Ambrogio Lorenzetti, Effetti del Buon Governo, 1337-40, Palazzo Pubblico, Siena

Alef - Advanced Laboratory Economics and Finance

Origins, activities, references


A laboratory

A laboratory for financial economics, Alef produces solutions to the financial problems of public and private firms, banks and insurance companies.

It is a partner on technological solutions of Oracle.


The origins

Alef was started in 1992, with a course given in Pisa, at the Scuola Normale Superiore, in the framework of a high level educational project.
It was founded by Gilberto Castellani, Massimo De Felice, Franco Moriconi, Carlo Mottura.
The first president was Carlo Santacroce.


The project

Alef's project is based on research experience, algorithm production (in software form), university courses teaching and consultancy activities of its members, at national and international level; it responds to the indication of control and supervision Authority over the companies (financial, banks and insurance companies) and on the financial markets, which advocate the establishment of a mathematical and probabilistic culture in the areas of traditionally considered to be part of the legal, institutional, accounting and management culture.


The working framework

Alef provides consultancy and produces dedicated solutions for

Alef certifies

Alef has produced the computer system "Insurance Data System - calculation system for the government of the insurance company".


The working style

The working style integrates theory, search for solutions and construction of solving technologies (routines, computations systems); The implementation methods aim at rooting solutions and technologies in the culture and operational practice of companies: Therefore, the solutions are accompanied by training itineraries for the managers of the solution technology and for the users of the results.


Work organisation

Alef works with a group of 65 professionals; it works by organizing groups of specialists. The activities are coordinated by Giuseppe Casarano, Gilberto Castellani, Massimo De Felice, Franco Moriconi, Carlo Mottura and Claudio Pacati.

  • Giuseppe Casarano is responsible for the IT and technology sector
  • Gilberto Castellani is full professor at the "Sapienza" University of Rome, he teaches Mathematical models for financial markets and risk theory
  • Massimo De Felice is an actuary, full professor at the "Sapienza" University of Rome, teaches Financial Mathematics and Evaluation and Control of Insurance Companies
  • Franco Moriconi is a full professor at the University of Perugia, and teaches mathematical models for financial markets
  • Carlo Mottura is an auditor, full professor at the University of Roma Tre, and teaches Financial Mathematics
  • Claudio Pacati is a full professor at the University of Siena, and teaches Financial Mathematics
  • The activities carried out and in progress


    Production and rooting of computer systems and internal models

    Alef produced


    Provision of and assistance with the use of internal Solvency II models


    Consultancy

    In compliance with ISVAP circulars 451 and 551,Alef has assisted CNP Unicredit Vita, the Fondiaria-SAI Group, the Reale Mutua Group and Poste Vita in the activities of monitoring the prices of index-linked policies.

    Alef has carried out and continues to carry out activities in support of the risk management function, as defined in Circular 577 and then in ISVAP Regulation 20 (IVASS)

    .

    From 1998 to 2000 Alef assisted Isveimer Liquidation in the liquidation of the internal Fip in the framework of the "Banco Napoli law"

    .

    From 2003 to 2005 Alef assisted the production of the Financial Management Report of the Pegaso Pension Fund, for the measurement of value, yield and risk in support of the activities of the Board of Directors related to the financial management of the fund.

    From 2005 to 2008 Alef measured counterparty risk on the portfolio of Eurizon's index-linked policies.

    From 2008 to 2010 Alef carried out the measurement and control of the risks of the real estate funds of Serenissima Sgr, as part of the activities of the Risk management function.

    Alef has acted as a consultant for Alleanza Assicurazioni, AMICE, ANIA, Assicurazioni Internazionali di Previdenza, Banca del Piemonte, Banca d'Italia, Banca di Roma, Cassa depositi e prestiti, Cisalpina Previdenza, Darag, Eurizon, Fondiaria Assicurazioni, Generali Asset Management, Gruppo Zurigo, HSBC Bank, Ibm-Semea, IMI, INA, INASgr, Isveimer, Itainvest, Mefop, Munich Re, Omnitel, Poste Vita, RAS, Reale Mutua, RomaVita, Sace, SaceBT, SAI, Sara, Sviluppo Finanziaria, Towers-Perrin Tillinghast, Unipol Gruppo Finanziario.

    From 1992 to 2007 Alef collaborated with the "Centro di Finanza Matematica" of the "Amici della Scuola Normale Superiore di Pisa" Association

    In 1993 and 1994 has been a partner of Ibm Semea in developing dedicated IT solutions for banking.

    Since 2007, it has been providing consultancy services to the Bank of Italy's Asset Management Service on the management of the supplementary pension fund reserve.

    Since 2016 it has been supporting the actuarial function (in the life classes) of the Reale Mutua Group.


