A CORRELATION SENSITIVITY ANALYSIS OF NON-LIFE UNDERWRITING RISK IN SOLVENCY CAPITAL REQUIREMENT ESTIMATION (Q5398341)
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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)
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27 February 2014
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Solvency II
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solvency capital requirement
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standard model
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internal model
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Monte Carlo simulation
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copulas
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