Market-Consistent Actuarial Valuation

ISBN-13: 9783319466354 / Angielski / Miękka / 2016 / 138 str.

Mario V. Wuthrich

Opis

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.

O autorze

Mario V. Wüthrich is Professor at the Department of Mathematics at ETH Zurich, Honorary Visiting Professor at City University London, Honorary Professor at University College London and Professor of Swiss Finance Institute. He holds a PhD in Mathematics from ETH Zurich. From 2000 to 2005, he held an actuarial position at Winterthur Insurance and was responsible for claims reserving in non-life insurance, as well as developing and implementing the Swiss Solvency Test. He is a fully qualified actuary SAA and serves on the board of the Swiss Association of Actuaries. He is editor of the ASTIN Bulletin and has (co-)authored several books and numerous articles in the fields of actuarial science, quantitative risk management and financial mathematics.

Blurb

This is the third edition of this well-received textbook, presenting powerful methods for measuring insurance liabilities and assets in a consistent way, with detailed mathematical frameworks that lead to market-consistent values for liabilities.

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. Including updates on recent developments and regulatory changes under Solvency II, this new edition of Market-Consistent Actuarial Valuation also elaborates on different risk measures, providing a revised definition of solvency based on industry practice, and presents an adapted valuation framework which takes a dynamic view of non-life insurance reserving risk.