Gilberto Castellani

Sapienza University of Rome

Piazzale Aldo Moro 5

Roma, Rome 00185

Italy

  • Sapienza University of Rome

SCHOLARLY PAPERS

3

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3

Scholarly Papers (3)

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1.

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

Number of pages: 25 Posted: 03 Jan 2019
Gilberto Castellani, Ugo Fiore, Zelda Marino, Luca Passalacqua, Francesca Perla, Salvatore Scognamiglio and Paolo Zanetti
Sapienza University of Rome, 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" and University of Naples Parthenope - Department of Management Studies and Quantitative Methods
Downloads 706 (61,707)
Citation 6

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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
Gilberto Castellani, Massimo de Felice, Franco Moriconi and Claudio Pacati
Sapienza University of Rome, Sapienza University of Rome, University of Perugia - Department of Economics and University of Siena - Department of Economics and Statistics
Downloads 292 (174,107)
Citation 11

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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
Sapienza University of Rome, University of Perugia - Department of Economics and Sapienza University of Rome
Downloads 200 (251,634)

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