Risk Identification and Measurement in Life Insurance: Critical Issues (Identificazione E Misurazione Dei Rischi Nei Portafogli Vita: Spunti Critici Di Riflessione)

Convegno Nazionale di Economia degli Intermediari Finanziari, PARMA (IT), 2005

9 Pages Posted: 8 May 2010

See all articles by Rosa Cocozza

Rosa Cocozza

University of Naples Federico II - Faculty of Economics

Date Written: November 4, 2005

Abstract

The paper offers an insight into life insurance risk management topics with reference to recent regulatory innovation. The study starts with a full breakdown of the risk system of life insurance companies and provides a methodology of identification of risk drivers pertinent to both current earning and market value approaches. By means of the differential analysis, we are able to build up a whole series of risk indicators serving the whole risk management process. Such indicators can be easily plugged into the risk-adjusted performance metrics for both internal and institutional control targets. The methodology is applied to an exemplar case of a life annuity portfolio.

Note: Downloadable document is in Italian.

Keywords: Like insurance, risk indicators, risk management

JEL Classification: G22

Suggested Citation

Cocozza, Rosa, Risk Identification and Measurement in Life Insurance: Critical Issues (Identificazione E Misurazione Dei Rischi Nei Portafogli Vita: Spunti Critici Di Riflessione) (November 4, 2005). Convegno Nazionale di Economia degli Intermediari Finanziari, PARMA (IT), 2005, Available at SSRN: https://ssrn.com/abstract=1600053 or http://dx.doi.org/10.2139/ssrn.1600053

Rosa Cocozza (Contact Author)

University of Naples Federico II - Faculty of Economics ( email )

Via Cintia Monte S. Angelo
Napoli, 80126
Italy
+39/81675083 (Phone)

HOME PAGE: http://www.docenti.unina.it/rosa.cocozza

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