Gilberto Castellani

University of Rome I

Piazzale Aldo Moro 5

Roma, Rome 00185

Italy

SCHOLARLY PAPERS

3

DOWNLOADS

446

SSRN CITATIONS

0

CROSSREF CITATIONS

2

Scholarly Papers (3)

1.

An Investigation of Machine Learning Approaches in the Solvency II Valuation Framework

Number of pages: 25 Posted: 03 Jan 2019
University of Rome I, University of Naples Parthenope - Department of Management Studies and Quantitative Methods, University of Naples Parthenope - Department of Management Studies and Quantitative Methods, La Sapienza, University of Rome, University of Naples Parthenope - Department of Management Studies and Quantitative Methods, University of naples "Parthenope" Department of Economic and Legal Studies and University of Naples Parthenope - Department of Management Studies and Quantitative Methods
Downloads 241 (127,041)

Abstract:

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Solvency II, Nested Monte Carlo, With-Profit Insurance Policies, Least Squares Monte Carlo, Support Vector Machines, Deep Learning

2.

Embedded Value in Life Insurance

Number of pages: 88 Posted: 13 Apr 2016
University of Rome I, University of Rome I, University of Perugia - Department of Economics and University of Siena - Department of Economics and Statistics
Downloads 125 (226,281)
Citation 10

Abstract:

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embedded value, value of business in force, market consistent valuation, profit-sharing

3.

An Optimality Approach to the Application Ratio for the Matching Adjustment in the Solvency II Regime

Alef Technical Report – 12/03
Number of pages: 19 Posted: 21 Feb 2018
Gilberto Castellani, Franco Moriconi and Massimo de Felice
University of Rome I, University of Perugia - Department of Economics and University of Rome I
Downloads 80 (305,462)

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Matching Adjustment, Asset-Liability Management, Optimal Matching, Management Actions, Credit Risk