Market-Consistent Actuarial Valuation / Edition 2

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More About This Textbook

Overview

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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Product Details

  • ISBN-13: 9783642148514
  • Publisher: Springer-Verlag New York, LLC
  • Publication date: 9/5/2010
  • Series: EAA Series
  • Edition description: 2nd ed. 2010
  • Edition number: 2
  • Pages: 168
  • Product dimensions: 6.00 (w) x 9.00 (h) x 0.40 (d)

Meet the Author

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.
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Table of Contents

Introduction.- Stochastic discounting.- Valuation portfolio in life insurance.- Financial risks.- Valuation portfolio in non-life insurance.- Selected topics.- References.- Index.
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