The paper addresses the calculation of the value at risk (VaR) of the mathematical provision applied in a fair valuation context. Following a balance-sheet approach, the classical definition of VaR needs some clarifications. For identifying worst cases it is opportune to observe that an increase...

Solvency appraising is analyzed by means of an appropriate deductive methodology, pointing out the connection to the time dynamic of the business. This research line is framed into a combined approach to solvency measuring, full of suggestions from a regulatory perspective. The model is...