The paper addresses the question of the calculation of the current value of the mathematical provision and moulds it in a deterministic and stochastic scenario, using a proper term structure of interest rates estimated by means of a Cox-Ingersoll-Ross model. It provides a complete and original...

The paper investigates risk management processes in life insurance, in a perspective consistent with the framework of Solvency II. The paper starts with the breakdown of the business dynamics. This analysis provides for a complete depiction of risk and value driver within life business. The...

We propose a numerical procedure for the pricing of financial contracts whose contingent claims are exposed to two sources of risk: the stock price and the short interest rate. More precisely, in our pricing framework we assume that the stock price dynamics is described by the Cox, Ross...