A simulation model for calculating solvency capital requirements for non-life insurance risk

DOI10.1080/03461238.2013.787367zbMath1398.91305OpenAlexW2035435642MaRDI QIDQ4576774

Jonas Alm

Publication date: 10 July 2018

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

Full work available at URL: https://doi.org/10.1080/03461238.2013.787367

zbMATH Keywords

stochastic modellingrisk aggregationsolvency capital requirementssolvency IIpremium and reserve risk

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (2)

Risk aggregation in Solvency II through recursive log-normals ⋮ Capital Requirements for Cyber Risk and Cyber Risk Insurance: An Analysis of Solvency II, the U.S. Risk-Based Capital Standards, and the Swiss Solvency Test

Uses Software

• ismev
• QRM

Cites Work

• The one-year non-life insurance risk
• Hierarchical structures in the aggregation of premium risk for insurance underwriting
• Topical modelling issues in Solvency II
• Multi-Level Risk Aggregation
• An introduction to statistical modeling of extreme values
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