Moriconi, Franco - In: Risks : open access journal 11 (2023) 10, pp. 1-32
stochastic expected inflation produces a non-negligible increase in the reserve solvency capital requirement under the one … the market approach, using a three-factor market model which extends the two-factor model by including stochastic expected … inflation. After detailing the theoretical model and estimating the relevant parameters on the same market data used in …