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...

Future evolution of mortality poses important challenges for life insurance, pension funds, public policy and fiscal planning. Indeed, when fair values, premium rates and risk reserves are computed, sound and accurate models to forecast stochastic longevity are needed. In this paper, we propose...

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...

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...

1 Albano G. et al., A comparison among alternative parameters estimators in the Vasicek process: a small sample analysis -- 2 Amendola A. et al., On the use of mixed sampling in modelling realized volatility: The MEM–MIDAS -- 3 Amerise I. L. and Tarsitano A., Simultaneous prediction intervals...