© 2013

Financial Modeling, Actuarial Valuation and Solvency in Insurance


Part of the Springer Finance book series (FINANCE)

Table of contents

  1. Front Matter
    Pages I-XIV
  2. Mario V. Wüthrich, Michael Merz
    Pages 1-8
  3. Financial Valuation Principles

    1. Front Matter
      Pages 9-9
    2. Mario V. Wüthrich, Michael Merz
      Pages 11-33
    3. Mario V. Wüthrich, Michael Merz
      Pages 35-95
    4. Mario V. Wüthrich, Michael Merz
      Pages 97-130
    5. Mario V. Wüthrich, Michael Merz
      Pages 131-151
  4. Actuarial Valuation and Solvency

    1. Front Matter
      Pages 153-153
    2. Mario V. Wüthrich, Michael Merz
      Pages 155-167
    3. Mario V. Wüthrich, Michael Merz
      Pages 169-204
    4. Mario V. Wüthrich, Michael Merz
      Pages 205-259
    5. Mario V. Wüthrich, Michael Merz
      Pages 261-336
    6. Mario V. Wüthrich, Michael Merz
      Pages 337-403
  5. Appendix

    1. Front Matter
      Pages 405-405
    2. Mario V. Wüthrich, Michael Merz
      Pages 407-418
  6. Back Matter
    Pages 419-432

About this book


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.


62P05, 91G30 actuarial valuation incomplete markets quantitative risk management risk measures solvency

Authors and affiliations

  1. 1.RiskLab, Department of MathematicsETH ZurichZurichSwitzerland
  2. 2.Faculty for Economic and Social Studies, Department of Business AdministrationUniversity of HamburgHamburgGermany

Bibliographic information

Industry Sectors
Finance, Business & Banking


From the reviews:

“The purpose of this book is to introduce sound risk measurement practices which form bases of good risk management policies and solvency regulation. … I warmly recommend this book to graduate students and researchers in applied mathematics, financial mathematics, actuarial science, solvency and insurance. … The models proposed are original and very up-to-date. The book could be an essential tool for people working with financial modeling, actuarial valuation, and solvency in insurance.” (Răzvan Răducanu, Mathematical Reviews, December, 2013)