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Methodological problems in solvency assessment of an insurance company

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Author Info

  • Cocozza, R
  • Di Lorenzo, E
  • Sibillo, M

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.

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File URL: http://mpra.ub.uni-muenchen.de/27980/
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Bibliographic Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 27980.

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Date of creation: 2004
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Publication status: Published in Investment Management and Financial Innovations 2.1(2004): pp. 95-102
Handle: RePEc:pra:mprapa:27980

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

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