The VaR of the mathematical provision: critical issues

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Emilia Di Lorenzo~Rosa Cocozza ~Albina Orlando ~Marilena Sibillo , Italie
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Summary:
The paper addresses the original question of calculation and application of the Value at Risk of the mathematical provision in a fair valuation context. The VaR calculation poses both methodological and numerical problems. The first issue concerns the choice of the VaR models and the number of risk factors, while the second one regards the calculation technique. The paper provides for an insight into the determinants of the VaR of the mathematical provision and for a calculation performed by using a simulation approach. As far as the applications are concerned, managerial, regulatory and solvability implementations are explored and discussed.
 
Date: 2 June - Time: 8:30 to 10:00 - Room: 251
Theme: 1.B. Solvency measurements and asset-liability management