2 papers
q-fin.RM2023
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…
q-fin.RM2021
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…