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Insurance portfolio risk aggregation and solvency capital computation with mathematical copula techniques

Zvezdov, Ivelin (2012): Insurance portfolio risk aggregation and solvency capital computation with mathematical copula techniques.

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Abstract

Contents 1. Portfolio structuring; risk factor category identification and mapping 2. Risk aggregation of single risk losses within each risk factor category a. Methodology identification and brief technical review b. SCR computation by risk factor category 3. The portfolio view and SCR. 4. Conclusion: coherence, stress testing and benchmarks

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