Market-Consistent Actuarial Valuation

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.