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Market-Consistent Actuarial Valuation by Mario V. Wuthrich
Market-Consistent Actuarial Valuation by Mario V. Wuthrich
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Market-Consistent Actuarial Valuation

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Market-Consistent Actuarial Valuation

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Description

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.

Author Biography:

Mario V. Wüthrich is Professor at the Department of Mathematics at ETH Zurich, Honorary Visiting Professor at City University London, Honorary Professor at University College London and Professor of Swiss Finance Institute. He holds a PhD in Mathematics from ETH Zurich. From 2000 to 2005, he held an actuarial position at Winterthur Insurance and was responsible for claims reserving in non-life insurance, as well as developing and implementing the Swiss Solvency Test. He is a fully qualified actuary SAA and serves on the board of the Swiss Association of Actuaries. He is editor of the ASTIN Bulletin and has (co-)authored several books and numerous articles in the fields of actuarial science, quantitative risk management and financial mathematics.
Release date NZ
November 1st, 2016
Audience
  • Professional & Vocational
Edition
3rd ed. 2016
Illustrations
9 Illustrations, color; 1 Illustrations, black and white; XII, 138 p. 10 illus., 9 illus. in color.
Pages
138
Dimensions
155x235x8
ISBN-13
9783319466354
Product ID
25774258

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