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)

Coppola, Mariarosaria; D’Amato, Valeria

Basis risk in Solvency Capital Requirements for longevity risk (Journal Article)

Investment Management and Financial Innovations, 11 (3), pp. 53-57, 2014.

(Abstract | Links | BibTeX | Tags: Basis risk, Longevity Risk, net asset value, Solvency Capital Requirement)

Coppola, Mariarosaria; D’Amato, Valeria

The Solvency Capital Requirement Management for an Insurance Company (Book Chapter)

Perna, Cira; Sibillo, Marilena (Ed.): Mathematical and Statistical Methods for Actuarial Sciences and Finance, pp. 65-68, Springer International Publishing, 2014, ISBN: 978-3-319-05013-3.

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

2013

Coppola, Mariarosaria; D’Amato, Valeria; Levantesi, Susanna; Menzietti, Massimiliano; Russolillo, Maria

Longevity risk hedging and basis risk (Proceeding)

2013.

(Abstract | BibTeX | Tags: Basis risk, FDM, functional demographic model, Longevity Risk)

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; Levantesi, Susanna; Menzietti, Massimiliano; Russolillo, Maria

Managing basis risk in longevity hedging strategies (Proceeding)

2012.

(Abstract | BibTeX | Tags: Basis risk, FDM, Longevity Risk)

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)

2011

Coppola, Mariarosaria; Lorenzo, Emilia Di; Orlando, Albina; Politano, Massimiliano

Longevity risk: a stochastic dynamic approach (Proceeding)

2011.

(Abstract | BibTeX | Tags: CIR model, Longevity Risk, stochastic methods)

Coppola, Mariarosaria; Lorenzo, Emilia Di; Orlando, Albina; Marilena Sibillo,

Solvency analysis and demographic risk measures (Journal Article)

The Journal of Risk Finance, 12 (3), pp. 252 - 269, 2011, ISSN: 1526-5943.

(Abstract | Links | BibTeX | Tags: Financial risk, Insurance, Longevity Risk, Model risk, Quantile surplus, Risk index, Ruin probability, Stochastic surplus)