A CORRELATION SENSITIVITY ANALYSIS OF NON-LIFE UNDERWRITING RISK IN SOLVENCY CAPITAL REQUIREMENT ESTIMATION

DOI10.1017/ASB.2012.1zbMath1282.91146OpenAlexW3125211149MaRDI QIDQ5398341

Lluís Bermúdez, Antoni Ferri, Montserrat Guillen

Publication date: 27 February 2014

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

Full work available at URL: http://hdl.handle.net/2445/58519

zbMATH Keywords

copulasinternal modelMonte Carlo simulationstandard modelSolvency IIsolvency capital requirement

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

Related Items (2)

Risk aggregation in Solvency II through recursive log-normals ⋮ Risk aggregation in non-life insurance: standard models vs. internal models

Cites Work

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• A course in credibility theory and its applications
• Multi-Level Risk Aggregation

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