This paper deals with the application of the Value at Risk of the mathematical provision within a fair valuation context. Through the VaR calculation, the estimate of an appropriate contingency reserve is connected to the predicted worst case additional cost, at a specific confidence level, projected over a fixed accounting period. The numerical complexity is approached by means of a simulation methodology, particularly suitable also in the case of a large number of risk factors.
A liability adequacy test for the mathematical provision: critical issues / Cocozza, Rosa; DI LORENZO, Emilia; Orlando, Albina; Sibillo, Marilena. - STAMPA. - (2008), pp. 75-81. [10.1007/978-88-470-0704-8_10]
A liability adequacy test for the mathematical provision: critical issues
COCOZZA, ROSA;DI LORENZO, EMILIA;ORLANDO, ALBINA;SIBILLO, MARILENA
2008
Abstract
This paper deals with the application of the Value at Risk of the mathematical provision within a fair valuation context. Through the VaR calculation, the estimate of an appropriate contingency reserve is connected to the predicted worst case additional cost, at a specific confidence level, projected over a fixed accounting period. The numerical complexity is approached by means of a simulation methodology, particularly suitable also in the case of a large number of risk factors.| File | Dimensione | Formato | |
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