In the paper by applying stochastic conditional calculations, formulas for measuring the contribution of each risk sources to the global riskiness connected to the fair valuation of mathematical provision are propose, being sure this can be an useful instrument for practitioners. In particular, formulas for the fair valuation of the mathematical provision in the case of a generic life insurance contract are introduced. Moreover two examples with survival and death benefits respectively are analysed.
Risk measuremant and fair valuation assessment in the life insurance field / Coppola, Mariarosaria; V., D'Amato; DI LORENZO, Emilia; M., Sibillo. - STAMPA. - 7:(2009), pp. 149-156. [10.1007/978-88-470-1083-3_9]
Risk measuremant and fair valuation assessment in the life insurance field
COPPOLA, MARIAROSARIA;DI LORENZO, EMILIA;
2009
Abstract
In the paper by applying stochastic conditional calculations, formulas for measuring the contribution of each risk sources to the global riskiness connected to the fair valuation of mathematical provision are propose, being sure this can be an useful instrument for practitioners. In particular, formulas for the fair valuation of the mathematical provision in the case of a generic life insurance contract are introduced. Moreover two examples with survival and death benefits respectively are analysed.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
