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Market-Consistent Actuarial Valuation / by Mario Valentin Wüthrich, Hans Bühlmann, Hansjörg Furrer

Contributor(s): Resource type: Ressourcentyp: Buch (Online)Book (Online)Language: English Series: EAA Lecture Notes | SpringerLink BücherPublisher: Berlin, Heidelberg : Springer-Verlag Berlin Heidelberg, 2008Description: Online-Ressource (digital)ISBN:
  • 9783540736431
Subject(s): Additional physical formats: 9783540736424 | Buchausg. u.d.T.: Market-consistent actuarial valuation. Berlin : Springer, 2008. VIII, 120 S.DDC classification:
  • 368.320151
  • 519
  • 650
  • 360
MSC: MSC: *91-02 | 91B30 | 62P05 | 91G10RVK: RVK: SK 980LOC classification:
  • HB135-147
  • HG8844
DOI: DOI: 10.1007/978-3-540-73643-1Online resources:
Contents:
""Preface""; ""Contents""; ""1 Introduction""; ""1.1 Three pillar approach""; ""1.2 Solvency""; ""1.3 From the past to the future""; ""1.4 Full balance sheet approach""; ""1.5 Recent financial failures and difficulties""; ""2 Stochastic discounting""; ""2.1 Basic discrete time model""; ""2.2 Market-consistent valuation in the basic discrete time model""; ""2.3 Valuation at time t > 0""; ""2.4 The meaning of basic reserves""; ""2.5 Equivalent martingale measures""; ""2.6 Technical and financial variables""; ""2.7 Conclusions on Chapter 2""; ""3 Valuation portfolio in life insurance""
""3.1 Deterministic life insurance model""""3.2 Valuation portfolio for deterministic life model""; ""3.3 General valuation procedure for deterministic technical risks""; ""3.4 Self-financing property of the VaPo (deterministic technical risk)""; ""3.5 VaPo protected against technical risks""; ""3.6 Back to the basic model""; ""3.7 Conclusion on Chapter 3""; ""3.8 Examples""; ""4 Financial risks""; ""4.1 Asset liability management""; ""4.2 Procedure to control financial risks""; ""4.3 Financial modeling""; ""4.4 Pricing Margrabe options""; ""5 Valuation portfolio in non-life insurance""
""5.1 Introduction""""5.2 Construction of the VaPo""; ""5.3 VaPo protected against technical risks, pragmatic approach""; ""5.4 VaPo protected against technical risks, theoretical considerations""; ""5.5 Loss development triangles""; ""5.6 Unallocated loss adjustment expenses""; ""5.7 Conclusion on the non-life VaPo""; ""6 Selected Topics""; ""6.1 Sources of losses and profits, profit sharing""; ""6.2 Remarks on the self-financing property""; ""6.3 Legal quote in life insurance""; ""References""; ""Index""
Summary: Stochastic discounting -- Valuation portfolio in life insurance -- Financial risks -- Valuation portfolio in non-life insurance -- Selected Topics.Summary: 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.PPN: PPN: 1645973425Package identifier: Produktsigel: ZDB-2-SEB | ZDB-2-SXMS | ZDB-2-SMA
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