Publications

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2014

Coppola, Mariarosaria; D’Amato, Valeria

Further Results about Calibration of Longevity Risk for the Insurance Business (Journal Article)

Applied Mathematics, 5 (4), 2014.

(Abstract | Links | BibTeX | Tags: Expected Shortfall, Longevity Risk, Longevity Shocks, Solvency Capital Requirement, Solvency II)

2013

Coppola, Mariarosaria; D’Amato, Valeria

The SCR adequacy according to the volatility longevity shocks (Proceeding)

ISAST: International Society for the Advancement of Science and Technology. 1st ed, 2013.

(Abstract | BibTeX | Tags: Longevity Risk, SCRLong, Solvency II)

2012

Coppola, Mariarosaria; D’Amato, Valeria

Backtesting the solvency capital requirement for longevity risk (Journal Article)

The Journal of Risk Finance, 13 (4), pp. 309-319, 2012, ISSN: 1526-5943.

(Abstract | Links | BibTeX | Tags: Backtest, Capital, Finance, Insurance companies, Iterative Lee Carter model, Life annuity portfolio, Life insurance, Longevity Risk, Regulation, Risk analysis, Solvency Capital Requirement, Solvency II)

Coppola, Mariarosaria; Orlando, Albina; Politano, Massimiliano

Capital requirements for aggregate risks in long term living products: A stochastic approach (Book Chapter)

Perna, Cira; Sibillo, Marilena (Ed.): Mathematical and Statistical Methods for Actuarial Sciences and Finance, pp. 115-122, Springer Milan, 2012, ISBN: 978-88-470-2341-3.

(Abstract | Links | BibTeX | Tags: CIR model, internal models, quantile analysis, Solvency Capital Requirement, Solvency II)

2011

Coppola, Mariarosaria; D’Amato, Valeria

Tools for testing the solvency capital requirement for Life Insurance (Proceeding)

2011.

(Abstract | BibTeX | Tags: Life insurance, SCR, Solvency Capital Requirement, Solvency II)