Market-Consistent Actuarial Valuation

This book introduces and explains the concept of Valuation Portfolio. It covers life and non-life insurance as well as financial risk.

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 Includes supplementary material: sn.pub/extras

Auteur
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.

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