The paper deals with solvency assessment for life insurance business; some methodological issues concerning the solvency of life insurance companies, particularly connected to the investment risk, are suggested. Considerations about the technical equilibrium of an insurance portfolio and the financial regulation lead to a dynamic system involving risk measure and solvency assessment. Then the formal model is applied to a life annuity cohort in a stochastic context in order to exemplify the potential of the model, especially referred to the need to frame solvency assessment in a dynamic perspective.

Solvency of life insurance company: methodological issue / Cocozza, Rosa; DI LORENZO, Emilia. - In: JOURNAL OF ACTUARIAL PRACTICE. - ISSN 1064-6647. - STAMPA. - 13:1(2006), pp. 81-117.

Solvency of life insurance company: methodological issue

COCOZZA, ROSA;DI LORENZO, EMILIA
2006

Abstract

The paper deals with solvency assessment for life insurance business; some methodological issues concerning the solvency of life insurance companies, particularly connected to the investment risk, are suggested. Considerations about the technical equilibrium of an insurance portfolio and the financial regulation lead to a dynamic system involving risk measure and solvency assessment. Then the formal model is applied to a life annuity cohort in a stochastic context in order to exemplify the potential of the model, especially referred to the need to frame solvency assessment in a dynamic perspective.
2006
Solvency of life insurance company: methodological issue / Cocozza, Rosa; DI LORENZO, Emilia. - In: JOURNAL OF ACTUARIAL PRACTICE. - ISSN 1064-6647. - STAMPA. - 13:1(2006), pp. 81-117.
File in questo prodotto:
File Dimensione Formato  
JAP2006.pdf

accesso aperto

Descrizione: Full Paper versione editoriale
Tipologia: Documento in Post-print
Licenza: Dominio pubblico
Dimensione 1.12 MB
Formato Adobe PDF
1.12 MB Adobe PDF Visualizza/Apri

I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11588/100927
Citazioni
  • ???jsp.display-item.citation.pmc??? ND
  • Scopus ND
  • ???jsp.display-item.citation.isi??? ND
social impact