Risk aggregation in Solvency II through recursive log-normals (Q1681181)
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scientific article; zbMATH DE number 6811667
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Risk aggregation in Solvency II through recursive log-normals |
scientific article; zbMATH DE number 6811667 |
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Risk aggregation in Solvency II through recursive log-normals (English)
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23 November 2017
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Clayton copula
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Cornish-Fisher
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moment matching
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recursive skewness
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standard formula
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sum of log-normals
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