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EAA Series

Market-Consistent Actuarial Valuation

Authors: Wüthrich, Mario V., Bühlmann, Hans, Furrer, Hansjörg

  • 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
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eBook $24.99
price for USA (gross)
  • ISBN 978-3-642-14852-1
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
About this Textbook

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.

About the authors

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.

Reviews

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)

Table of contents (6 chapters)

  • Introduction

    Wüthrich, Mario V. (et al.)

    Pages 1-7

  • Stochastic discounting

    Wüthrich, Mario V. (et al.)

    Pages 9-42

  • Valuation portfolio in life insurance

    Wüthrich, Mario V. (et al.)

    Pages 43-68

  • Financial risks

    Wüthrich, Mario V. (et al.)

    Pages 69-87

  • Valuation portfolio in non-life insurance

    Wüthrich, Mario V. (et al.)

    Pages 89-137

Buy this book

eBook $24.99
price for USA (gross)
  • ISBN 978-3-642-14852-1
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
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Bibliographic Information

Bibliographic Information
Book Title
Market-Consistent Actuarial Valuation
Authors
Series Title
EAA Series
Copyright
2010
Publisher
Springer-Verlag Berlin Heidelberg
Copyright Holder
Springer-Verlag Berlin Heidelberg
eBook ISBN
978-3-642-14852-1
DOI
10.1007/978-3-642-14852-1
Series ISSN
1869-6929
Edition Number
2
Number of Pages
XI, 157
Number of Illustrations and Tables
13 b/w illustrations
Topics