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.
Download (438kB) | Preview
|Item Type:||Conference or Workshop Item (Other)|
|Uncontrolled Keywords:||Life insurance, ﬁnancial risk, insolvency risk, mathematical provisions, ﬁnancial regulation, Lee-Carter model.|
|Date Deposited:||16 Feb 2006|
|Last Modified:||30 Apr 2014 19:22|
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.
Actions (login required)