Market-Consistent Actuarial Valuation

1. Front Matter

   Pages i-xii

   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

   PDF

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.

• Market-consistent actuarial valuation
• valuation portfolio
• solvency
• stochastic discounting
• best-estimate reserves
• risk-adjusted reserves
• replicating portfolio
• probability distortion
• quantitative finance
• insurance

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

  Mario V. Wüthrich

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.

Policies and ethics