Solvency II: stability problems with the SCR aggregation formula

DOI10.1080/03461230701766825zbMath1164.91036OpenAlexW2118555843MaRDI QIDQ3608236

Dietmar Pfeifer, Doreen Strassburger

Publication date: 28 February 2009

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

Full work available at URL: https://doi.org/10.1080/03461230701766825

zbMATH Keywords

symmetrycopulascalibrationskewnessSolvency IISCR

Mathematics Subject Classification ID

Related Items (10)

Risk aggregation in Solvency II through recursive log-normals ⋮ Solvency II solvency capital requirement for life insurance companies based on expected shortfall ⋮ Holistic principle for risk aggregation and capital allocation ⋮ Risk aggregation in non-life insurance: standard models vs. internal models ⋮ Copula based hierarchical risk aggregation through sample reordering ⋮ Quantifying credit and market risk under Solvency II: standard approach versus internal model ⋮ Solvency II Is Not Risk-Based—Could It Be? Evidence from Non-Life Calibrations ⋮ Portfolio optimization under Solvency II ⋮ Concave distortion risk minimizing reinsurance design under adverse selection ⋮ Generating unfavourable VaR scenarios under Solvency II with patchwork copulas

Uses Software

• QRM

Cites Work

• Unnamed Item
• Solvency

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