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

Author

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  • Zvezdov, Ivelin

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

Suggested Citation

  • Zvezdov, Ivelin, 2012. "Insurance portfolio risk aggregation and solvency capital computation with mathematical copula techniques," MPRA Paper 38953, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:38953
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    File URL: https://mpra.ub.uni-muenchen.de/38953/1/MPRA_paper_38953.pdf
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    More about this item

    Keywords

    insurance portfolio risk aggregation; solvency capital requirement; mathematical copulas;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General

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