Multi-Level Risk Aggregation
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Publication:3653511
DOI10.2143/AST.39.2.2044648zbMath1179.91103OpenAlexW3123500419MaRDI QIDQ3653511
Publication date: 22 December 2009
Published in: ASTIN Bulletin (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2143/ast.39.2.2044648
Related Items (11)
A simulation model for calculating solvency capital requirements for non-life insurance risk ⋮ Risk aggregation in Solvency II through recursive log-normals ⋮ Holistic principle for risk aggregation and capital allocation ⋮ Risk aggregation in non-life insurance: standard models vs. internal models ⋮ Copula based hierarchical risk aggregation through sample reordering ⋮ Measuring market and credit risk under Solvency II: evaluation of the standard technique versus internal models for stock and bond markets ⋮ A CORRELATION SENSITIVITY ANALYSIS OF NON-LIFE UNDERWRITING RISK IN SOLVENCY CAPITAL REQUIREMENT ESTIMATION ⋮ Capital allocation and RORAC optimization under Solvency 2 standard formula ⋮ FUNDAMENTAL DEFINITION OF THE SOLVENCY CAPITAL REQUIREMENT IN SOLVENCY II ⋮ Practical aspects of the aggregation of two risks in the Solvency II standard formula ⋮ Understanding, modelling and managing longevity risk: key issues and main challenges
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