Gilberto Castellani

University of Rome I

Piazzale Aldo Moro 5

Roma, Rome 00185

Italy

SCHOLARLY PAPERS

3

DOWNLOADS

594

SSRN CITATIONS

0

CROSSREF CITATIONS

3

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" and University of Naples Parthenope - Department of Management Studies and Quantitative Methods
Downloads 340 (96,033)
Citation 2

Abstract:

Loading...

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 148 (214,122)
Citation 11

Abstract:

Loading...

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 106 (277,232)

Abstract:

Loading...

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