Economic value added optimization of insurers using a multivariate Student \(t\)-model (Q2965074)
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scientific article; zbMATH DE number 6689541
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| English | Economic value added optimization of insurers using a multivariate Student \(t\)-model |
scientific article; zbMATH DE number 6689541 |
Statements
27 February 2017
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required solvency level
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tail value at risk
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risk adjusted capital
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diversification benefit
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economic value added
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stochatic dependence
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multivariate Student-\(t\)
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tail dependence
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0.7301351428031921
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0.7258063554763794
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0.7242165207862854
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0.721745491027832
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