A Liability Adequacy Test for Mathematical Provision

Rosa Cocozza, Emilia Di Lorenzo, Abina Orlando () and Marilena Sibillo
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Abina Orlando: Consiglio Nazionale delle Ricerche

A chapter in Mathematical and Statistical Methods in Insurance and Finance, 2008, pp 75-81 from Springer

Abstract: Abstract This paper deals with the application of the Value at Risk of the mathematical provision within a fair valuation context. Through the VaR calculation, the estimate of an appropriate contingency reserve is connected to the predicted worst case additional cost, at a specific confidence level, projected over a fixed accounting period. The numerical complexity is approached by means of a simulation methodology, particularly suitable also in the case of a large number of risk factors.

Keywords: Value at Risk; Life insurance; Quantile Reserve; Solvency; Fair Value (search for similar items in EconPapers)
Date: 2008
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-88-470-0704-8_10

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DOI: 10.1007/978-88-470-0704-8_10

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