Market-Consistent Actuarial Valuation (EAA Series)

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9783642148514: Market-Consistent Actuarial Valuation (EAA Series)
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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.

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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.

Review:

From the reviews of the second edition:

“This book is the second, enlarged edition of the first one published in 2007. It deals with principles and logical structures in market-consistent actuarial valuations. ... The book is addressed to researchers and graduate students, as well as professionals in insurance sector; it is characterized by the accurate and rigorous treatment of advanced issues in the insurance field, framed within the current economic and regulatory scenario.” (Emilia Di Lorenzo, Zentralblatt MATH, Vol. 1203, 2011)

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Other Popular Editions of the Same Title

9783540736424: Market-Consistent Actuarial Valuation (EAA Series)

Featured Edition

ISBN 10:  3540736425 ISBN 13:  9783540736424
Publisher: Springer, 2007
Softcover

9783642148538: Market-Consistent Actuarial Valuation

Springer, 2010
Softcover

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Wüthrich, Mario V., Bühlmann, Hans, Furr
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Mario V. Wüthrich; Hans Bühlmann; Hansjörg Furrer
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