Methodological problems in solvency assessment of an insurance company

Rosa Cocozza, Emilia Di Lorenzo and Marilena Sibillo

MPRA Paper from University Library of Munich, Germany

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.

Keywords: Life insurance; financial risk; demographic risk; capital adequacy; reserves; conditional random processes (search for similar items in EconPapers)
JEL-codes: G13 G22 G28 (search for similar items in EconPapers)
Date: 2004
References: View references in EconPapers View complete reference list from CitEc
Citations:

Published in Investment Management and Financial Innovations 2.1(2004): pp. 95-102

Downloads: (external link)
https://mpra.ub.uni-muenchen.de/27980/1/MPRA_paper_27980.pdf original version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:27980

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().