Practical aspects of the aggregation of two risks in the Solvency II standard formula

DOI10.1007/s13385-019-00196-zzbMath1422.91330OpenAlexW2915357439MaRDI QIDQ2323670

Magnus Carlehed

Publication date: 3 September 2019

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

Full work available at URL: https://doi.org/10.1007/s13385-019-00196-z

zbMATH Keywords

unit-linked life insuranceSolvency IIstandard formulacapital aggregationrisk factor correlation

Mathematics Subject Classification ID

Cites Work

• Multi-Level Risk Aggregation
• Tail behavior of sums and differences of log-normal random variables

This page was built for publication: Practical aspects of the aggregation of two risks in the Solvency II standard formula