Market-Consistent Actuarial ValuationIt 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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Page vii
... given twice at ETH Zürich, namely in 2004/05 by HB and HJF and in 2006 by MW and HJF. MW has greatly improved on the first version of these notes. But obviously also this version is not to be considered as final. For this reason we are ...
... given twice at ETH Zürich, namely in 2004/05 by HB and HJF and in 2006 by MW and HJF. MW has greatly improved on the first version of these notes. But obviously also this version is not to be considered as final. For this reason we are ...
Page 1
... given an insolvency of an insurance company occurs, the regulator has to ensure that all liabilities are covered with assets and can be fulfilled in an appropriate way (this is not the shareholder's point of view). One special project ...
... given an insolvency of an insurance company occurs, the regulator has to ensure that all liabilities are covered with assets and can be fulfilled in an appropriate way (this is not the shareholder's point of view). One special project ...
Page 3
... given the amount of risk TC a company is exposed to, the regulators require that this risk is bounded by the available surplus RBC. That is, RBC defines the risk capacity of a company, which has to. Fig. 1.1. Balance sheet of an ...
... given the amount of risk TC a company is exposed to, the regulators require that this risk is bounded by the available surplus RBC. That is, RBC defines the risk capacity of a company, which has to. Fig. 1.1. Balance sheet of an ...
Page 4
... given by Target Capital TC = 4% of the mathematical reserves (financial risk) +3 of capital at risk (technical risk). (1.3) These solvency regulations are very simple and robust, easy to understand and to use. They are rule-based but ...
... given by Target Capital TC = 4% of the mathematical reserves (financial risk) +3 of capital at risk (technical risk). (1.3) These solvency regulations are very simple and robust, easy to understand and to use. They are rule-based but ...
Page 12
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Contents
1 | |
9 | |
Valuation portfolio in life insurance | 43 |
Financial risks | 69 |
Valuation portfolio in nonlife insurance | 88 |
Selected Topics | 139 |
References | 149 |
Index | 154 |
Other editions - View all
Market-Consistent Actuarial Valuation Mario Wuethrich,Hans Bühlmann,Hansjörg Furrer No preview available - 2010 |
Market-Consistent Actuarial Valuation Mario Wuethrich,Hans Bühlmann,Hansjörg Furrer No preview available - 2010 |
Common terms and phrases
accident accounting accounting principle actuarial approach appropriate asset assume Assumption benefit calculate called capital cash flow chain-ladder Chapter choice choose claims conditional consider construct contract define definition deflator denotes depend describes determine deterministic deviation discount economic equivalent error estimated example Exercise expected fact factors financial instruments financial risks function given gives Hence Henceforth implies independent insurance company insurance technical risks interest Lemma liabilities linear loading loss Margrabe option market-consistent martingale mathematical means measure monetary value Moreover non-life insurance Note Observe obtain parameter payments period positive prediction premium price processes probability problem Proof protected against insurance pure random Remark replicating reserves single solvency space step stochastic Table term ULAE units usually valuation portfolio VaPo variables Wüthrich zero coupon bond