92 R. Cocozza et al.
the financial dynamics, the first extension could be the inclusion of a demographic
component and the modelling of the surplus dynamic by means also of stochastic
demographic rates, in order to incorporate, where appropriate, the systematic and
unsystematic components. Another extension could be the evaluation at a whole se-
ries of critical confidence intervals in order to end up with a double-entry DS table
where the definition of its levels can be graduated by means of different levels of
probability, in order to control how the actual distributed amount can influence the
future performance of the portfolio.
References
- Cocozza, R., Di Lorenzo, E.: Solvency of life insurance companies: methodological issues.
J. Actuarial Practice 13, 81–101 (2006) - Cocozza, R., Orlando, A.: Decision making in structured finance: a case of risk adjusted
performance evaluation. In: Proceedings of the IV International Conference on Computa-
tional and Management Sciences, 20–22 April 2007, http://www.cms2007.unige.ch/ - Cocozza, R., Di Lorenzo, E., Sibillo, S.: The current value of the mathematical provision:
a financial risk prospect. Prob. Persp. Man. 5 (2007) - Lisenko, N., Parker, G.: Stochastic analysis of life insurance surplus. Proceedings of “AFIR
Colloquium”, Stockholm 2007