by Wüthrich/Bühlmann/Furrer

It is a challenging task to read the balance sheet of an insurance company. This derives from the fact that different positions are often measured by different yardsticks. Assets, for example, are mostly valued at market prices whereas liabilities are often measured by established actuarial methods.

Market-Consistent Actuarial Valuation presents powerful methods to measure liabilities and assets in the same way. It explains the mathematical framework that leads to market-consistent values for insurance liabilities. Topics covered in this volume include stochastic discounting, valuation portfolio in life and non-life insurance, asset and liability management, financial risks, insurance technical risks, and solvency.

This book is highly recommended for graduate students and scientists in insurance and quantitative finance.

Due to the great demand, this book was published in an updated second edition! Please find further information as well as the possibility to order this book here.