Market Consistent Actuarial Valuation

Author : Mario V. Wüthrich,Hans Bühlmann,Hansjörg Furrer
Publisher : Springer Science & Business Media
Page : 157 pages
File Size : 44,6 Mb
Release : 2010-09-02
Category : Mathematics
ISBN : 9783642148521

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Market-Consistent Actuarial Valuation by Mario V. Wüthrich,Hans Bühlmann,Hansjörg Furrer Pdf

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. 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. 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.

Author : Mario V. Wüthrich
Publisher : Springer
Page : 145 pages
File Size : 55,6 Mb
Release : 2016-10-22
Category : Business & Economics
ISBN : 9783319466361

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Market-Consistent Actuarial Valuation by Mario V. Wüthrich Pdf

This is the third edition of this well-received textbook, presenting powerful methods for measuring insurance liabilities and assets in a consistent way, with detailed mathematical frameworks that lead to market-consistent values for liabilities. 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. Including updates on recent developments and regulatory changes under Solvency II, this new edition of Market-Consistent Actuarial Valuation also elaborates on different risk measures, providing a revised definition of solvency based on industry practice, and presents an adapted valuation framework which takes a dynamic view of non-life insurance reserving risk.

Author : Mario Valentin Wüthrich,Hans Bühlmann,Hansjörg Furrer
Publisher : Springer Science & Business Media
Page : 126 pages
File Size : 47,7 Mb
Release : 2008
Category : Business & Economics
ISBN : 9783540736424

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Market-Consistent Actuarial Valuation by Mario Valentin Wüthrich,Hans Bühlmann,Hansjörg Furrer Pdf

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.

Author : Mario V. Wüthrich,Michael Merz
Publisher : Springer Science & Business Media
Page : 438 pages
File Size : 45,7 Mb
Release : 2013-04-04
Category : Mathematics
ISBN : 9783642313929

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Financial Modeling, Actuarial Valuation and Solvency in Insurance by Mario V. Wüthrich,Michael Merz Pdf

Risk management for financial institutions is one of the key topics the financial industry has to deal with. The present volume is a mathematically rigorous text on solvency modeling. Currently, there are many new developments in this area in the financial and insurance industry (Basel III and Solvency II), but none of these developments provides a fully consistent and comprehensive framework for the analysis of solvency questions. Merz and Wüthrich combine ideas from financial mathematics (no-arbitrage theory, equivalent martingale measure), actuarial sciences (insurance claims modeling, cash flow valuation) and economic theory (risk aversion, probability distortion) to provide a fully consistent framework. Within this framework they then study solvency questions in incomplete markets, analyze hedging risks, and study asset-and-liability management questions, as well as issues like the limited liability options, dividend to shareholder questions, the role of re-insurance, etc. This work embeds the solvency discussion (and long-term liabilities) into a scientific framework and is intended for researchers as well as practitioners in the financial and actuarial industry, especially those in charge of internal risk management systems. Readers should have a good background in probability theory and statistics, and should be familiar with popular distributions, stochastic processes, martingales, etc.

Author : Irwin T. Vanderhoof,Edward Altman
Publisher : Springer Science & Business Media
Page : 389 pages
File Size : 53,6 Mb
Release : 2013-04-17
Category : Business & Economics
ISBN : 9781475767322

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The Fair Value of Insurance Liabilities by Irwin T. Vanderhoof,Edward Altman Pdf

This book explores theoretical and practical implications of reflecting the fair value of liabilities for insurance companies. In addition, the contributions discuss the disclosure of these values to the financial and regulatory communities and auditing firms which are actually calculating this illusive but important variable. It combines contributions by distinguished practitioners from the insurance, accounting and finance fields, with those of prominent academics. One of the central themes of the collection is that adequate disclosure of the true economic value of insurance company liabilities is both possible and desirable. Wherever possible, the insurance valuation process is wedded with modern financial theory. For example, the use of option pricing theory is applied to insurance companies, where the true value of the firm's liabilities is a critical variable. Methods such as cash flow, earned profit and indirect discount are explored.

Author : Malcolm Kemp
Publisher : John Wiley & Sons
Page : 647 pages
File Size : 46,5 Mb
Release : 2009-09-10
Category : Business & Economics
ISBN : 9780470684894

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Market Consistency by Malcolm Kemp Pdf

Achieving market consistency can be challenging, even for the most established finance practitioners. In Market Consistency: Model Calibration in Imperfect Markets, leading expert Malcolm Kemp shows readers how they can best incorporate market consistency across all disciplines. Building on the author's experience as a practitioner, writer and speaker on the topic, the book explores how risk management and related disciplines might develop as fair valuation principles become more entrenched in finance and regulatory practice. This is the only text that clearly illustrates how to calibrate risk, pricing and portfolio construction models to a market consistent level, carefully explaining in a logical sequence when and how market consistency should be used, what it means for different financial disciplines and how it can be achieved for both liquid and illiquid positions. It explains why market consistency is intrinsically difficult to achieve with certainty in some types of activities, including computation of hedging parameters, and provides solutions to even the most complex problems. The book also shows how to best mark-to-market illiquid assets and liabilities and to incorporate these valuations into solvency and other types of financial analysis; it indicates how to define and identify risk-free interest rates, even when the creditworthiness of governments is no longer undoubted; and it explores when practitioners should focus most on market consistency and when their clients or employers might have less desire for such an emphasis. Finally, the book analyses the intrinsic role of regulation and risk management within different parts of the financial services industry, identifying how and why market consistency is key to these topics, and highlights why ideal regulatory solvency approaches for long term investors like insurers and pension funds may not be the same as for other financial market participants such as banks and asset managers.

