Methodological Problems in Solvency Assessment of an Insurance Company

Investment Management and Financial Innovations, Vol. 2, pp. 95-102, 2004

8 Pages Posted: 9 Jan 2011

See all articles by Rosa Cocozza

Rosa Cocozza

University of Naples Federico II - Faculty of Economics

Emilia Di Lorenzo

University of Naples Federico II - Faculty of Economics

Marilena Sibillo

Università degli Studi di Salerno

Date Written: 2004

Abstract

The recent wide development and changes in insurance markets highlighted the necessity to map out the solvency analysis in a more complete framework. The approach we present in the paper comes up with an integrated analysis of the risk profile of an insurance business, taking into account the actual European directives about solvency assessment. The aim of the paper is to construct a methodology apt to incorporate properly the effect of the risk sources in calculating mathematical provisions related to a portfolio of insurance policies.

Keywords: Life insurance, financial risk, demographic risk, capital adequacy, reserves, conditional random processes

JEL Classification: G22, G28, G13

Suggested Citation

Cocozza, Rosa and Di Lorenzo, Emilia and Sibillo, Marilena, Methodological Problems in Solvency Assessment of an Insurance Company (2004). Investment Management and Financial Innovations, Vol. 2, pp. 95-102, 2004, Available at SSRN: https://ssrn.com/abstract=1736964

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

Emilia Di Lorenzo

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

Via Cintia, Monte S. Angelo
Napoli, 80126
Italy

Marilena Sibillo

Università degli Studi di Salerno ( email )

Campus Universitario, 84084 Fisciano
Salerno, 80131
Italy

HOME PAGE: http://www.unisa.it//Facolta/Economia/docenti/Sibillo_/home.php?cms=yes

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