A CORRELATION SENSITIVITY ANALYSIS OF NON-LIFE UNDERWRITING RISK IN SOLVENCY CAPITAL REQUIREMENT ESTIMATION (Q5398341)
From MaRDI portal
scientific article; zbMATH DE number 6262167
Language | Label | Description | Also known as |
---|---|---|---|
English | A CORRELATION SENSITIVITY ANALYSIS OF NON-LIFE UNDERWRITING RISK IN SOLVENCY CAPITAL REQUIREMENT ESTIMATION |
scientific article; zbMATH DE number 6262167 |
Statements
A CORRELATION SENSITIVITY ANALYSIS OF NON-LIFE UNDERWRITING RISK IN SOLVENCY CAPITAL REQUIREMENT ESTIMATION (English)
0 references
27 February 2014
0 references
Solvency II
0 references
solvency capital requirement
0 references
standard model
0 references
internal model
0 references
Monte Carlo simulation
0 references
copulas
0 references