The implementation of the Own Risk and Solvency Assessment is a critical issue raised by Pillar II of Solvency II framework. In particular the Overall Solvency Needs calculation left the Insurance companies to define an optimal entity-specific solvency constraint on a multi-year time horizon. In...

Within the Own Risk and Solvency Assessment framework, the Solvency II directive introduces the need for insurance undertakings to have efficient tools enabling the companies to assess the continuous compliance with regulatory solvency requirements. Because of the great operational complexity...

The Choquet integral w.r.t. a capacity can be seen in the finite case as a parsimonious linear interpolator between vertices of $[0,1]^n$. We take this basic fact as a starting point to define the Choquet integral in a very general way, using the geometric realization of lattices and their...

In this paper, we consider a simple kinetic model of economy involving both exchanges between agents and speculative trading. We show that the kinetic model admits non trivial quasi-stationary states with power law tails of Pareto type. In order to do this we consider a suitable asymptotic limit...