Market-Consistent Actuarial Valuation by Mario V. Wüthrich

By Mario V. Wüthrich

It is a difficult activity to learn the stability sheet of an coverage corporation. This derives from the truth that assorted positions are usually measured by means of diversified yardsticks. resources, for instance, are usually worth industry costs while liabilities are usually measured via confirmed actuarial equipment. despite the fact that, there's a basic contract that the stability sheet of an assurance corporation might be measured in a constant method. Market-Consistent Actuarial Valuation provides robust how to degree liabilities and resources in a constant means. The mathematical framework that results in market-consistent values for assurance liabilities is defined intimately via the authors. themes coated are stochastic discounting with deflators, valuation portfolio in existence and non-life assurance, chance distortions, asset and legal responsibility administration, monetary hazards, assurance technical dangers, and solvency.

Show description

Read or Download Market-Consistent Actuarial Valuation PDF

Similar insurance books

Life Insurance Risk Management Essentials

The purpose of the e-book is to supply an outline of chance administration in existence insurance firms. the point of interest is twofold: (1) to supply a huge view of different issues wanted for danger administration and (2) to supply the mandatory instruments and strategies to concretely observe them in perform. a lot emphasis has been placed into the presentation of the publication in order that it offers the speculation in an easy yet sound demeanour.

Versicherungsmathematik

(Zu Versicherungsmathematik eleven. ) In diesem "höheren" Band der Versicherungsmathematik haben wir uns durch geeignete Stoffauswahl vor allem das Ziel gesteckt, die Ver­ sicherungsmathematiker davon zu überzeugen, daß wichtige technische Probleme der Versicherungspraxis nur durch Verwendung der \Vahr­ scheinlichkeitstheorie und Resultate aus der mathematischen Statistik gelöst werden können.

Financial Risk and Derivatives: A Special Issue of the Geneva Papers on Risk and Insurance Theory

Monetary probability and Derivatives presents a superb representation of the hyperlinks that experience built lately among the idea of finance on one hand and assurance economics and actuarial technological know-how at the different. Advances in contingent claims research and advancements within the educational and sensible literature facing the administration of economic dangers mirror the shut relationships among assurance and suggestions in finance.

Additional info for Market-Consistent Actuarial Valuation

Sample text

6 Insurance technical and financial variables 41 with so-called credibility weights βt = 1−c (1 − c) + c P [Λk >VaR1−α (Λk )|Tt ] α . 125) We define the probability αt = P [Λk > VaR1−α (Λk )| Tt ] . 128) where VaR1−αt (Λk |Tt ) denotes the Value-at-Risk of Λk |Tt at level 1 − αt . 129) and for the price of the insurance technical variable we obtain Λt,k = βt E [ Λk | Tt ] + (1 − βt )E [ Λk | Λk > VaR1−αt (Λk |Tt ), Tt ] . 130) The last term is called expected shortfall of Λk |Tt at level 1−αt , see McNeil et al.

We assume that the initial sum insured (death benefit) is CHF 1, the age at policy inception is x = 50 and the contract term is n = 5. Moreover, we assume that: • The annual premium Πt = Π, t = 50, . . , 54, is due in non-indexed CHF at the beginning of each year. • The benefits are indexed by a well-defined index It , t = 50, 51, . . , 55, with initial value I50 = 1. – Death benefit is the indexed maximum of It and (1 + i)t−50 for some fixed minimal guaranteed interest rate i. e. no minimal guarantee in the case of survival.

N, and Λk = Xk (k) , k = 0, . . 93) Uk gives the number of units that we need to hold (insurance technical variable). This means that we measure insurance liabilities in units Uk which (k) have price/value Uk at time k and insurance technical variable Λk . We denote the price processes of the financial instruments Uk by (k) (k) (k) (k) U0 , U1 , . . , Uk , Uk+1 , . . , Un(k) . 13), that is, every payment Xk is studied with its appropriate numeraire. Examples of units/numeraires. ) • stock index, real estates, etc.

Download PDF sample

Rated 4.69 of 5 – based on 20 votes