Robust Eligible Own Funds and Value at Risk Under Solvency II System

DOI10.1080/03610918.2012.698779zbMath1333.91036OpenAlexW2080593801MaRDI QIDQ5417910

Georgios Pitselis

Publication date: 23 May 2014

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2012.698779

zbMATH Keywords

robust estimationSolvency IIrandom coefficient regressioneligible own funds

Mathematics Subject Classification ID

Nonparametric robustness (62G35) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items

Credible risk measures with applications in actuarial sciences and finance

Cites Work

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• Topical modelling issues in Solvency II
• Robust estimation of the SUR model
• Robust linear discriminant analysis using S-estimators
• Robust Statistics
• Some Estimators for a Linear Model with Random Coefficients
• Application of M-Estimators to Cross-Section Effect Models
• Robust Estimating Functions and Bias Correction for Longitudinal Data Analysis
• Robust Statistics

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