Risk aggregation in Solvency II through recursive log-normals

DOI10.1016/j.insmatheco.2016.12.006zbMath1416.91160OpenAlexW2569215617MaRDI QIDQ1681181

Montserrat Guillen, Bølviken, Erik

Publication date: 23 November 2017

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/2445/108253

zbMATH Keywords

Clayton copulamoment matchingstandard formulaCornish-Fisherrecursive skewnesssum of log-normals

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items

COPULA REPRESENTATIONS FOR THE SUM OF DEPENDENT RISKS: MODELS AND COMPARISONS, A revisit to testing the equality of means for several lognormal distributions, Holistic principle for risk aggregation and capital allocation, Risk aggregation in non-life insurance: standard models vs. internal models, AGGREGATION OF DEPENDENT RISKS IN MIXTURES OF EXPONENTIAL DISTRIBUTIONS AND EXTENSIONS

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