    Actuarial control

    Since 2006 Alef has been acting as the appointed actuary for the life classes of the Gruppo Reale Mutua; from 2013 for the life and non-life business of the Cattolica Group. The activities were completed in 2016, following the new regulations.


    Certifications

    Alef


    Assistance with verifications for Solvency II

    In 2007 and 2008 Alef collaborated with ISVAP and ANIA to provide technical support for the calculations

    In 2010 he collaborated with ANIA for QIS5; in 2011 for the evaluation of the results of the stress test promoted by EIOPA.

    In 2013, it assisted the Cattolica Group, the Reale Mutua Group, and the Unipol Group in the implementation of the "impact assessment" promoted by EIOPA

    In 2017 and 2018 he assisted Reale Mutua and Sace BT in the checks of the so-called "Var-asset" and in 2019 in the "Market and credit risk comparative study YE 2018", required by the IVASS


    The corporate culture project

    As a partner of the "Amici della Scuola Normale Superiore di Pisa" Association has developed the software procedures for a series of courses:

    In 1999 Alef has produced an IT educational system named "Fare e formare l'artigianato delle tecnologie". The system

    Alef IT educational technology has been used

    In 2007 was launched the training project "The internal model IDS of Reale Mutua. Features for a corporate risk culture - life and non-life lines of business" in the Reale Mutua Group,

    In 2009 was launched the training project "The internal model of SaceBT - Principles and techniques of Solvency II. Organisation and governance" in the Sace Group

    The projects were set up - in accordance with ISVAP Circular 577 and then Regulation 20 - in the following way: "The internal model of SaceBT - Principles and techniques of Solvency II. in the form of a computer laboratory, for the establishment of the computing system and the effective use of the information.

    At the Bank of Italy

    Nel 2016 è stato tenuto il corso su "Le logiche di Solvency II. I principî, la governance, i processi di elaborazione" presso Sace BT.

    Nel 2017 e nel 2018 sono stati tenuti corsi sul "Modello interno" e sull'"Own Risk and Solvency Assessment" presso Reale Group.

    Nel 2018 sono stati tenuti corsi su "Valutazione delle Best Estimate e misurazione del Solvency Capital Requirement" presso Sara Assicurazioni.

    Nel 2019 sono stati tenuti, presso Reale Group, corsi su "Il modello G2N ++", "Il modello Duffie-Singleton", "Il modello per il rischio lapse", "Il modello per il rischio mortalità", "La tecnica Least Squares Monte Carlo", "Il modello spese", "Il modello per il policyholder behaviour ", "Processi e architettura informatica del sistema IDS".

    In 2016, a course was held on "The logic of Solvency II. The principles, the governance, processing processes" at Sace BT.

    In 2017 and 2018 courses were held on the "Internal Model" and the "Own Risk and Solvency Assessment" at the Reale Group.

    In 2018, courses were held on "Best Estimate Evaluation and Solvency Capital Requirement Measurement" at Sara Assicurazioni.

    In 2019 courses were held at Reale Group on "The G2N ++ model", "The Duffie-Singleton model", "The model for lapse risk", "The model for mortality risk"

    "The Least Squares Monte Carlo technique", "The expenses model", "The model for policyholder behaviour", "Processes and IT architecture of the IDS system"


