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A liability adequacy test for mathematical provision. (English) Zbl 1137.91491

Perna, Cira (ed.) et al., Mathematical and statistical methods in insurance and finance. Papers presented at the MAF2006 conference, Salerno, Italy, October 11–13, 2006. Milan: Springer (ISBN 978-88-470-0703-1/hbk). 75-81 (2008).
Summary: 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.
For the entire collection see [Zbl 1124.91002].

MSC:

91B30 Risk theory, insurance (MSC2010)
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