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Market-consistent actuarial valuation

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Market-consistent actuarial valuation

Record Type:	Electronic resources : Monograph/item
Title/Author:	Market-consistent actuarial valuationby Mario V. Wuthrich.
Author:	Wuthrich, Mario V.
Published:	Cham :Springer International Publishing :2016.
Description:	xii, 138 p. :ill. (some col.), digital ;24 cm.
Contained By:	Springer eBooks
Subject:	Life insuranceMathematics.
Online resource:	http://dx.doi.org/10.1007/978-3-319-46636-1
ISBN:	9783319466361$q(electronic bk.)

Market-consistent actuarial valuation
Wuthrich, Mario V.

Market-consistent actuarial valuation[electronic resource] /by Mario V. Wuthrich. - 3rd ed. - Cham :Springer International Publishing :2016. - xii, 138 p. :ill. (some col.), digital ;24 cm. - EAA series,1869-6929. - EAA series..

Introduction -- Stochastic discounting -- The valuation portfolio in life insurance -- Financial risks and solvency -- The valuation portfolio in non-life insurance -- References -- Index.

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.

ISBN: 9783319466361$q(electronic bk.)

Standard No.: 10.1007/978-3-319-46636-1doiSubjects--Topical Terms:

492351
Life insurance
--Mathematics.

LC Class. No.: HG8781 / .W87 2016

Dewey Class. No.: 368.320151

Market-consistent actuarial valuation
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