Hierarchical structures in the aggregation of premium risk for insurance underwriting

DOI10.1080/03461231003703672zbMath1277.91098OpenAlexW2128423169MaRDI QIDQ2866286

Gian Paolo Clemente, Nino Savelli

Publication date: 13 December 2013

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

Full work available at URL: https://doi.org/10.1080/03461231003703672

zbMATH Keywords

internal modelpremium riskhierarchical Archimedean copulasreinsurance treatiesaggregation and dependency in non-life insurance

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Point estimation (62F10) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

Related Items (4)

An optimal reinsurance simulation model for non-life insurance in the Solvency II framework ⋮ A simulation model for calculating solvency capital requirements for non-life insurance risk ⋮ Risk aggregation in Solvency II through recursive log-normals ⋮ Risk aggregation in non-life insurance: standard models vs. internal models

Cites Work

• Sampling nested Archimedean copulas
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