EAA Series

Market-Consistent Actuarial Valuation

Authors: Wüthrich, Mario V.

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  • 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
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eBook $19.99
$39.99 (listprice)
price for Mexico
valid through 30 de junio de 2021
  • ISBN 978-3-319-46636-1
  • Digitally watermarked, DRM-free
  • Included format: EPUB, PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Softcover $27.99
$49.99 (listprice)
price for Mexico
valid through 30 de junio de 2021
  • ISBN 978-3-319-46635-4
  • Free shipping for individuals worldwide
  • Institutional customers should get in touch with their account manager
  • Covid-19 shipping restrictions & severe weather in the US may cause delays
  • Usually ready to be dispatched within 3 to 5 business days, if in stock
About this Textbook

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.

About the authors

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.

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Table of contents (5 chapters)

Table of contents (5 chapters)
  • Introduction

    Pages 1-7

    Wüthrich, Mario V.

  • Stochastic Discounting

    Pages 9-43

    Wüthrich, Mario V.

  • The Valuation Portfolio in Life Insurance

    Pages 45-72

    Wüthrich, Mario V.

  • Financial Risks and Solvency

    Pages 73-89

    Wüthrich, Mario V.

  • The Valuation Portfolio in Non-life Insurance

    Pages 91-130

    Wüthrich, Mario V.

Buy this book

eBook $19.99
$39.99 (listprice)
price for Mexico
valid through 30 de junio de 2021
  • ISBN 978-3-319-46636-1
  • Digitally watermarked, DRM-free
  • Included format: EPUB, PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Softcover $27.99
$49.99 (listprice)
price for Mexico
valid through 30 de junio de 2021
  • ISBN 978-3-319-46635-4
  • Free shipping for individuals worldwide
  • Institutional customers should get in touch with their account manager
  • Covid-19 shipping restrictions & severe weather in the US may cause delays
  • Usually ready to be dispatched within 3 to 5 business days, if in stock
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Bibliographic Information

Bibliographic Information
Book Title
Market-Consistent Actuarial Valuation
Authors
Series Title
EAA Series
Copyright
2016
Publisher
Springer International Publishing
Copyright Holder
Springer International Publishing AG
eBook ISBN
978-3-319-46636-1
DOI
10.1007/978-3-319-46636-1
Softcover ISBN
978-3-319-46635-4
Series ISSN
1869-6929
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