Market-consistent actuarial valuation

DOI10.1007/978-3-319-46636-1MaRDI QIDQ5890862zbMATH OpenOpenAlexFDO

Authors Mario V. Wüthrich

Publication date 29 September 2016

Published in EAA Series (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-319-46636-1

Mathematics Subject Classification ID

Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01) Portfolio theory (91G10)

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(15)

• Modelling net carrying amount of shares for market consistent valuation of life insurance liabilities
• Fair dynamic valuation of insurance liabilities: merging actuarial judgement with market- and time-consistency
• Handbook of solvency for actuaries and risk managers. Theory and practice.
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• Financial modeling, actuarial valuation and solvency in insurance
• Estimation of future discretionary benefits in traditional life insurance
• Extended reduced-form framework for non-life insurance
• Insurance valuation: A two-step generalised regression approach
• Pricing longevity-linked securities in the presence of mortality trend changes
• TIME‐CONSISTENT AND MARKET‐CONSISTENT EVALUATIONS
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• Actuarial-consistency and two-step actuarial valuations: a new paradigm to insurance valuation
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• The 3-step hedge-based valuation: fair valuation in the presence of systematic risks
• Mean-field Libor market model and valuation of long term guarantees

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