Market-consistent actuarial valuation
著者
書誌事項
Market-consistent actuarial valuation
（EAA lecture notes / editors H. Bühlmann ...[et. al.]）
Springer Verlag, c2008
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注記
Includes bibliographical references and index
内容説明・目次
内容説明
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. The mathematical framework that leads to market-consistent values for insurance liabilities is explained in detail by the authors. Topics covered are Stochastic discounting, Valuation portfolio in life and non-life insurance, Asset and liability management, Financial risks, Insurance technical risks and Solvency.
目次
Introduction.- Stochastic discounting.- Valuation portfolio in life insurance.- Financial risks.- Valuation portfolio in non-life insurance.- Selected topics.
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