Authors:
- 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)
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Table of contents (5 chapters)
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Front Matter
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Back Matter
About this book
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.
Authors and Affiliations
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RiskLab, Department of Mathematics, ETH Zurich, Zurich, Switzerland
Mario V. Wüthrich
About the author
Bibliographic Information
Book Title: Market-Consistent Actuarial Valuation
Authors: Mario V. Wüthrich
Series Title: EAA Series
DOI: https://doi.org/10.1007/978-3-319-46636-1
Publisher: Springer Cham
eBook Packages: Mathematics and Statistics, Mathematics and Statistics (R0)
Copyright Information: Springer International Publishing AG 2016
Softcover ISBN: 978-3-319-46635-4Published: 01 November 2016
eBook ISBN: 978-3-319-46636-1Published: 22 October 2016
Series ISSN: 1869-6929
Series E-ISSN: 1869-6937
Edition Number: 3
Number of Pages: XII, 138
Number of Illustrations: 1 b/w illustrations, 9 illustrations in colour
Additional Information: Originally published under: Wüthrich, Mario; Bühlmann, Hans; Furrer, Hansjörg
Topics: Actuarial Sciences, Quantitative Finance, Statistics for Business, Management, Economics, Finance, Insurance, Insurance