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Market-Consistent Actuarial Valuation [electronic resource] / by Mario Valentin Wüthrich, Hans Bühlmann, Hansjörg Furrer.

By: Contributor(s): Material type: TextTextSeries: EAA SeriesPublisher: Berlin, Heidelberg : Springer Berlin Heidelberg, 2008Description: VIII, 120 p. 13 illus. online resourceContent type:
  • text
Media type:
  • computer
Carrier type:
  • online resource
ISBN:
  • 9783540736431
Subject(s): Additional physical formats: Printed edition:: No title; Printed edition:: No titleDDC classification:
  • 519 23
LOC classification:
  • HB135-147
Online resources:
Contents:
Stochastic discounting -- Valuation portfolio in life insurance -- Financial risks -- Valuation portfolio in non-life insurance -- Selected Topics.
In: Springer eBooksSummary: 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.
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Holdings
Item type Current library Call number Status Date due Barcode Item holds
E-BOOKS ISI Library, Kolkata Not for loan EB1439
Total holds: 0

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. 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.

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