203, 2011)Authors and Affiliations
About the authors
M.E. Wüthrich is professor at the Department of Mathematics at the ETH Zurich. H. Bühlmann is professor at the Department of Mathematics at the ETH Zurich. Hansjörg Furrer is professor at the Department of Mathematics at the ETH Zurich and member of Swisslife.
Bibliographic Information
Book Title: Market-Consistent Actuarial Valuation
Authors: Mario V. Wüthrich, Hans Bühlmann, Hansjörg Furrer
Series Title: EAA Series
DOI: https://doi.org/10.1007/978-3-642-14852-1
Publisher: Springer Berlin, Heidelberg
eBook Packages: Mathematics and Statistics, Mathematics and Statistics (R0)
Copyright Information: Springer-Verlag Berlin Heidelberg 2010
eBook ISBN: 978-3-642-14852-1Published: 02 September 2010
Series ISSN: 1869-6929
Series E-ISSN: 1869-6937
Edition Number: 2
Number of Pages: XI, 157
Number of Illustrations: 13 b/w illustrations
Topics: Quantitative Finance, Finance, general