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Interest rate movements in the life insurance fair valuation context
Cocozza, Rosa; Di Lorenzo, Emilia; Orlando, Albina; … - In: Liquidity, interest rates and banking, (pp. 95-110). 2009
Persistent link: https://www.econbiz.de/10008654515
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Solvency analysis and demographic risk measures
Coppola, Mariarosaria; Di Lorenzo, Emilia; Orlando, Albina - In: Journal of risk finance : the convergence of financial … 12 (2011) 4, pp. 252-269
Persistent link: https://www.econbiz.de/10009304164
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The uncertainty risk driver within a life annuity context : an overvierw
Di Lorenzo, Emilia; Sibillo, Marilena - In: Problems and perspectives in management : PPM ; … 13 (2015) 3, pp. 18-27
Persistent link: https://www.econbiz.de/10011502227
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Measuring risk-adjusted performance and product attractiveness of a life annuity portfolio
Di Lorenzo, Emilia; Orlando, Albina; Sibillo, Marilena - In: Journal of mathematical finance 7 (2017) 1, pp. 83-101
Persistent link: https://www.econbiz.de/10011658441
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The value at risk of the mathematical provision : critical issues
Cocozza, Rosa; Lorenzo, Emilia di; Orlando, Albina; … - In: Journal of risk management in financial institutions 1 (2007/08) 3, pp. 311-319
Persistent link: https://www.econbiz.de/10003741762
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A liability adequacy test for mathematical provision
Cocozza, Rosa; Lorenzo, Emilia Di; Orlando, Abina; … - In: Mathematical and statistical methods in insurance and …, (pp. 75-81). 2008
Persistent link: https://www.econbiz.de/10003838195
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Risk Profiles of Life Insurance Business : A Combined Approach
Cocozza, Rosa - 2011
Solvency appraising is analyzed by means of an appropriate deductive methodology, pointing out the connection to the time dynamic of the business. This research line is framed into a combined approach to solvency measuring, full of suggestions from a regulatory perspective. The model is...
Persistent link: https://www.econbiz.de/10013131654
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A Dynamic Solvency Approach for Life Insurance
Cocozza, Rosa - 2011
The paper investigates risk management processes in life insurance, in a perspective consistent with the framework of Solvency II. The paper starts with the breakdown of the business dynamics. This analysis provides for a complete depiction of risk and value driver within life business. The...
Persistent link: https://www.econbiz.de/10013131693
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A Dynamic Solvency Approach for Life Insurance
Cocozza, Rosa - 2011
The paper investigates risk management processes in life insurance, in a perspective consistent with the framework of Solvency II. The paper starts with the breakdown of the business dynamics. This analysis provides for a complete depiction of risk and value driver within life business. The...
Persistent link: https://www.econbiz.de/10013131758
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A Dynamic Solvency Approach for Life Insurance
Cocozza, Rosa; Di Lorenzo, Emilia - Volkswirtschaftliche Fakultät, … - 2007
The paper investigates risk management processes in life insurance, in a perspective consistent with the framework of Solvency II. The paper starts with the breakdown of the business dynamics. This analysis provides for a complete depiction of risk and value driver within life business. The...
Persistent link: https://www.econbiz.de/10008794672