ENGLISH

Market-Consistent Actuarial Valuation

By Buhlmann H. , Wüthrich M.V. , Furrer H.

Book information

Year
2008
ISBN
978-3-540-73642-4
Open Library ID
OL12810605M
Language
english
Format
PDF
Filesize
1 MB (1208118 bytes)
Pages
120\127
Topic
Economy
Library
Mexmat
Time added
2011-02-23 10:11:24
Финансово-экономические дисциплины;Страхование;Акт

Description

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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