Massimo de Felice

Sapienza University of Rome

Piazzale Aldo Moro 5

Roma, Rome 00185

Italy

  • Sapienza University of Rome

SCHOLARLY PAPERS

4

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618

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0

CROSSREF CITATIONS

2

Scholarly Papers (4)

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1.

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 293 (174,041)
Citation 11

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

2.

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 202 (250,096)

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

3.

Incorporating Explicit General Inflation in the Estimation of the Non-Life Claims Reserve and the Related Risk

Number of pages: 23 Posted: 11 Mar 2023 Last Revised: 11 Apr 2023
Massimo de Felice and Franco Moriconi
Sapienza University of Rome and University of Perugia - Department of Economics
Downloads 97 (446,805)

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Claims reserving, general inflation, claims inflation, stochastic chainladder, reserve risk, nominal interest rates, real interest rates

4.

Stochastic Chain-Ladder Reserving with Modeled General Inflation

Number of pages: 36 Posted: 26 Jul 2023
Massimo de Felice and Franco Moriconi
Sapienza University of Rome and University of Perugia - Department of Economics
Downloads 26 (802,753)

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Claims reserving, general inflation, claims inflation, stochastic chainladder, reserve risk, nominal interest rates, real interest rates.