Market-Consistent Actuarial Valuation

  • Mario V. Wüthrich

Part of the EAA Series book series (EAAS)

Table of contents

  1. Front Matter
    Pages i-xii
  2. Mario V. Wüthrich
    Pages 1-7
  3. Mario V. Wüthrich
    Pages 9-43
  4. Mario V. Wüthrich
    Pages 45-72
  5. Mario V. Wüthrich
    Pages 73-89
  6. Mario V. Wüthrich
    Pages 91-130
  7. Back Matter
    Pages 131-138

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

Authors and affiliations

  • Mario V. Wüthrich
    • 1
  1. 1.RiskLab, Department of MathematicsETH ZurichZurichSwitzerland

Bibliographic information