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 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...

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...

In this chapter, we propose, after a brief review of the convertible bond pricing theory, an innovative numerical procedure that can efficiently be adopted with the aim of pricing convertibles. Such a procedure accounts for two sources of risk: The stock price and the spot interest rate. More...

The financial crisis of the beginning of the millennium and the recent crisis have led many pension funds to adopt different management approach to overcome the arising difficulties to maintain a solid financial status. Among these, the adoption of an indexation policy which is now conditional...

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...