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

By: Contributor(s): Resource type: Ressourcentyp: Buch (Online)Book (Online)Language: English Series: EAA Series | SpringerLink BücherPublisher: Berlin, Heidelberg : Springer Berlin Heidelberg, 2010Description: Online-Ressource (XI, 157p, digital)ISBN:
  • 9783642148521
Subject(s): Additional physical formats: 9783642148514 | Buchausg. u.d.T.: Market-consistent actuarial valuation. 2., revised and enlarged ed. Berlin : Springer, 2010. XI, 157 S.DDC classification:
  • 368.01
  • 519
MSC: MSC: *91-02 | 91B30 | 91G10 | 91G80RVK: RVK: SK 980LOC classification:
  • HB135-147
DOI: DOI: 10.1007/978-3-642-14852-1Online resources: 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. 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.PPN: PPN: 1650244193Package identifier: Produktsigel: ZDB-2-SEB | ZDB-2-SMA | ZDB-2-SXMS
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