    Publications

    Some of Alef's technical solutions and activities are attested in the literature

  • De Felice, M., Moriconi, F., Finanza dell'assicurazione sulla vita. Principi per l'asset-liability management e per la misurazione dell'embedded value, Giornale dell'Istituto Italiano degli Attuari, LXV(2002), 1-2
  • Castellani, G., Passalacqua, L., Credit Risk valuation of Italian segregated funds, Risk Italia Conference, Milano, 2003
  • De Felice, M., Moriconi, F., Market consistent valuation in life insurance. Measuring fair value and embedded options, Giornale dell'Istituto Italiano degli Attuari, LXVII(2004), 1-2
  • De Felice, M., Moriconi, F., Market based tools for managing the life insurance company, Astin Bulletin, 35(2005), 1
  • De Felice, M., Moriconi, F., Le garanzie nella politica delle pensioni, in Messori, M., La previdenza complementare in Italia, Bologna, il Mulino, 2006 ISVAP, Reserve Requirements and Capital Requirements in Non-Life Insurance. An analysis of the Italian MTPL insurance market by stochastic claims reserving models, ISVAP, Roma, October 2006 (studio realizzato da M. De Felice, F. Moriconi, S. Cavastracci, L. Matarazzo, S. Pasqualini)
  • Bu?hlmann, H., De Felice, M., Gisler, A., Moriconi, F., Wu?thrich, M.V., Recursive Credibility Formula for Chain Ladder Factors and the Claim Development Result, Astin Bulletin, 2009, 1
  • Castellani, G., De Felice, M., Moriconi, F., Sviluppare il mercato delle rendite vitalizie, Working paper n. 22, Mefop, 2009
  • De Felice, M., Moriconi, F., Una nuova finanza d'impresa. Le imprese di assicurazione, Solvency II, le Autorita` di vigilanza, Bologna, il Mulino, 2011
  • Castellani, G., Passalacqua, L., Applications of Distributed and Parallel Computing in the Solvency II Framework: The DISAR System, in M.R. Guarracino et al. (eds), Euro-Par 2010 Workshops, Berlin, Springer-Verlag, 2011
  • De Felice, M., Moriconi, F., Un'estensione stocastica del modello "Fisher-Lange", Quaderni del Dipartimento di economia, finanza e statistica dell'Università di Perugia, n. 86, marzo 2011
  • Castellani, G., De Felice, M., Moriconi, F., Claims Reserving in Non-Life Insurance: a Fully Bayesian Model, in: Greco, S., et al. (eds.), Information Processing and Management of Uncertainty in Knowledge-Based Systems, Berlin, Springer, 2012
  • D'Agostino, L., Il profit testing "Solvency II compliant" delle polizze sulla vita. Problemi di metodo, di calcolo, di organizzazione, Banca Impresa Società, XXXIII(2014), 1
  • De Felice, M., Moriconi, F., Sulla stima degli Undertaking Specific Parameters e la verifica delle ipotesi, Dipartimento di Economia, Università di Perugia, Working paper No. 9, aprile 2015
  • De Felice, M., Moriconi, F., Le idee di de Finetti sui fondamenti e sull'organizzazione dei processi decisionali, sui computer, e sulla riforma della pubblica amministrazione, relazione all'Accademia Nazionale dei Lincei, 30 aprile, 2015; pubblicata in La Matematica nella Società e nella Cultura - Rivista della Unione Matematica Italiana, VIII, Agosto 2015
  • Casarano, G., Castellani, G., Passalacqua, L., Perla, F., Zanetti, P., Relevant applications of Monte Carlo simulation in Solvency II, Soft Computing, 2015
  • Bu?hlmann, H., Moriconi, F., Credibility claims reserving with stochastic diagonal effects, Astin Bulletin, 45(2015), 2
  • La Rizza, A., Casarano, G., Castellani, G., Ciciani, B., Passalacqua, L., Pellegrini, A., Machine Learning-based Elastic Cloud Resource Provisioning in the Solvency II Framework, Proceedings of the 2016 IEEE 36th International Conference on Distributed Computing Systems Workshops, IEEE Computer Society, 2016
  • De Felice, M., Calcolabilità e probabilità. Per discutere di "incontrollabile soggettivismo della decisione", in Carleo, A. (a cura di), Calcolabilità giuridica, Bologna, il Mulino, 2017
  • Carleo, A., Mottura, C., Calcolo giuridico e mercati finanziari, in Carleo, A. (a cura di), Calcolabilità giuridica, Bologna, il Mulino, 2017
  • Moriconi, F., Calcolo giuridico, valutazioni d'impresa e bilancio, in Carleo, A. (a cura di), Calcolabilità giuridica, Bologna, il Mulino, 2017.
  • Casarano, G., Castellani, G., Passalacqua, L., Perla, F., Zanetti, P., Relevant applications of Monte Carlo simulation in Solvency II, Soft Computing, 21(2017), 1181-1192.
  • Alvaro S., Gentili A., Mottura C., Effetti dei tassi di interesse negativi su mutui e obbligazioni a tasso variabile, Consob, Quaderni giuridici, n. 14, novembre 2017.
  • Castellani, G., De Felice, M., Moriconi, F., An Extension of "An Optima- lity Approach to the Application Ratio for the Matching Adjustment in the Solvency II Regime", Alef Technical Report, 18/01, Rome, February 2018
  • Carleo, A., Mottura, C., Considerazioni tecniche su alcuni precedenti recenti in casi finanziari, in Carleo, A. (a cura di), Il vincolo giudiziale del passa- to. I precedenti, Bologna, il Mulino, 2018
  • De Felice, M., Su probabilità, "precedente" e calcolabilità giuridica, in Carleo, A. (a cura di), Il vincolo giudiziale del passato. I precedenti, Bologna, il Mulino, 2018.
  • Mottura, C., Decisione robotica negoziale e mercati finanziari. Contrattazione algoritmica, nuovi abusi di mercato, algoritmi di controllo (degli algoritmi), in Carleo, A. (a cura di), Decisione robotica, Bologna, il Mulino, 2019.
  • De Felice, M., Decisione robotica negoziale. Nuovi "punti di presa" sul futuro, in Carleo, A. (a cura di), Decisione robotica, Bologna, il Mulino, 2019.
  • De Felice, M., Moriconi, F., Claim Watching and Individual Claims Reserving Using Classification and Regression Trees, Risks, 2019, 7(4), 102.


  • Last revision: November 15, 2019