Cocozza, Rosa and De Feo, Donato and Di Lorenzo, Emilia and Sibillo, Marilena (2005) On the financial risk factor in fair valuation of the mathematical provision. In: 36th International ASTIN Colloquium, 4-7 sett 2005, Zurich, Switzerland.
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| Item Type: | Conference or Workshop Item (Other) | ||||||||||
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| Title: | On the financial risk factor in fair valuation of the mathematical provision | ||||||||||
| Creators: |
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| Date: | 5 September 2005 | ||||||||||
| Date Type: | Publication | ||||||||||
| Number of Pages: | 16 | ||||||||||
| Official URL: | ftp://ftp.math.ethz.ch/hg/users/astin2005/contribu... | ||||||||||
| Journal or Publication Title: | Proceedings of The 36° International Astin Colloquium, ETH, Zurich | ||||||||||
| Event Type: | Conference | ||||||||||
| Event Title: | 36th International ASTIN Colloquium | ||||||||||
| Event Location: | Zurich, Switzerland | ||||||||||
| Event Dates: | 4-7 sett 2005 | ||||||||||
| Date: | 5 September 2005 | ||||||||||
| Number of Pages: | 16 | ||||||||||
| Uncontrolled Keywords: | Life insurance, financial risk, insolvency risk, mathematical provisions, financial regulation, Lee-Carter model. | ||||||||||
| Settori scientifico-disciplinari del MIUR: | Area 13 - Scienze economiche e statistiche > SECS-S/06 - Metodi matematici dell'economia e delle scienze attuariali e finanziarie Area 13 - Scienze economiche e statistiche > SECS-P/11 - Economia degli intermediari finanziari |
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| Date Deposited: | 16 Feb 2006 | ||||||||||
| Last Modified: | 17 Dec 2014 11:28 | ||||||||||
| URI: | http://www.fedoa.unina.it/id/eprint/311 |
Abstract
The paper focuses on the financial variable for the provision evaluation and analyses the sensitivity of the fair valuation to interest rate parameters. In a determinist scenario the evaluation risk is studied in a market value perspective and its impact is measured through the sensitivity of the net value of the intermediation portfolio to a modification of the financial risk driver. In a stochastic scenario the sensitivity of the current values of projected liability cash-flow is investigated by means of a numerical implementation.
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