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Market-Consistent Actuarial Valuation [electronic resource] / by Mario V. Wȭthrich, Hans Bȭhlmann, Hansjȵrg Furrer.

Por: Wȭthrich, Mario V [author.]Colaborador(es): Bȭhlmann, Hans [author.] | Furrer, Hansjȵrg [author.]Tipo de material: TextoTextoSeries EAA SeriesEditor: Berlin, Heidelberg : Springer Berlin Heidelberg, 2010Descripción: XI, 157p. online resourceTipo de contenido: text Tipo de medio: computer Tipo de portador: online resourceISBN: 9783642148521Trabajos contenidos: SpringerLink (Online service)Tema(s): Mathematics | Finance | Banks and banking | Mathematics | Quantitative Finance | Finance /BankingFormatos físicos adicionales: Sin títuloClasificación CDD: 519 Clasificación LoC:HB135-147Recursos en línea: de clik aquí para ver el libro electrónico
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Springer eBooksResumen: 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.
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Stochastic discounting -- Valuation portfolio in life insurance -- Financial risks -- Valuation portfolio in non-life insurance -- Selected Topics.

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.

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