On the Financial Risk Factor in Fair Valuation of the Mathematical Provision

16 Pages Posted: 29 Jun 2007

See all articles by Rosa Cocozza

Rosa Cocozza

University of Naples Federico II - Faculty of Economics

Donato De Feo

affiliation not provided to SSRN

Emilia Di Lorenzo

University of Naples Federico II - Faculty of Economics

Marilena Sibillo

Università degli Studi di Salerno

Date Written: May 9, 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.

Keywords: Life insurance, financial risk, insolvency risk, mathematical provisions

JEL Classification: G22, G28, G13

Suggested Citation

Cocozza, Rosa and De Feo, Donato and Di Lorenzo, Emilia and Sibillo, Marilena, On the Financial Risk Factor in Fair Valuation of the Mathematical Provision (May 9, 2005). Available at SSRN: https://ssrn.com/abstract=997202 or http://dx.doi.org/10.2139/ssrn.997202

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

Donato De Feo

affiliation not provided to SSRN ( email )

No Address Available

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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