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Chapter and Conference Paper
Machine Learning in Nested Simulations Under Actuarial Uncertainty
The Solvency II directive states that in order to be solvent the insurance undertakings must to hold eligible own funds covering the Solvency Capital Requirement (SCR), which is defined as the Value-at-Risk of...
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Article
Relevant applications of Monte Carlo simulation in Solvency II
The definition of solvency for insurance companies, within the European Union, is currently being revised as part of Solvency II Directive. The new definition induces revolutionary changes in the logic of cont...
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Chapter and Conference Paper
Claims Reserving in Non-life Insurance: A Fully Bayesian Model
Stochastic claims reserving has been developed mostly using models defined in the framework of the classical statistics. The recently proposed Time Series Chain Ladder (TSCL) is one of these models. In order t...
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Chapter and Conference Paper
Applications of Distributed and Parallel Computing in the Solvency II Framework: The DISAR System
We address computational problems deriving from Solvency II compliance in the context of Italian life insurance. Solvency II requires insurance undertakings to perform market consistent valuation of technical ...
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Article
La valutazione del Prezzo di Opzioni Su Titoli a Reddito Fisso in un Modello Stocastico di Equilibrio
Viene reimpostato lo schema di valutazione delle opzioni considerando il tasso d'interesse come variabile di base del mercato e studiando il problema di valutazione del prezzo in un modello stocastico di equil...
