Risk aggregation in Solvency II through recursive log-normals

DOI10.1016/j.insmatheco.2016.12.006zbMath1416.91160OpenAlexW2569215617MaRDI QIDQ1681181

Montserrat Guillen, Bølviken, Erik

Publication date: 23 November 2017

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/2445/108253

zbMATH Keywords

Clayton copulamoment matchingstandard formulaCornish-Fisherrecursive skewnesssum of log-normals

Mathematics Subject Classification ID

Related Items (5)

COPULA REPRESENTATIONS FOR THE SUM OF DEPENDENT RISKS: MODELS AND COMPARISONS ⋮ A revisit to testing the equality of means for several lognormal distributions ⋮ Holistic principle for risk aggregation and capital allocation ⋮ Risk aggregation in non-life insurance: standard models vs. internal models ⋮ AGGREGATION OF DEPENDENT RISKS IN MIXTURES OF EXPONENTIAL DISTRIBUTIONS AND EXTENSIONS

Cites Work

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• Pair-copula constructions of multiple dependence
• Efficient simulation of tail probabilities of sums of correlated lognormals
• Hierarchical structures in the aggregation of premium risk for insurance underwriting
• Sampling nested Archimedean copulas
• Solvency II: stability problems with the SCR aggregation formula
• Multi-Level Risk Aggregation
• A simulation model for calculating solvency capital requirements for non-life insurance risk
• The log-normal approximation in financial and other computations
• A CORRELATION SENSITIVITY ANALYSIS OF NON-LIFE UNDERWRITING RISK IN SOLVENCY CAPITAL REQUIREMENT ESTIMATION

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