Skip to main content
SpringerLink
Log in

Market-Consistent Actuarial Valuation

  • Textbook
  • © 2016

Overview

Authors:
  1. Mario V. Wüthrich

    1. RiskLab, Department of Mathematics, ETH Zurich, Zurich, Switzerland

    View author publications

    You can also search for this author in PubMed   Google Scholar

  • Introduces and explains market-consistent actuarial valuation, a key tool for solvency analysis
  • Explores the basis of modern solvency analysis in insurance
  • Examines solvency questions for applied examples in life and non-life insurance
  • Includes updates on regulatory changes under Solvency II
  • Includes supplementary material: sn.pub/extras

Part of the book series: EAA Series (EAAS)

This is a preview of subscription content, log in via an institution to check access.

Access this book

Log in via an institution
eBook USD 39.99
Price excludes VAT (USA)
  • Available as EPUB and PDF
  • Read on any device
  • Instant download
  • Own it forever
Softcover Book USD 49.99
Price excludes VAT (USA)
  • Compact, lightweight edition
  • Dispatched in 3 to 5 business days
  • Free shipping worldwide - see info

Tax calculation will be finalised at checkout

Other ways to access

Licence this eBook for your library

Institutional subscriptions

Table of contents (5 chapters)

  1. Front Matter

    Pages i-xii
    Download chapter PDF

  2. Introduction

    • Mario V. Wüthrich
    Pages 1-7

  3. Stochastic Discounting

    • Mario V. Wüthrich
    Pages 9-43

  4. The Valuation Portfolio in Life Insurance

    • Mario V. Wüthrich
    Pages 45-72

  5. Financial Risks and Solvency

    • Mario V. Wüthrich
    Pages 73-89

  6. The Valuation Portfolio in Non-life Insurance

    • Mario V. Wüthrich
    Pages 91-130

  7. Back Matter

    Pages 131-138
    Download chapter PDF
Back to top

Keywords

About this book

This is the third edition of this well-received textbook, presenting powerful methods for measuring insurance liabilities and assets in a consistent way, with detailed mathematical frameworks that lead to market-consistent values for liabilities.


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. Including updates on recent developments and regulatory changes under Solvency II, this new edition of Market-Consistent Actuarial Valuation also elaborates on different risk measures, providing a revised definition of solvency based on industry practice, and presents an adapted valuation framework which takes a dynamic view of non-life insurance reserving risk.

Reviews





Authors and Affiliations

  • RiskLab, Department of Mathematics, ETH Zurich, Zurich, Switzerland

    Mario V. Wüthrich

About the author

Mario V. Wüthrich is Professor at the Department of Mathematics at ETH Zurich, Honorary Visiting Professor at City University London, Honorary Professor at University College London and Professor of Swiss Finance Institute. He holds a PhD in Mathematics from ETH Zurich. From 2000 to 2005, he held an actuarial position at Winterthur Insurance and was responsible for claims reserving in non-life insurance, as well as developing and implementing the Swiss Solvency Test. He is a fully qualified actuary SAA and serves on the board of the Swiss Association of Actuaries. He is editor of the ASTIN Bulletin and has (co-)authored several books and numerous articles in the fields of actuarial science, quantitative risk management and financial mathematics.

Bibliographic Information

Publish with us

Policies and ethics

Back to top

Search

Navigation