The paper focuses on the financial variable for the provision evaluation and analyses the sensitivity of the fair valuation to interest rate parameters. In a determinist scenario the evaluation risk is studied in a market value perspective and its impact is measured through the sensitivity of the net value of the intermediation portfolio to a modification of the financial risk driver. In a stochastic scenario the sensitivity of the current values of projected liability cash-flow is investigated by means of a numerical implementation.
On the financial risk factor in fair valuation of the mathematical provision / Cocozza, Rosa; DE FEO, Donato; DI LORENZO, Emilia; Sibillo, Marilena. - ELETTRONICO. - (2005), pp. 1-16. (Intervento presentato al convegno The 36th International Actuarial Studies in non-life insurance colloqium tenutosi a Zurich (CH) nel 4-7 september 2005).
On the financial risk factor in fair valuation of the mathematical provision
COCOZZA, ROSA;DI LORENZO, EMILIA;SIBILLO, MARILENA
2005
Abstract
The paper focuses on the financial variable for the provision evaluation and analyses the sensitivity of the fair valuation to interest rate parameters. In a determinist scenario the evaluation risk is studied in a market value perspective and its impact is measured through the sensitivity of the net value of the intermediation portfolio to a modification of the financial risk driver. In a stochastic scenario the sensitivity of the current values of projected liability cash-flow is investigated by means of a numerical implementation.| File | Dimensione | Formato | |
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