TEST FOR CHANGES IN THE MODELED SOLVENCY CAPITAL REQUIREMENT OF AN INTERNAL RISK MODEL

DOI10.1017/ASB.2021.20zbMath1480.91203OpenAlexW3187276953MaRDI QIDQ5019040

Daniel Gaigall

Publication date: 27 December 2021

Published in: ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL: https://www.repo.uni-hannover.de/handle/123456789/11684

zbMATH Keywords

bootstrapHadamard differentiabilityempirical processfunctional delta methodpaired sample

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Actuarial mathematics (91G05)

Uses Software

• copula

Cites Work

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• FUNDAMENTAL DEFINITION OF THE SOLVENCY CAPITAL REQUIREMENT IN SOLVENCY II
• Comparison Between Two Quantiles: The Normal and Exponential Cases

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