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401-4920-00L 4 Credits BSC , DR , MSC D-MATH

Market-Consistent Actuarial Valuation

Lecturers & Examiners: Prof. Dr. Mario Valentin Wüthrich
Does not take place this semester.
VVZ CR n/a

Last Updated: 2026-06-01 11:33:47

Abstract

Introduction to market-consistent actuarial valuation.Topics: Stochastic discounting, full balance sheet approach, valuation portfolio in life and non-life insurance, technical and financial risks, risk management for insurance companies.

Objective

Goal is to give the basic mathematical tools for describing insurance products within a financial market and economic environment and provide the basics of solvency considerations.

Content

In this lecture we give a full balance sheet approach to the task of actuarial valuation of an insurance company. Therefore we introduce a multidimensional valuation portfolio (VaPo) on the liability side of the balance sheet. The basis of this multidimensional VaPo is a set of financial instruments. This approach makes the liability side of the balance sheet directly comparable to its asset side. The lecture is based on four sections: 1) Stochastic discounting 2) Construction of a multidimensional Valuation Portfolio for life insurance products (with guarantees) 3) Construction of a multidimensional Valuation Portfolio for a run-off portfolio of a non-life insurance company 4) Measuring financial risks in a full balance sheet approach (ALM risks)

Resources

Literature

Market-Consistent Actuarial Valuation, 3rd edition. Wüthrich, M.V. EAA Series, Springer 2016. ISBN: 978-3-319-46635-4 Wüthrich, M.V., Merz, M. Claims run-off uncertainty: the full picture. SSRN Manuscript ID 2524352 (2015). England, P.D, Verrall, R.J., Wüthrich, M.V. On the lifetime and one-year views of reserve risk, with application to IFRS 17 and Solvency II risk margins. Insurance: Mathematics and Economics 85 (2019), 74-88. Wüthrich, M.V., Embrechts, P., Tsanakas, A. Risk margin for a non-life insurance run-off. Statistics & Risk Modeling 28 (2011), no. 4, 299--317. Financial Modeling, Actuarial Valuation and Solvency in Insurance. Wüthrich, M.V., Merz, M. Springer Finance 2013. ISBN: 978-3-642-31391-2 Cheridito, P., Ery, J., Wüthrich, M.V. Assessing asset-liability risk with neural networks. Risks 8/1 (2020), article 16.

General Information

Language
English
Levels
BSC , DR , MSC
Frequency
Every two years

Examination

Type
session examination
Mode
oral 20 minutes
only in person exams (i.e. no remote exams)

Course Components

Type Title Time & Place Hours
lecture Market-Consistent Actuarial Valuation
Does not take place this semester. offered for the last time in FS 2024 / in FS 2026 a new course 401-3934-00 G is planned to take place
No time listed 2 h weekly

Offered In