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
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.
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11588/113251
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