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
| Item Type: | MPRA Paper |
|---|---|
| Original Title: | Insurance portfolio risk aggregation and solvency capital computation with mathematical copula techniques |
| English Title: | Insurance portfolio risk aggregation and solvency capital computation with mathematical copula techniques |
| Language: | English |
| Keywords: | insurance portfolio risk aggregation, solvency capital requirement, mathematical copulas |
| Subjects: | G - Financial Economics > G1 - General Financial Markets > G11 - Portfolio Choice ; Investment Decisions G - Financial Economics > G2 - Financial Institutions and Services > G22 - Insurance ; Insurance Companies ; Actuarial Studies C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C15 - Statistical Simulation Methods: General |
| Item ID: | 38953 |
| Depositing User: | Ivelin Zvezdov |
| Date Deposited: | 22 May 2012 20:56 |
| Last Modified: | 27 Sep 2019 09:55 |
| References: | www.math.ethz.ch/~embrechts/ |
| URI: | https://mpra.ub.uni-muenchen.de/id/eprint/38953 |
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