Market-Consistent Actuarial Valuation
2nd Edition
Published on 2. September 2010
XI, 157 pages
978-3-642-14852-1 (ISBN)
Description
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.
Reviews / Votes
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)More details
Series
Edition
2nd ed. 2010
Language
English
Place of publication
Berlin
Germany
Publishing group
Springer Berlin
Target group
Primary & secondary/elementary & high school
Illustrations
XI, 157 p. 13 illus.
File size
2,62 MB
ISBN-13
978-3-642-14852-1 (9783642148521)
DOI
10.1007/978-3-642-14852-1
Schweitzer Classification
Other editions
Additional editions
Mario V. Wüthrich | Hans Bühlmann | Hansjörg Furrer
Market-Consistent Actuarial Valuation
Book
09/2010
2nd Edition
Springer
€28.84
Article exhausted; check for reprint
Previous edition
Mario V. Wüthrich | Hans Bühlmann | Hansjörg Furrer
Market-Consistent Actuarial Valuation
E-Book
09/2007
1st Edition
Springer
€24.99
Available for download
Persons
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.
Content
Stochastic discounting.- Valuation portfolio in life insurance.- Financial risks.- Valuation portfolio in non-life insurance.- Selected Topics.
