Solvency II: stability problems with the SCR aggregation formula
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Publication:3608236
Recommendations
- Practical aspects of the aggregation of two risks in the Solvency II standard formula
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Cited in
(22)- Risk aggregation in Solvency II through recursive log-normals
- Solvency II solvency capital requirement for life insurance companies based on expected shortfall
- Robust evaluation of SCR for participating life insurances under Solvency II
- Generating unfavourable VaR scenarios under Solvency II with patchwork copulas
- Risk aggregation in non-life insurance: standard models vs. internal models
- Measuring market and credit risk under Solvency II: evaluation of the standard technique versus internal models for stock and bond markets
- Portfolio optimization under Solvency II
- Concave distortion risk minimizing reinsurance design under adverse selection
- Practical aspects of the aggregation of two risks in the Solvency II standard formula
- Solvency II reporting: how to interpret funds' aggregate solvency capital requirement figures
- The Solvency II square-root formula for systematic biometric risk
- Copula based hierarchical risk aggregation through sample reordering
- Quantifying credit and market risk under Solvency II: standard approach versus internal model
- Hierarchical structures in the aggregation of premium risk for insurance underwriting
- Multi-level risk aggregation
- Signs of dependence and heavy tails in non-life insurance data
- Solvency II is not risk-based -- could it be? Evidence from non-life calibrations
- Fundamental definition of the solvency capital requirement in Solvency II
- Holistic principle for risk aggregation and capital allocation
- A first look back: model performance under Solvency II
- A new skewness adjustment for Solvency II SCR standard formula
- Identifying scenarios for the own risk and Solvency assessment of insurance companies
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