On the use of risk measures in solvency capital estimation
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- Belles-Sampera, Jaume & Merigó, José M. & Guillén, Montserrat & Santolino, Miguel, 2013.
"The connection between distortion risk measures and ordered weighted averaging operators,"
Insurance: Mathematics and Economics,
Elsevier, vol. 52(2), pages 411-420.
- Jaume Belles-Sampera & José M. Merigó & Montserrat Guillén & Miguel Santolino, 2012. "The connection between distortion risk measures and ordered weighted averaging operators," IREA Working Papers 201201, University of Barcelona, Research Institute of Applied Economics, revised Jan 2012.
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- Bermúdez, Lluís & Ferri, Antoni & Guillén, Montserrat, 2013. "A Correlation Sensitivity Analysis of Non-Life Underwriting Risk in Solvency Capital Requirement Estimation," ASTIN Bulletin: The Journal of the International Actuarial Association, Cambridge University Press, vol. 43(01), pages 21-37, January.
- Antoni Ferri & Montserrat Guillén & Lluís Bermúdez, 2012. "Solvency Capital estimation and Risk Measures," Working Papers XREAP2012-02, Xarxa de Referència en Economia Aplicada (XREAP), revised Jan 2012.
- Philippe Artzner & Freddy Delbaen & Jean-Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228.
- Guillen, Montserrat & Prieto, Faustino & Sarabia, José María, 2011. "Modelling losses and locating the tail with the Pareto Positive Stable distribution," Insurance: Mathematics and Economics, Elsevier, vol. 49(3), pages 454-461.
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KeywordsSolvency II; solvency capital requirements; Monte Carlo simulation; copulas; tail VAR; value-at-risk; dependence structures; risk measurement; solvency capital estimation; risk assessment.;
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