【精算科学，计量金融】 Market-Consistent Actuarial Valuation (2016, 3rd Edition)

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Market-Consistent Actuarial Valuation, 3rd Edition

Authors: Mario V. Wüthrich



Introduces and explains market-consistent actuarial valuation, a key tool for solvency analysis

Explores the basis of modern solvency analysis in insurance

Examines solvency questions for applied examples in life and non-life insurance

Includes updates on regulatory changes under Solvency II

This is the third edition of this well-received textbook, presenting powerful methods for measuring insurance liabilities and assets in a consistent way, with detailed mathematical frameworks that lead to market-consistent values for liabilities.

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. Including updates on recent developments and regulatory changes under Solvency II, this new edition of Market-Consistent Actuarial Valuation also elaborates on different risk measures, providing a revised definition of solvency based on industry practice, and presents an adapted valuation framework which takes a dynamic view of non-life insurance reserving risk.

Table of contents

Front Matter
Pages i-xii

Introduction
Pages 1-7

Stochastic Discounting
Pages 9-43

The Valuation Portfolio in Life Insurance
Pages 45-72

Financial Risks and Solvency
Pages 73-89

The Valuation Portfolio in Non-life Insurance
Pages 91-130

Back Matter
Pages 131-138

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