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)
Title: On the financial risk factor in fair valuation of the mathematical provision
Creators:
CreatorsEmail
Cocozza, Rosarosa.cocozza@unina.it
De Feo, DonatoUNSPECIFIED
Di Lorenzo, EmiliaUNSPECIFIED
Sibillo, MarilenaUNSPECIFIED
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.
MIUR S.S.D.: 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
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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