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Market-Consistent Actuarial Valuation [electronic resource] / by Mario V. Wüthrich, Hans Bühlmann, Hansjörg Furrer.

By: Wüthrich, Mario V [author.].
Contributor(s): Bühlmann, Hans [author.] | Furrer, Hansjörg [author.] | SpringerLink (Online service).
Material type: materialTypeLabelBookSeries: EAA Series: Publisher: Berlin, Heidelberg : Springer Berlin Heidelberg, 2010Description: XI, 157p. online resource.Content type: text Media type: computer Carrier type: online resourceISBN: 9783642148521.Subject(s): Mathematics | Finance | Banks and banking | Mathematics | Quantitative Finance | Finance /BankingDDC classification: 519 Online resources: Click here to access online
Contents:
Stochastic discounting -- Valuation portfolio in life insurance -- Financial risks -- Valuation portfolio in non-life insurance -- Selected Topics.
In: Springer eBooksSummary: 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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Stochastic discounting -- Valuation portfolio in life insurance -- Financial risks -- Valuation portfolio in non-life insurance -- Selected Topics.

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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