Market-Consistent Actuarial Valuation / EAA Series (PDF)
(Sprache: Englisch)
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...
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...
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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. However, there is a general agreement
that the balance sheet of an insurance company should be measured in a
consistent way. Market-Consistent Actuarial Valuation presents
powerful methods to measure liabilities and assets in a consistent
way. The mathematical framework that leads to market-consistent values
for insurance liabilities is explained in detail by the authors.
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.
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. However, there is a general agreement
that the balance sheet of an insurance company should be measured in a
consistent way. Market-Consistent Actuarial Valuation presents
powerful methods to measure liabilities and assets in a consistent
way. The mathematical framework that leads to market-consistent values
for insurance liabilities is explained in detail by the authors.
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.
Autoren-Porträt von Mario V. Wüthrich, Hans Bühlmann, Hansjörg Furrer
M.E. Wüthrich is professor at the Department of Mathematics at the ETH Zurich. H. Bühlmann is professor at the Department of Mathematics at the ETH Zurich. Hansjörg Furrer is professor at the Department of Mathematics at the ETH Zurich and member of Swisslife.
Bibliographische Angaben
- Autoren: Mario V. Wüthrich , Hans Bühlmann , Hansjörg Furrer
- 2010, 2nd ed. 2010, 157 Seiten, Englisch
- Verlag: Springer-Verlag GmbH
- ISBN-10: 3642148522
- ISBN-13: 9783642148521
- Erscheinungsdatum: 02.09.2010
Abhängig von Bildschirmgröße und eingestellter Schriftgröße kann die Seitenzahl auf Ihrem Lesegerät variieren.
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- Dateiformat: PDF
- Größe: 2.50 MB
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Sprache:
Englisch
Pressezitat
From the reviews of the second edition:“This book is the second, enlarged edition of the first one published in 2007. It deals with principles and logical structures in market-consistent actuarial valuations. … The book is addressed to researchers and graduate students, as well as professionals in insurance sector; it is characterized by the accurate and rigorous treatment of advanced issues in the insurance field, framed within the current economic and regulatory scenario.” (Emilia Di Lorenzo, Zentralblatt MATH, Vol. 1203, 2011)
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