Observations on industry practice in the construction of large correlation structures for risk and capital margins

DOI10.1007/s13385-018-0173-7zbMath1422.91377OpenAlexW2805938962WikidataQ129723191 ScholiaQ129723191MaRDI QIDQ2323662

Gregory Clive Taylor

Publication date: 3 September 2019

Published in: European Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s13385-018-0173-7

zbMATH Keywords

tensor productcorrelation matrixloss reservingrisk margincapital marginindustry practice

Mathematics Subject Classification ID

Cites Work

• Bernoulli and tail-dependence compatibility
• COMMON SHOCK MODELS FOR CLAIM ARRAYS
• Unnamed Item

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