Insurance portfolio risk aggregation and solvency capital computation with mathematical copula techniques
AbstractContents 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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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 38953.
Date of creation: 07 Feb 2012
Date of revision:
insurance portfolio risk aggregation; solvency capital requirement; mathematical copulas;
Find related papers by 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
This paper has been announced in the following NEP Reports:
- NEP-ALL-2012-05-29 (All new papers)
- NEP-IAS-2012-05-29 (Insurance Economics)
- NEP-RMG-2012-05-29 (Risk Management)
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