1,721,111 research outputs found
Pricing di opzioni esotiche: rassegna teorica e strumenti informatici per il prezzamento
Full text linkPricing di opzioni esotiche: rassegna teorica e strumenti informatici per il prezzamento
No full textLe negoziazioni in strumenti derivati hanno conosciuto, negli
ultimi anni, tassi di crescita molto elevati, sia a livello nazionale
che internazionale. Essi vengono scambiati sia in mercati ufficiali,
exchange traded, che ne standardizzano le caratteristiche e ne
regolamentano la compravendita, sia in mercati cosiddetti over-
the-counter (OTC), che non presentano una specifica
regolamentazione né quotazioni ufficiali e consentono la
costruzione di prodotti finanziari con caratteristiche calibrate sui
fabbisogni della clientela
Basis risk in solvency capital requirements for longevity risk
Full text linkThe international guidelines of Solvency II prescribe a regulation which should help insurance industry mitigating undesired outcomes arising from the exposure to the systemic risks. In particular, the rules on Solvency Capital Requirements recommend to separately compute them for each risk factor, where for the longevity risk sub-module the Solvency Capital Requirement results by the change in net asset value (NAV) due to a longevity shock which actually assumes a permanent reduction of the mortality rates for all ages by 20%. Nevertheless, the data based on statistics coming from various national longevity indices differ from those deriving from the regulatory assessment of solvency, determining significant underestimations or overestimations: A basis risk comes from a questionable adequacy of the longevity shock. This paper contributes to the discussion on Solvency Capital Requirements by focusing on the main features of the potential basis risk which determines the inappropriate capitalization of insurance companies. Furthermore we analyze the sensitivities of the basis risk to different ages for better assessing the actual risk of insurance portfolios
Il pricing delle obbligazioni strutturate reverse floater: profili critici ed analisi del rischio di modello
No full textFurther Results about Calibration of Longevity Risk for the Insurance Business
Full text linkIn life insurance business, longevity risk, i.e. the risk that the insured population lives longer than
the expected, represents the heart of the risk assessment, having significant impact in terms of
solvency capital requirements (SCRs) needed to front the firm obligations. The credit crisis has
shown that systemic risk as longevity risk is relevant and that for many insurers it is actually the
dominant risk. With the adoption of the Solvency II directive, a new area for insurance in terms of
solvency regulation has been opened up. The international guidelines prescribe a market consistent valuation of balance sheets, where the solvency capital requirements to be set aside are calculated according to a modular structure. By mapping the main risk affecting the insurance portfolio, the capital amount able to cover the liabilities corresponds to each measured risk. In Solvency II, the longevity risk is included into underwriting risk module. In particular, the rules propose that companies use a standard model for measuring the SCRs. Nevertheless, the legislation
under consideration allows designing tailor-made internal models. As regards the longevity risk
assessment, the regulatory standard model leads to noteworthy inconsistencies. In this paper, we
propose a stochastic volatility model combined with a so-called coherent risk measure as the expected shortfall for measuring the SCRs according to more realistic assumptions on future evolution of longevity trend. Finally empirical evidence is provided
Il pricing delle obbligazioni strutturate reverse floater: profili critici ed analisi del rischio di modello
No full textBacktesting the Solvency Capital Requirement for Longevity risk.
No full textPurpose - The determination of the capital requirements represents the first Pillar of Solvency II. The main purpose of the new solvency regulation is to obtain more realistic modelling and assessment of the different risks insurance companies are exposed to in a balance–sheet perspective. In this context the Solvency Capital Requiremennt standard calculation is based on a modular approach where the overall risk is split into several modules and submodules. In Solvency II standard formula longevity risk is explicitly considered.
Design/methodology/approach - It suggests a multiperiod approach for correctly calculating the Solvency Capital Requirement in a risk management perspective, in the sense that the amount of capital necessary to meet company future obligations year by year till the contract will be in force has to be assessed. The backtesting approach for measuring the consistency of SCR calculations for life insurance policies represents the main contribution of the research. In fact this kind of model performance is generally specified in the VaR validation analysis. in this paper, this approach is considered for testing the ex post performance of SCR calculation methodology.
Findings - The backtesting framework is able to measure from time to time if the insurer has allocate more or less capital to support his in-force business, with adverse effects on free reserves and profitability or solvency.
Research limitations/implications - In the Solvency II context, the insurance companies put aside the capital as regards the different kind of risk recognised by the QIS5. In particular, in the regulation framework , SCR is intended to be "the amount of capital that an insurer needs in order to remain viable in the market and maintain its default probability below a certain level"7. Nevertheless the balance-sheet approach prescribed by the new international guidelines could not adequately catch the effective impact of the longevity risk in the risk management valuations, given its specificity and incidence on long term portfolios. In this paper a multiperiod approach for correctly calculating the SCRs is proposed. The multiperiod perspective is in the sense that the amount of capital necessary to meet company future obligations year by year till the contract will be in force has to be assessed. In this setting, the aim of the research is to set out a backtesting framework for measuring the consistency of Solvency Capital Requirement calculation methodologies for life insurance portfolios. In this order of ideas, it is relevant to represent accurately the future mortality trend, as well as to consider the "right" tools to test the effectiveness of the formula or model which it is implemented to calculate the SCR. A backtesting framework to evaluate the ex post performance of SCRlong calculation methodology is set out.
Practical implications - Indeed the forecasting performance is an important aspect to assess the effectiveness of the model, a poor performance corresponding to a biased allocation of capital.
Originality/value - The backtesting approach for measuring the consistency of SCR calculations for life insurance policies represents the main contribution of the research. In fact this kind of model performance is generally specified in the VaR validation analysis. Recently Dowd et al. 2010 have proposed it for verifying the goodness of mortality models and now, in this paper, this approach is considered for testing the ex post performance of SCR calculation methodolog
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