Zobrazeno 1 - 10
of 36
pro vyhledávání: '"Massimo Costabile"'
Autor:
Massimo Costabile, Fabio Viviano
Publikováno v:
Risks, Vol 9, Iss 10, p 177 (2021)
This paper addresses the problem of approximating the future value distribution of a large and heterogeneous life insurance portfolio which would play a relevant role, for instance, for solvency capital requirement valuations. Based on a metamodel, w
Externí odkaz:
https://doaj.org/article/203e2af8fd754df9ba421dc75871647d
Autor:
Lorenzo Cerboni Baiardi, Massimo Costabile, Domenico De Giovanni, Fabio Lamantia, Arturo Leccadito, Ivar Massabó, Massimiliano Menzietti, Marco Pirra, Emilio Russo, Alessandro Staino
Publikováno v:
Risks, Vol 8, Iss 3, p 71 (2020)
This paper provides an econometric analysis aiming at evidencing the dynamics showed by the S&P 500 market index during the period of 4 January 2001–28 April 2020, in which the subprime crisis has taken place and the COVID-19 crisis has begun. In p
Externí odkaz:
https://doaj.org/article/6c729b93844c43c591eb673d349ccd2e
Autor:
Massimo Costabile, Fabio Viviano
Publikováno v:
Risks, Vol 8, Iss 2, p 48 (2020)
In this paper, we test the efficiency of least-squares Monte Carlo method to estimate capital requirements in life insurance. We choose a simplified Gaussian evaluation framework where closed-form formulas are available and allow us to obtain solid b
Externí odkaz:
https://doaj.org/article/d343296ac57148a89c5c2f2c7f0c5b0f
We present an optimization problem to determine the minimum capital requirement for a non-life insurance company. The optimization problem imposes a non-positive Conditional Value-at-Risk (CVaR) of the insurer's net loss and a portfolio performance c
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::853a7fd09fe299ade4ff576d2f81deb9
https://doi.org/10.21203/rs.3.rs-2069821/v1
https://doi.org/10.21203/rs.3.rs-2069821/v1
Autor:
Massimo Costabile
Publikováno v:
The Journal of Derivatives. 28:123-139
This article considers the problem of computing risk measures in a life insurance context by means of a lattice-based approach. The main advantage of the proposed model relies on the fact that the dynamics of the risk factors may be approximated by a
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::89466533bb8e804e983b75873764f095
https://doi.org/10.3905/jod.2020.1.117
https://doi.org/10.3905/jod.2020.1.117
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::acaed6b8f6677416b54b6f26ec77234c
https://doi.org/10.2139/ssrn.4232807
https://doi.org/10.2139/ssrn.4232807
Publikováno v:
The European Journal of Finance. 26:238-257
We propose an evaluation framework for variable annuities with guaranteed minimum withdrawal benefits aimed at considering a more realistic context where the policy-holder takes the decisions. In p...
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::5f858ecdd5a381f61adfa4657c453fa6
https://doi.org/10.1080/1351847x.2019.1618362
https://doi.org/10.1080/1351847x.2019.1618362
Publikováno v:
Mathematical and Statistical Methods for Actuarial Sciences and Finance ISBN: 9783030789640
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::e834a81eb58e39e1109a8afb8e29d62f
https://doi.org/10.1007/978-3-030-78965-7_26
https://doi.org/10.1007/978-3-030-78965-7_26
Autor:
Massimo Costabile
Publikováno v:
The Journal of Derivatives. 26:86-94
The problem of computing risk measures of life insurance policies is complicated by the fact that two different probability measures, the real-world probability measure along the risk horizon and the risk-neutral one along the remaining time interval
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::106dba8a95ba82930272b0b2d4f2b624
https://doi.org/10.3905/jod.2018.26.2.086
https://doi.org/10.3905/jod.2018.26.2.086
Autor:
Fabio Lamantia, Massimiliano Menzietti, Emilio Russo, Ivar Massabò, Massimo Costabile, Marco Pirra, Domenico De Giovanni, Lorenzo Cerboni Baiardi, Arturo Leccadito, Alessandro Staino
Publikováno v:
Risks, Vol 8, Iss 71, p 71 (2020)
This paper provides an econometric analysis aiming at evidencing the dynamics showed by the S&P 500 market index during the period of 4 January 2001–28 April 2020, in which the subprime crisis has taken place and the COVID-19 crisis has begun. In p
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::70126a5027cb66048fafe75c13a2ff60
https://doi.org/10.3390/risks8030071
https://doi.org/10.3390/risks8030071