On the ﬁnancial risk factor in fair valuation of the mathematical provision
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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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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