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Market-Consistent Actuarial Valuation

  • Mario V. Wüthrich
  • Hans Bühlmann
  • Hansjörg Furrer

Part of the EAA Series book series (EAAS)

Table of contents

  1. Front Matter
    Pages I-XI
  2. Mario V. Wüthrich, Hans Bühlmann, Hansjörg Furrer
    Pages 1-7
  3. Mario V. Wüthrich, Hans Bühlmann, Hansjörg Furrer
    Pages 9-42
  4. Mario V. Wüthrich, Hans Bühlmann, Hansjörg Furrer
    Pages 43-68
  5. Mario V. Wüthrich, Hans Bühlmann, Hansjörg Furrer
    Pages 69-87
  6. Mario V. Wüthrich, Hans Bühlmann, Hansjörg Furrer
    Pages 89-137
  7. Mario V. Wüthrich, Hans Bühlmann, Hansjörg Furrer
    Pages 139-148
  8. Back Matter
    Pages 149-157

About this book

Introduction

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.

Keywords

Life-insurance Market-consistent actuarial value Non-Life Insurance risk theory valuation

Authors and affiliations

  • Mario V. Wüthrich
    • 1
  • Hans Bühlmann
    • 2
  • Hansjörg Furrer
    • 3
  1. 1.Risklab, Switzerland, Department of MathematicsETH ZurichZurichSwitzerland
  2. 2.Risklab, Switzerland, Department of MathematicsETH ZurichZurichSwitzerland
  3. 3.FINMA, Quantitative Risk ManagementEidgenössische FinanzmarktaufsichtBernSwitzerland

Bibliographic information

  • DOI https://doi.org/10.1007/978-3-642-14852-1
  • Copyright Information Springer-Verlag Berlin Heidelberg 2010
  • Publisher Name Springer, Berlin, Heidelberg
  • eBook Packages Mathematics and Statistics
  • Print ISBN 978-3-642-14851-4
  • Online ISBN 978-3-642-14852-1
  • Series Print ISSN 1869-6929
  • Series Online ISSN 1869-6937
  • Buy this book on publisher's site