About this book
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
- DOI https://doi.org/10.1007/978-3-319-46636-1
- Copyright Information Springer International Publishing AG 2016
- Publisher Name Springer, Cham
- eBook Packages Mathematics and Statistics Mathematics and Statistics (R0)
- Print ISBN 978-3-319-46635-4
- Online ISBN 978-3-319-46636-1
- Series Print ISSN 1869-6929
- Series Online ISSN 1869-6937
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