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A Liability Adequacy Test for Mathematical Provision

In: Mathematical and Statistical Methods in Insurance and Finance

Author

Listed:
  • Rosa Cocozza

    (University of Naples)

  • Emilia Lorenzo

    (University of Naples)

  • Abina Orlando

    (Consiglio Nazionale delle Ricerche)

  • Marilena Sibillo

    (University of Salerno)

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.

Suggested Citation

  • Rosa Cocozza & Emilia Lorenzo & Abina Orlando & Marilena Sibillo, 2008. "A Liability Adequacy Test for Mathematical Provision," Springer Books, in: Cira Perna & Marilena Sibillo (ed.), Mathematical and Statistical Methods in Insurance and Finance, pages 75-81, Springer.
    • Handle: RePEc:spr:sprchp:978-88-470-0704-8_10
    DOI: 10.1007/978-88-470-0704-8_10
    as

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