Author : Kathrin Glau,Matthias Scherer,Rudi Zagst
Publisher : Springer
Page : 434 pages
File Size : 51,9 Mb
Release : 2015-01-09
Category : Mathematics
ISBN : 9783319091143

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Innovations in Quantitative Risk Management by Kathrin Glau,Matthias Scherer,Rudi Zagst Pdf

Quantitative models are omnipresent –but often controversially discussed– in todays risk management practice. New regulations, innovative financial products, and advances in valuation techniques provide a continuous flow of challenging problems for financial engineers and risk managers alike. Designing a sound stochastic model requires finding a careful balance between parsimonious model assumptions, mathematical viability, and interpretability of the output. Moreover, data requirements and the end-user training are to be considered as well. The KPMG Center of Excellence in Risk Management conference Risk Management Reloaded and this proceedings volume contribute to bridging the gap between academia –providing methodological advances– and practice –having a firm understanding of the economic conditions in which a given model is used. Discussed fields of application range from asset management, credit risk, and energy to risk management issues in insurance. Methodologically, dependence modeling, multiple-curve interest rate-models, and model risk are addressed. Finally, regulatory developments and possible limits of mathematical modeling are discussed.

Author : Mr. Andreas A. Jobst,Nobuyasu Sugimoto,Timo Broszeit
Publisher : International Monetary Fund
Page : 84 pages
File Size : 47,8 Mb
Release : 2014-07-22
Category : Business & Economics
ISBN : 9781498324557

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Macroprudential Solvency Stress Testing of the Insurance Sector by Mr. Andreas A. Jobst,Nobuyasu Sugimoto,Timo Broszeit Pdf

Over the last decade, stress testing has become a central aspect of the Fund’s bilateral and multilateral surveillance work. Recently, more emphasis has also been placed on the role of insurance for financial stability analysis. This paper reviews the current state of system-wide solvency stress tests for insurance based on a comparative review of national practices and the experiences from Fund’s FSAP program with the aim of providing practical guidelines for the coherent and consistent implementation of such exercises. The paper also offers recommendations on improving the current insurance stress testing approaches and presentation of results.

Author : Michael Koller
Publisher : Springer Science & Business Media
Page : 360 pages
File Size : 52,7 Mb
Release : 2011-05-04
Category : Business & Economics
ISBN : 9783642207211

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Life Insurance Risk Management Essentials by Michael Koller Pdf

The aim of the book is to provide an overview of risk management in life insurance companies. The focus is twofold: (1) to provide a broad view of the different topics needed for risk management and (2) to provide the necessary tools and techniques to concretely apply them in practice. Much emphasis has been put into the presentation of the book so that it presents the theory in a simple but sound manner. The first chapters deal with valuation concepts which are defined and analysed, the emphasis is on understanding the risks in corresponding assets and liabilities such as bonds, shares and also insurance liabilities. In the following chapters risk appetite and key insurance processes and their risks are presented and analysed. This more general treatment is followed by chapters describing asset risks, insurance risks and operational risks - the application of models and reporting of the corresponding risks is central. Next, the risks of insurance companies and of special insurance products are looked at. The aim is to show the intrinsic risks in some particular products and the way they can be analysed. The book finishes with emerging risks and risk management from a regulatory point of view, the standard model of Solvency II and the Swiss Solvency Test are analysed and explained. The book has several mathematical appendices which deal with the basic mathematical tools, e.g. probability theory, stochastic processes, Markov chains and a stochastic life insurance model based on Markov chains. Moreover, the appendices look at the mathematical formulation of abstract valuation concepts such as replicating portfolios, state space deflators, arbitrage free pricing and the valuation of unit linked products with guarantees. The various concepts in the book are supported by tables and figures.

Author : Aswath Damodaran
Publisher : Now Publishers Inc
Page : 102 pages
File Size : 43,5 Mb
Release : 2005
Category : Business & Economics
ISBN : 9781601980144

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Valuation Approaches and Metrics by Aswath Damodaran Pdf

Valuation lies at the heart of much of what we do in finance, whether it is the study of market efficiency and questions about corporate governance or the comparison of different investment decision rules in capital budgeting. In this paper, we consider the theory and evidence on valuation approaches. We begin by surveying the literature on discounted cash flow valuation models, ranging from the first mentions of the dividend discount model to value stocks to the use of excess return models in more recent years. In the second part of the paper, we examine relative valuation models and, in particular, the use of multiples and comparables in valuation and evaluate whether relative valuation models yield more or less precise estimates of value than discounted cash flow models. In the final part of the paper, we set the stage for further research in valuation by noting the estimation challenges we face as companies globalize and become exposed to risk in multiple countries.

