Solvency II: stability problems with the SCR aggregation formula
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Publication:3608236
DOI10.1080/03461230701766825zbMATH Open1164.91036OpenAlexW2118555843MaRDI QIDQ3608236FDOQ3608236
Authors: Dietmar Pfeifer, Doreen Strassburger 
Publication date: 28 February 2009
Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03461230701766825
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Cites Work
Cited In (20)
- Risk aggregation in non-life insurance: standard models vs. internal models
- Practical aspects of the aggregation of two risks in the Solvency II standard formula
- Measuring market and credit risk under Solvency II: evaluation of the standard technique versus internal models for stock and bond markets
- Signs of dependence and heavy tails in non-life insurance data
- Robust evaluation of SCR for participating life insurances under Solvency II
- Solvency II is not risk-based -- could it be? Evidence from non-life calibrations
- Portfolio optimization under Solvency II
- The Solvency II square-root formula for systematic biometric risk
- Concave distortion risk minimizing reinsurance design under adverse selection
- Copula based hierarchical risk aggregation through sample reordering
- Generating unfavourable VaR scenarios under Solvency II with patchwork copulas
- Risk aggregation in Solvency II through recursive log-normals
- Multi-level risk aggregation
- Solvency II reporting: how to interpret funds' aggregate solvency capital requirement figures
- Solvency II solvency capital requirement for life insurance companies based on expected shortfall
- Holistic principle for risk aggregation and capital allocation
- Quantifying credit and market risk under Solvency II: standard approach versus internal model
- A first look back: model performance under Solvency II
- Hierarchical structures in the aggregation of premium risk for insurance underwriting
- Fundamental definition of the solvency capital requirement in Solvency II
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