109 citations · 137 across the 7 of their papers we have counts for
3 papers · 1 filter
A cohort-based Partial Internal Model for demographic risk
Francesco Della Corte, Gian Paolo Clemente, Nino Savelli
We investigate the quantification of demographic risk in a framework consistent with the market-consistent valuation imposed by Solvency II. We provide compact formulas for evaluat…
A bridge between Local GAAP and Solvency II frameworks to quantify Capital Requirement for demographic risk
Gian Paolo Clemente, Francesco Della Corte, Nino Savelli
The paper provides a stochastic model useful for assessing the capital requirement for demographic risk. The model extends to the market consistent context classical methodologies…
Assessing Systemic Risk in the Insurance Sector via Network Theory
Gian Paolo Clemente, Alessandra Cornaro
We provide a framework for detecting relevant insurance companies in a systemic risk perspective. Among the alternative methodologies for measuring systemic risk, we propose a comp…