Overview
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.
Full Product Details
Author: Mario Wuethrich ,
Hans Buhlmann ,
Hansjorg Furrer
Publisher: Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
Imprint: Springer-Verlag Berlin and Heidelberg GmbH & Co. K
Edition: 2nd ed. 2010
Dimensions:
Width: 15.60cm
, Height: 0.90cm
, Length: 23.40cm
Weight: 0.251kg
ISBN: 9783642148514
ISBN 10: 3642148514
Pages: 168
Publication Date: 05 September 2010
Audience:
Professional and scholarly
,
Professional & Vocational
Replaced By: 9783319466354
Format: Paperback
Publisher's Status: Active
Availability: In Print
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Reviews
From the reviews of the second edition: This book is the second, enlarged edition of the first one published in 2007. It deals with principles and logical structures in market-consistent actuarial valuations. ... The book is addressed to researchers and graduate students, as well as professionals in insurance sector; it is characterized by the accurate and rigorous treatment of advanced issues in the insurance field, framed within the current economic and regulatory scenario. (Emilia Di Lorenzo, Zentralblatt MATH, Vol. 1203, 2011)
From the reviews of the second edition: ""This book is the second, enlarged edition of the first one published in 2007. It deals with principles and logical structures in market-consistent actuarial valuations. ... The book is addressed to researchers and graduate students, as well as professionals in insurance sector; it is characterized by the accurate and rigorous treatment of advanced issues in the insurance field, framed within the current economic and regulatory scenario."" (Emilia Di Lorenzo, Zentralblatt MATH, Vol. 1203, 2011)
Author Information
M.E. Wuthrich is professor at the Department of Mathematics at the ETH Zurich. H. Buhlmann is professor at the Department of Mathematics at the ETH Zurich. Hansjorg Furrer is professor at the Department of Mathematics at the ETH Zurich and member of Swisslife.
