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  • © 2008

Market-Consistent Actuarial Valuation

  • First title on a very hot topic in insurance
  • First title of the new EAA Lecture Notes series
  • Includes supplementary material: sn.pub/extras

Part of the book series: EAA Series (EAAS)

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Table of contents (6 chapters)

  1. Front Matter

    Pages I-VIII
  2. Introduction

    Pages 1-6
  3. Financial risks

    Pages 47-62
  4. Selected Topics

    Pages 107-114
  5. Back Matter

    Pages 115-120

About this book

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.

Market-Consistent Actuarial Valuation presents powerful methods to measure liabilities and assets in the same 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, Valuation portfolio in life and non-life insurance, Asset and liability management, Financial risks, Insurance technical risks, and Solvency.

Authors and Affiliations

  • Department of Mathematics ETH Zürich, Zürich, Switzerland

    Mario Valentin Wüthrich, Hans Bühlmann

  • Swiss Life, Zürich, Switzerland

    Hansjörg Furrer

Bibliographic Information

  • Book Title: Market-Consistent Actuarial Valuation

  • Authors: Mario Valentin Wüthrich, Hans Bühlmann, Hansjörg Furrer

  • Series Title: EAA Series

  • DOI: https://doi.org/10.1007/978-3-540-73643-1

  • Publisher: Springer Berlin, Heidelberg

  • eBook Packages: Mathematics and Statistics, Mathematics and Statistics (R0)

  • Copyright Information: Springer-Verlag Berlin Heidelberg 2008

  • eBook ISBN: 978-3-540-73643-1Published: 26 September 2007

  • Series ISSN: 1869-6929

  • Series E-ISSN: 1869-6937

  • Edition Number: 1

  • Number of Pages: VIII, 120

  • Number of Illustrations: 13 b/w illustrations

  • Topics: Quantitative Finance, Finance, general

Buy it now

Buying options

eBook USD 24.99
Price excludes VAT (USA)
  • Available as PDF
  • Read on any device
  • Instant download
  • Own it forever

Tax calculation will be finalised at checkout

Other ways to access