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Multi-Level Risk Aggregation

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  • Filipović, Damir

Abstract

In this paper we compare the current Solvency II standard and a genuine bottom-up approach to risk aggregation. This is understood to be essential for developing a deeper insight into the possible differences between the diversification assumptions between the standard approach and internal models.

Suggested Citation

  • Filipović, Damir, 2009. "Multi-Level Risk Aggregation," ASTIN Bulletin, Cambridge University Press, vol. 39(2), pages 565-575, November.
    • Handle: RePEc:cup:astinb:v:39:y:2009:i:02:p:565-575_00
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    Cited by:

    1. Eling, Martin & Jung, Kwangmin, 2020. "Risk aggregation in non-life insurance: Standard models vs. internal models," Insurance: Mathematics and Economics, Elsevier, vol. 95(C), pages 183-198.
    2. Xavier Milhaud & Victorien Poncelet & Clement Saillard, 2018. "Operational Choices for Risk Aggregation in Insurance: PSDization and SCR Sensitivity," Risks, MDPI, vol. 6(2), pages 1-23, April.
    3. Bølviken, Erik & Guillen, Montserrat, 2017. "Risk aggregation in Solvency II through recursive log-normals," Insurance: Mathematics and Economics, Elsevier, vol. 73(C), pages 20-26.
    4. Joachim Paulusch, 2017. "The Solvency II Standard Formula, Linear Geometry, and Diversification," JRFM, MDPI, vol. 10(2), pages 1-12, May.
    5. Fabio Baione & Paolo Angelis & Ivan Granito, 2021. "Capital allocation and RORAC optimization under solvency 2 standard formula," Annals of Operations Research, Springer, vol. 299(1), pages 747-763, April.
    6. Fabio Baione & Paolo De Angelis & Ivan Granito, 2018. "On a capital allocation principle coherent with the Solvency 2 standard formula," Papers 1801.09004, arXiv.org.

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