Market-Consistent Actuarial Valuation / Edition 2

Market-Consistent Actuarial Valuation / Edition 2

by Mario Wuethrich, Hans Buhlmann, Hansjorg Furrer
     
 

ISBN-10: 3642148514

ISBN-13: 9783642148514

Pub. Date: 09/05/2010

Publisher: Springer Berlin Heidelberg

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

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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 shastic discounting with deflators, valuation portfolio in life and non-life insurance, probability distortions, asset and liability management, financial risks, insurance technical risks, and solvency.

Product Details

ISBN-13:
9783642148514
Publisher:
Springer Berlin Heidelberg
Publication date:
09/05/2010
Series:
EAA Series
Edition description:
2nd ed. 2010
Pages:
157
Product dimensions:
6.00(w) x 9.00(h) x 0.40(d)

Table of Contents

Shastic discounting.- Valuation portfolio in life insurance.- Financial risks.- Valuation portfolio in non-life insurance.- Selected Topics.

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