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401-4920-00L 4 Credits BSC , MSC , NDS D-MATH
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Market-Consistent Actuarial Valuation

Lecturers: Prof. Dr. Mario Valentin Wüthrich, Dr. Hansjörg Furrer
Examiners: Prof. Dr. Mario Valentin Wüthrich
VVZ CR n/a

Last Updated: 2026-02-05 15:29:11

Abstract

Introduction into 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 environment and provide the basics of solvency considerations.

Content

In this lecture we give a full balance sheet approach to the actuarial valuation of an insurance company. Therefore we introduce a multidimensional valuation portfolio on the liability side of the balance sheet. The basis of this multidimensional VaPo are financial instruments, which make 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 minimal 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

Lecture Notes

Market-Consistent Actuarial ValuationWüthrich, Mario Valentin, Bühlmann, Hans, Furrer, HansjörgEAA Lecture Notes, Springer Verlag, 2008.ISBN: 978-3-540-73642-4

Literature

Market-Consistent Actuarial Valuation Wüthrich, Mario Valentin, Bühlmann, Hans, Furrer, Hansjörg EAA Lecture Notes, Springer Verlag, 2008. ISBN: 978-3-540-73642-4

General Information

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

Examination

Type
session examination
Mode
oral 20 minutes

Course Components

Type Title Time & Place Hours
lecture Market-Consistent Actuarial Valuation
  • Mon 16:15-18:00 (HG D 3.2)
2 h weekly

Offered In