Wuethrich, Mario, Bühlmann, Hans, Furrer, Hansjörg
2nd ed. 2010, XI, 157p.
Springer eBooks may be purchased by end-customers only and are sold without copy protection (DRM free). Instead, all eBooks include personalized watermarks. This means you can read the Springer eBooks across numerous devices such as Laptops, eReaders, and tablets.
You can pay for Springer eBooks with Visa, Mastercard, American Express or Paypal.
After the purchase you can directly download the eBook file or read it online in our Springer eBook Reader. Furthermore your eBook will be stored in your MySpringer account. So you can always re-download your eBooks.
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
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.
Content Level »Graduate
Keywords »Life-insurance - Market-consistent actuarial value - Non-Life Insurance - risk theory - valuation