Items related to Market-Consistent Actuarial Valuation (EAA Series)
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.
Market-Consistent Actuarial Valuation presents powerful methods to measure liabilities and assets in the same 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, Valuation portfolio in life and non-life insurance, Asset and liability management, Financial risks, Insurance technical risks, and Solvency.
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From the Back Cover:
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 Author:
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.
"About this title" may belong to another edition of this title.
- PublisherSpringer
- Publication date2007
- ISBN 10 3540736425
- ISBN 13 9783540736424
- BindingPaperback
- Edition number1
- Number of pages120
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Market-Consistent Actuarial Valuation
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(2008)
ISBN 10: 3540736425
ISBN 13: 9783540736424
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