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Interest rate movements in the life insurance fair valuation context

Cocozza, Rosa; Di Lorenzo, Emilia; Orlando, Albina; … - In: Liquidity, interest rates and banking, (pp. 95-110). 2009

Persistent link: https://www.econbiz.de/10008654515

A Dynamic Solvency Approach for Life Insurance

Cocozza, Rosa - 2011

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...

Persistent link: https://www.econbiz.de/10013131693

A Dynamic Solvency Approach for Life Insurance

Cocozza, Rosa - 2011

Persistent link: https://www.econbiz.de/10013131758

A liability adequacy test for mathematical provision

Cocozza, Rosa; Lorenzo, Emilia Di; Orlando, Abina; … - In: Mathematical and statistical methods in insurance and …, (pp. 75-81). 2008

Persistent link: https://www.econbiz.de/10003838195

The value at risk of the mathematical provision : critical issues

Cocozza, Rosa; Lorenzo, Emilia di; Orlando, Albina; … - In: Journal of risk management in financial institutions 1 (2007/08) 3, pp. 311-319

Persistent link: https://www.econbiz.de/10003741762

Solvency analysis and demographic risk measures

Coppola, Mariarosaria; Di Lorenzo, Emilia; Orlando, Albina - In: Journal of risk finance : the convergence of financial … 12 (2011) 4, pp. 252-269

Persistent link: https://www.econbiz.de/10009304164

The uncertainty risk driver within a life annuity context : an overvierw

Di Lorenzo, Emilia; Sibillo, Marilena - In: Problems and perspectives in management : PPM ; … 13 (2015) 3, pp. 18-27

Persistent link: https://www.econbiz.de/10011502227

Measuring risk-adjusted performance and product attractiveness of a life annuity portfolio

Di Lorenzo, Emilia; Orlando, Albina; Sibillo, Marilena - In: Journal of mathematical finance 7 (2017) 1, pp. 83-101

Persistent link: https://www.econbiz.de/10011658441

De-risking strategy : longevity spread buy-in

D'Amato, Valeria; Di Lorenzo, Emilia; Haberman, Steven; … - In: Insurance / Mathematics & economics 79 (2018), pp. 124-136

Persistent link: https://www.econbiz.de/10011825420

Risk Identification and Measurement in Life Insurance : Critical Issues (Identificazione E Misurazione Dei Rischi Nei Portafogli Vita: Spunti Critici Di Riflessione)

Cocozza, Rosa - 2010

The paper offers an insight into life insurance risk management topics with reference to recent regulatory innovation. The study starts with a full breakdown of the risk system of life insurance companies and provides a methodology of identification of risk drivers pertinent to both current...

Persistent link: https://www.econbiz.de/10013143959