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Methodological problems in solvency assessment of an insurance company

Author

Listed:
  • 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.

Suggested Citation

  • Cocozza, R & Di Lorenzo, E & Sibillo, M, 2004. "Methodological problems in solvency assessment of an insurance company," MPRA Paper 27980, University Library of Munich, Germany.
  • Handle: RePEc:pra:mprapa:27980
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    File URL: https://mpra.ub.uni-muenchen.de/27980/1/MPRA_paper_27980.pdf
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    More about this item

    Keywords

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

    JEL classification:

    • G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

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