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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.

Springer Professional. Back to the search result list. Table of Contents Frontmatter Chapter 1.

Market-Consistent Actuarial Valuation - Wüthrich ...

Introduction Abstract. Recent years have shown that financial companies need to have a good executive board, a good business strategy, a good financial strength and a sound risk management practice in order to survive financial distress periods. In this chapter we define a mathematically consistent model for calculating time values of cash flows.

In this chapter we define the valuation portfolio VaPo for a life insurance liability cash flow. Content In this lecture we give a full balance sheet approach to the task of actuarial valuation of an insurance company.

Market-Consistent Actuarial Valuation: Mario V. Wüthrich

Therefore we introduce a multidimensional valuation portfolio VaPo on the liability side of the balance sheet. The basis of this multidimensional VaPo is a set of financial instruments. This approach makes the liability side of the balance sheet directly comparable to its asset side. The lecture is based on four sections: 1 Stochastic discounting 2 Construction of a multidimensional Valuation Portfolio for life insurance products with guarantees 3 Construction of a multidimensional Valuation Portfolio for a run-off portfolio of a non-life insurance company 4 Measuring financial risks in a full balance sheet approach ALM risks Literature Market-Consistent Actuarial Valuation, 2nd edition.

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Risk margin for a non-life insurance run-off. Springer Finance For the latter, see details under www. Knowledge in probability theory, stochastic processes and statistics is assumed.