Market-Consistent Actuarial Valuation

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401-4920-00L Market-Consistent Actuarial Valuation

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.


  • Proceedings;
  • An Introduction to Infinite-Dimensional Linear Systems Theory.
  • Publisher Description!
  • Market-Consistent Actuarial Valuation;
  • Market-Consistent Actuarial Valuation : Mario V. Wuthrich : !

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.

Stochastic discounting. Valuation portfolio in life insurance.


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