Market-Consistent Actuarial Valuation
3rd Edition
Published on 1. November 2016
Book
Paperback/Softback
XII, 138 pages
978-3-319-46635-4 (ISBN)
Description
This is the third edition of this well-received textbook, presenting powerful methods for measuring insurance liabilities and assets in a consistent way, with detailed mathematical frameworks that lead to market-consistent values for liabilities.
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. Including updates on recent developments and regulatory changes under Solvency II, this new edition of Market-Consistent Actuarial Valuation also elaborates on different risk measures, providing a revised definition of solvency based on industry practice, and presents an adapted valuation framework which takes a dynamic view of non-life insurance reserving risk.
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. Including updates on recent developments and regulatory changes under Solvency II, this new edition of Market-Consistent Actuarial Valuation also elaborates on different risk measures, providing a revised definition of solvency based on industry practice, and presents an adapted valuation framework which takes a dynamic view of non-life insurance reserving risk.
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Series
Edition
3rd ed. 2016
Language
English
Place of publication
Cham
Switzerland
Publishing group
Springer International Publishing
Target group
Primary & secondary/elementary & high school
Edition type
Revised edition
Illustrations
1 s/w Abbildung, 9 farbige Abbildungen
XII, 138 p. 10 illus., 9 illus. in color.
Dimensions
Height: 235 mm
Width: 155 mm
Thickness: 9 mm
Weight
270 gr
ISBN-13
978-3-319-46635-4 (9783319466354)
DOI
10.1007/978-3-319-46636-1
Schweitzer Classification
Other editions
Additional editions
Mario V. Wüthrich
Market-Consistent Actuarial Valuation
E-Book
10/2016
3rd Edition
Springer
€48.14
Available for download
Previous edition
Mario V. Wüthrich | Hans Bühlmann | Hansjörg Furrer
Market-Consistent Actuarial Valuation
Book
09/2010
2nd Edition
Springer
€28.84
Article exhausted; check for reprint
Person
Mario V. Wüthrich is Professor at the Department of Mathematics at ETH Zurich, Honorary Visiting Professor at City University London, Honorary Professor at University College London and Professor of Swiss Finance Institute. He holds a PhD in Mathematics from ETH Zurich. From 2000 to 2005, he held an actuarial position at Winterthur Insurance and was responsible for claims reserving in non-life insurance, as well as developing and implementing the Swiss Solvency Test. He is a fully qualified actuary SAA and serves on the board of the Swiss Association of Actuaries. He is editor of the ASTIN Bulletin and has (co-)authored several books and numerous articles in the fields of actuarial science, quantitative risk management and financial mathematics.
Content
Introduction.- Stochastic discounting.- The valuation portfolio in life insurance.- Financial risks and solvency.- The valuation portfolio in non-life insurance.- References.- Index.