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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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    References listed on IDEAS

    as
    1. Edward Frees, 1998. "Relative Importance of Risk Sources in Insurance Systems," North American Actuarial Journal, Taylor & Francis Journals, vol. 2(2), pages 34-49.
    2. Emilia Di Lorenzo & Marilena Sibillo & Gerarda Tessitore, 1999. "A stochastic model for financial evaluation: applications to actuarial contracts," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 15(4), pages 269-275, October.
    3. Gary Parker, 1997. "Stochastic Analysis of the Interaction Between Investment and Insurance Risks," North American Actuarial Journal, Taylor & Francis Journals, vol. 1(2), pages 55-71.
    4. David Babbel & Jeremy Gold & Craig Merrill, 2002. "Fair Value of Liabilities: The Financial Economics Perspective," North American Actuarial Journal, Taylor & Francis Journals, vol. 6(1), pages 12-27.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Life insurance; financial risk; demographic risk; capital adequacy; reserves; conditional random processes;
    All these keywords.

    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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