Market-Consistent Actuarial Valuation (Google eBook)

Front Cover
Springer Science & Business Media, Sep 2, 2010 - Actuarial science - 168 pages
0 Reviews
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.
  

What people are saying - Write a review

We haven't found any reviews in the usual places.

Contents

Introduction
1
Stochastic discounting
9
Valuation portfolio in life insurance
43
Financial risks
69
Valuation portfolio in nonlife insurance
88
Selected Topics
139
References
149
Index
154
Copyright

Common terms and phrases

Bibliographic information