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

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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

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File URL: http://mpra.ub.uni-muenchen.de/38953/
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Bibliographic Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 38953.

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Date of creation: 07 Feb 2012
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Handle: RePEc:pra:mprapa:38953

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Keywords: insurance portfolio risk aggregation; solvency capital requirement; mathematical copulas;

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