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Mathematics - Quantitative Finance | Market-Consistent Actuarial Valuation

Market-Consistent Actuarial Valuation

Series: EAA Series

Wuethrich, Mario, Bühlmann, Hans, Furrer, Hansjörg

2nd ed. 2010, XI, 157p.

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  • 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

Related subjects » Finance & Banking - Quantitative Finance

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