Market-consistent actuarial valuation (Q5893944)

This is the second, enlarged edition of the first one published in 2007 [Zbl 1172.91004]. The book deals with principles and logical structures in market-consistent actuarial valuations. The contents cover several topics concerning the intricate problems arising from the valuation of insurance business, mainly with reference to insurance liabilities. Throughout six chapters, the book gives fundamental tools to introduce the mathematical framework apt to treat the afore mentioned subjects. After a preface about the current regulation guidelines (Chapter 1), Chapter 2 focuses on stochastic discounting techniques, deepening the analysis on financial deflators and probability distorsions. In Chapter 3 the approximate valuation portfolio is presented, coherently with the insurance practice. The financial risk is studied in Chapter 4, whilst a wide space is given to the portfolio valuation in non-life insurance in Chapter 5. Finally in Chapter 6 some selected topics are treated, such as the legal quote in life insurance, as well as losses and profits from insurance technical risks. 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.