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

By:

Wüthrich, Mario V [author.]

Contributor(s):

Material type: Text

TextSeries: EAA SeriesPublisher: Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer, 2008Edition: 1st ed. 2008Description: VIII, 120 p. 13 illus. online resourceContent type:

text

Media type:

computer

Carrier type:

online resource

ISBN:

9783540736431

Subject(s):

Additional physical formats: Printed edition:: No title; Printed edition:: No titleDDC classification:

LOC classification:

HB135-147

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 Nature eBookSummary: 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. Market-Consistent Actuarial Valuation presents powerful methods to measure liabilities and assets in the same 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, Valuation portfolio in life and non-life insurance, Asset and liability management, Financial risks, Insurance technical risks, and Solvency.

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Holdings
Item type	Home library	Collection	Call number	Status	Date due	Barcode	Item holds
E-Book	Biblioteca Digital	Colección SPRINGER	519 (Browse shelf(Opens below))	Not For Loan

Total holds: 0

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Previous	519 Modelling in Life Insurance - A Management Perspective	519 Well-Posed Optimization Problems	519 Stochastic Optimization in Insurance A Dynamic Programming Approach /	519 Market-Consistent Actuarial Valuation	519 Interest Rate Models: an Infinite Dimensional Stochastic Analysis Perspective	519 Applied Intelligent Systems New Directions /	519 Complementarity Problems	Next

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. Market-Consistent Actuarial Valuation presents powerful methods to measure liabilities and assets in the same 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, Valuation portfolio in life and non-life insurance, Asset and liability management, Financial risks, Insurance technical risks, and Solvency.

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