Risk aggregation in non-life insurance: standard models vs. internal models

DOI10.1016/j.insmatheco.2020.09.003zbMath1452.91268OpenAlexW2921329969MaRDI QIDQ2212172

Kwangmin Jung, Martin Eling

Publication date: 19 November 2020

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

Full work available at URL: https://www.alexandria.unisg.ch/255596/1/Eling%20Jung%20Risk%20Aggregation_ARIA2018.pdf

zbMATH Keywords

risk aggregationcapital requirementsinternal modelsinsurance regulationvine copula

Mathematics Subject Classification ID

Actuarial mathematics (91G05)

Uses Software

• TSA
• CopulaModel

Cites Work

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