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Market-consistent actuarial valuation

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 deflat...

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Detalles Bibliográficos
Autor principal: Wüthrich, Mario V
Lenguaje:eng
Publicado: Springer 2016
Materias:
Acceso en línea:https://dx.doi.org/10.1007/978-3-319-46636-1
http://cds.cern.ch/record/2229641
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author Wüthrich, Mario V
author_facet Wüthrich, Mario V
author_sort Wüthrich, Mario V
collection CERN
description 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.
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spelling cern-22296412021-04-21T19:28:27Zdoi:10.1007/978-3-319-46636-1http://cds.cern.ch/record/2229641engWüthrich, Mario VMarket-consistent actuarial valuationMathematical Physics and MathematicsThis 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.Springeroai:cds.cern.ch:22296412016
spellingShingle Mathematical Physics and Mathematics
Wüthrich, Mario V
Market-consistent actuarial valuation
title Market-consistent actuarial valuation
title_full Market-consistent actuarial valuation
title_fullStr Market-consistent actuarial valuation
title_full_unstemmed Market-consistent actuarial valuation
title_short Market-consistent actuarial valuation
title_sort market-consistent actuarial valuation
topic Mathematical Physics and Mathematics
url https://dx.doi.org/10.1007/978-3-319-46636-1
http://cds.cern.ch/record/2229641
work_keys_str_mv AT wuthrichmariov marketconsistentactuarialvaluation