Emilia Di Lorenzo

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Acknowledgments This thesis has been submitted to the University " Federico II " of Napoli in fulfilment of the requirements for the Doctoral degree in Matematica per l'Analisi Economica e la Finanza at the Department of Mathematics and Statistics. to thank Steven for this enjoyable and productive visit. I would like also to thank the Board of the Doctoral(More)
The paper focuses on the financial variable for the provision evaluation and analyses the sensitivity of the fair valuation to interest rate parameters. In a determinist scenario the evaluation risk is studied in a market value perspective and its impact is measured through the sensitivity of the net value of the intermediation portfolio to a modification(More)
The paper investigates risk management processes in life insurance, in a perspective consistent with the framework of Solvency II. The paper starts with the breakdown of the business dynamics. This analysis provides for a complete depiction of risk and value driver within life business. The corresponding map is then put into the solvability context, in(More)
The problem of evaluating the solvency of insurance companies is tackled through the use of parametric and non-parametric statistical models, constructed using respectively multivariate methodologies and decision-tree techniques. First we intend to present the theoretical framework of both methodologies describing them within a Bayesian context, then two(More)
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