Hierarchical structures in the aggregation of premium risk for insurance underwriting

DOI10.1080/03461231003703672zbMATH Open1277.91098OpenAlexW2128423169MaRDI QIDQ2866286FDOQ2866286

Authors: Nino Savelli, Gian Paolo Clemente 

Publication date: 13 December 2013

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

Full work available at URL: https://doi.org/10.1080/03461231003703672

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zbMATH Keywords

internal modelpremium riskhierarchical Archimedean copulasreinsurance treatiesaggregation and dependency in non-life insurance

Mathematics Subject Classification ID

Point estimation (62F10) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

• Sampling nested Archimedean copulas
• Title not available (Why is that?)

Cited In (5)

• Risk aggregation in non-life insurance: standard models vs. internal models
• A simulation model for calculating solvency capital requirements for non-life insurance risk
• An optimal reinsurance simulation model for non-life insurance in the Solvency II framework
• Risk aggregation in Solvency II through recursive log-normals
• Multi-level risk aggregation

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