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...

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...