Giorgia Esposito

University of Rome I - Department of Actuarial and Financial Sciences

Piazzale Aldo Moro 5

Roma, Rome 00185

Italy

SCHOLARLY PAPERS

2

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461

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0

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1

Scholarly Papers (2)

1.

Modelling the Fair Value of Annuities Contracts: The Impact of Interest Rate Risk and Mortality Risk

Number of pages: 22 Posted: 11 Jun 2007
Laura Ballotta, Giorgia Esposito and Steven Haberman
Sir John Cass Business School - City, University of London, University of Rome I - Department of Actuarial and Financial Sciences and City University London - Faculty of Actuarial Science
Downloads 461 (64,664)
Citation 1

Abstract:

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annuity contracts, fair value, market value margin, stochastic mortality

2.

The IASB Insurance Project for Life Insurance Contracts: Impact on Reserving Methods and Solvency Requirements

Insurance: Mathematics and Economics, Vol. 39, No. 3, 2006
Posted: 03 Nov 2005 Last Revised: 24 Aug 2014
Laura Ballotta, Giorgia Esposito and Steven Haberman
Sir John Cass Business School - City, University of London, University of Rome I - Department of Actuarial and Financial Sciences and City University London - Faculty of Actuarial Science

Abstract:

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Black-Scholes option pricing formula, fair value, L'evy processes, mathematical reserves, participating contracts, shortfall probability, solvency requirements