1,721,328 research outputs found
The Current Value of the Mathematical Provision: A Financial Risk Prospect
Full text linkThe paper addresses the question of the calculation of the current value of the mathematical provision
and moulds it in a deterministic and stochastic scenario, using a proper term structure of interest
rates estimated by means of a Cox-Ingersoll-Ross model. It provides a complete and original
year-by-year evaluation model for the business performance, and a closed solution for the current
evaluation of the reserve, together with a comprehensive insight into the dynamics of the reserve
connected to the selection of a defined term structure of interest rates. Moreover, the calculation of
the VaR of the mathematical provision is prospected as risk measure useful to appreciate also the
evaluation rate risk. Future research prospects concern the selection of the stochastic process used
to describe the dynamics of the interest rates and the possible managerial and regulatory application
of a VaR measure. The modelling has been applied, as an exemplification, to a life annuity
portfolio but it can be easily replicated for any kind of policy and any kind of portfolios even non
homogeneous
Enrichetta di Lorenzo e Carlo Pisacane: una storia d'amore e rivoluzione
No full textAttraverso le vicende biografiche di Enrichetta di Lorenzo e Carlo Pisacane è possibile individuare l'intreccio di cultura romantica e patriottismo tipico di molti esponenti della loro generazione
Methodological problems in solvency assessment of an insurance company
No full textThe recent wide development and changes in insurance markets highlighted the necessity
to map out the solvency analysis in a more complete framework. The approach we present in the
paper comes up with an integrated analysis of the risk profile of an insurance business, taking into
account the actual European directives about solvency assessment. The aim of the paper is to construct
a methodology apt to incorporate properly the effect of the risk sources in calculating
mathematical provisions related to a portfolio of insurance policies
A multi-model ensemble view of winter heat flux dynamics and the dipole mode in the Mediterranean Sea
No full textChanges in surface heat fluxes affect several climate processes controlling the Mediterranean climate. These include the winter formation of deep waters, which is the primary driver of the Mediterranean Sea overturning circulation. Previous studies that characterize the spatial and temporal variability of surface heat flux anomalies over the basin reveal the existence of two statistically dominant patterns of variability: a monopole of uniform sign and an east–west dipole of opposite signs. In this work, we use the 12 regional climate model ensemble from the EU-FP6 ENSEMBLES project to diagnose the large-scale atmospheric processes that control the variability of heat fluxes over the Mediterranean Sea from interannual to decadal timescales (here defined as timescales > 6 year). Our findings suggest that while the monopole structure captures variability in the winter-to-winter domain-average net heat flux, the dipole pattern tracks changes in the Mediterranean climate that are connected to the East Atlantic/Western Russia (EA/WR) atmospheric teleconnection pattern. Furthermore, while the monopole exhibits significant differences in the spatial structure across the multi-model ensemble, the dipole pattern is very robust and more clearly identifiable in the anomaly maps of individual years. A heat budget analysis of the dipole pattern reveals that changes in winds associated with the EA/WR pattern exert dominant control through both a direct effect on the latent heat flux (i.e., wind speed) and an indirect effect through specific humidity (e.g., wind advection). A simple reconstruction of the heat flux variability over the deep-water formation regions of the Gulf of Lion and the Aegean Sea reveals that the combination of the monopole and dipole time series explains over 90 % of the heat flux variance in these regions. Given the important role that surface heat flux anomalies play in deep-water formation and the regional climate, improving our knowledge on the dynamics controlling the leading modes of heat flux variability may enhance our predictability of the climate of the Mediterranean area
Life Office Management perspectives by actuarial risk indexes
Full text linkInvestment Management and Financial Innovations, Volume 5, Issue 2, 2008
73
Mariarosaria Coppola (Italy), Valeria D’Amato (Italy), Emilia Di Lorenzo (Italy), Marilena Sibillo (Italy)
Life office management perspectives by actuarial risk indexes
Abstract
The study focuses on the quantitative risk analysis of a pension scheme referred to a portfolio of beneficiaries entering
in the retirement state at the same time. The analysis starts from the retirement time of the contractors and concerns the
dynamic behavior of the financial periodic portfolio fund cut down year by year by the payments due to the survivals.
The fund arises from the payment stream consisting in constant payments due at the beginning of each year in case of
life of the pensioner in the deferment period. It gushes that the two forces operating in opposite directions from the
retirement age on, in and out of the portfolio, are the increasing effect due to the interest maturing on the accumulated
fund and in the outflow represented by the benefit payments due to the survival. The two processes are compared in a
scenario in which the financial risk and the demographic risk are considered. Posing the time of valuation coinciding
with the contract entry time, we consider deterministically unknown the dynamic of the future behavior of both the
interest rates maturing on the fund and of the mortality. The mortality trend betterment in very long periods, as in the
pension cases happens, leads to the need of a careful consideration of the systematic deviations of the number of deaths
from the expected values. As known, if the risk arising from the accidental deviations of mortality can be hedged by
pooling strategies, such that it is possible to neglect this risk source in the case of sufficiently large portfolios, the risk
arising from the longevity phenomenon cannot be avoided without making dangerous mistakes consisting in
underestimation of future obligations. The scenario in which the study is framed consists in stochastic hypotheses on
the evolution in time of the interest rates of return on investment of the fund and in a more complex description of the
mortality trend. The aim of the paper is, in particular, to study the effects of the change in the mortality description on
the fund portfolio values. The survival forecasting made at the time of the contract issue, even if considered with a
certain degree of projection, isn’t likely to be the same we can forecast, for example, at the time of the retirement age.
The choice of the “right” mortality table means the choice of the “right” projection level to attribute to the mortality
trend. Risk filters and opportune indexes are considered and illustrate
Meridional Modes and Increasing Pacific Decadal Variability Under Anthropogenic Forcing
Full text linkPacific decadal variability has strong impacts on the statistics of weather, atmosphere extremes, droughts, hurricanes, marine heatwaves, and marine ecosystems. Sea surface temperature (SST) observations show that the variance of the El Niño-like decadal variability has increased by ~30% (1920–2015) with a stronger coupling between the major Pacific climate modes. Although we cannot attribute these trends to global climate change, the examination of 30 members of the Community Earth System Model Large Ensemble (LENS) forced with the RCP8.5 radiative forcing scenario (1920–2100) suggests that significant anthropogenic trends in Pacific decadal variance will emerge by 2020 in response to a more energetic North Pacific Meridional Mode (PMM)—a well-known El Niño precursor. The PMM is a key mechanism for energizing and coupling tropical and extratropical decadal variability. In the LENS, the increase in PMM variance is consistent with an intensification of the winds-evaporation-SST thermodynamic feedback that results from a warmer mean climate
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