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.
Although the paper is the result of a common study, Section 1 is credited to R. Cocozza and Sections 2 and 3 are credited to E. Di Lorenzo, A. Orlando and M. Sibillo
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Cocozza, R., Di Lorenzo, E., Orlando, A., Sibillo, M. (2008). A Liability Adequacy Test for Mathematical Provision. In: Perna, C., Sibillo, M. (eds) Mathematical and Statistical Methods in Insurance and Finance. Springer, Milano. https://doi.org/10.1007/978-88-470-0704-8_10
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DOI: https://doi.org/10.1007/978-88-470-0704-8_10
Publisher Name: Springer, Milano
Print ISBN: 978-88-470-0703-1
Online ISBN: 978-88-470-0704-8
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