On the Financial Risk Factor in Fair Valuation of the Mathematical Provision
16 Pages Posted: 29 Jun 2007
Date Written: May 9, 2005
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.
Keywords: Life insurance, financial risk, insolvency risk, mathematical provisions
JEL Classification: G22, G28, G13
Suggested Citation: Suggested Citation