Author : Esbjörn Ohlsson,Björn Johansson
Publisher : Springer Science & Business Media
Page : 174 pages
File Size : 48,7 Mb
Release : 2010-03-18
Category : Mathematics
ISBN : 9783642107917

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Non-Life Insurance Pricing with Generalized Linear Models by Esbjörn Ohlsson,Björn Johansson Pdf

Non-life insurance pricing is the art of setting the price of an insurance policy, taking into consideration varoius properties of the insured object and the policy holder. Introduced by British actuaries generalized linear models (GLMs) have become today a the standard aproach for tariff analysis. The book focuses on methods based on GLMs that have been found useful in actuarial practice and provides a set of tools for a tariff analysis. Basic theory of GLMs in a tariff analysis setting is presented with useful extensions of standarde GLM theory that are not in common use. The book meets the European Core Syllabus for actuarial education and is written for actuarial students as well as practicing actuaries. To support reader real data of some complexity are provided at www.math.su.se/GLMbook.

Author : Pierre Plamondon
Publisher : International Labour Organization
Page : 552 pages
File Size : 52,9 Mb
Release : 2002
Category : Business & Economics
ISBN : 9221108635

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Actuarial Practice in Social Security by Pierre Plamondon Pdf

The actuarial analysis of social protection schemes is a challenge that requires a balancing act between the demographic, economic, financial, and actuarial fields. This text provides a practical tool to enhance and modernize social protection systems while maintaining this balance.

Author : Jean-Paul Laurent,Ragnar Norberg,Frédéric Planchet
Publisher : Springer
Page : 263 pages
File Size : 50,6 Mb
Release : 2016-05-02
Category : Mathematics
ISBN : 9783319297767

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Modelling in Life Insurance – A Management Perspective by Jean-Paul Laurent,Ragnar Norberg,Frédéric Planchet Pdf

Focusing on life insurance and pensions, this book addresses various aspects of modelling in modern insurance: insurance liabilities; asset-liability management; securitization, hedging, and investment strategies. With contributions from internationally renowned academics in actuarial science, finance, and management science and key people in major life insurance and reinsurance companies, there is expert coverage of a wide range of topics, for example: models in life insurance and their roles in decision making; an account of the contemporary history of insurance and life insurance mathematics; choice, calibration, and evaluation of models; documentation and quality checks of data; new insurance regulations and accounting rules; cash flow projection models; economic scenario generators; model uncertainty and model risk; model-based decision-making at line management level; models and behaviour of stakeholders. With author profiles ranging from highly specialized model builders to decision makers at chief executive level, this book should prove a useful resource to students and academics of actuarial science as well as practitioners.

Author : Craig Turnbull
Publisher : Palgrave Macmillan
Page : 0 pages
File Size : 41,6 Mb
Release : 2017-03-29
Category : Business & Economics
ISBN : 3319331825

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A History of British Actuarial Thought by Craig Turnbull Pdf

In the first book of its kind, Turnbull traces the development and implementation of actuarial ideas, from the conception of Equitable Life in the mid-18th century to the start of the 21st century. This book analyses the historical development of British actuarial thought in each of its three main practice areas of life assurance, pensions and general insurance. It discusses how new actuarial approaches were developed within each practice area, and how these emerging ideas interacted with each other and were often driven by common external factors such as shocks in the economic environment, new intellectual ideas from academia and developments in technology. A broad range of historically important actuarial topics are discussed such as the development of the blueprint for the actuarial management of with-profit business; historical developments in mortality modelling methods; changes in actuarial thinking on investment strategy for life and pensions business; changing perspectives on the objectives and methods for funding Defined Benefit pensions; the application of risk theory in general insurance reserving; the adoption of risk-based reserving and the Guaranteed Annuity Option crisis at the end of the 20th century. This book also provides an historical overview of some of the most important external contributions to actuarial thinking: in particular, the first century or so of modern thinking on probability and statistics, starting in the 1650s with Pascal and Fermat; and the developments in the field of financial economics over the third quarter of the twentieth century. This book identifies where historical actuarial thought heuristically anticipated some of the fundamental ideas of modern finance, and the challenges that the profession wrestled with in reconciling these ideas with traditional actuarial methods. Actuaries have played a profoundly influential role in the management of the United Kingdom’s most important long-term financial institutions over the last two hundred years. This book will be the first to chart the influence of the actuarial profession to modern day. It will prove a valuable resource for actuaries, actuarial trainees and students of actuarial science. It will also be of interest to academics and professionals in related financial fields such as accountants, statisticians, economists and investment managers.

Author : International Accounting Standards Board
Publisher : Unknown
Page : 72 pages
File Size : 45,5 Mb
Release : 2009
Category : Disclosure of information
ISBN : CORNELL:31924110691353

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Fair Value Measurement: Exposure draft by International Accounting Standards Board Pdf