Risk aggregation in Solvency II: How to converge the approaches of the internal models and those of the standard formula?
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References listed on IDEAS
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- Julien Vedani & Fabien Ramaharobandro, 2013. "Continuous compliance: a proxy-based monitoring framework," Papers 1309.7222, arXiv.org, revised Dec 2013.
- Loisel, Stéphane & Milhaud, Xavier, 2011.
"From deterministic to stochastic surrender risk models: Impact of correlation crises on economic capital,"
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- Stéphane Loisel & Xavier Milhaud, 2011. "From deterministic to stochastic surrender risk models: impact of correlation crises on economic capital," Post-Print hal-00502847, HAL.
- Stéphane Loisel, 2012. "From deterministic to stochastic surrender risk models: impact of correlation crises on economic capital," Post-Print hal-00746268, HAL.
- Matthieu Chauvigny & Laurent Devineau & Stéphane Loisel & Véronique Maume-Deschamps, 2011. "Fast remote but not extreme quantiles with multiple factors. Applications to Solvency II and Enterprise Risk Management," Post-Print hal-00517766, HAL.
- Julien Vedani & Laurent Devineau, 2012. "Solvency assessment within the ORSA framework: issues and quantitative methodologies," Papers 1210.6000, arXiv.org, revised Oct 2012.
- repec:eee:insuma:v:76:y:2017:i:c:p:164-171 is not listed on IDEAS
- Julien Vedani & Laurent Devineau, 2012. "Solvency assessment within the ORSA framework: issues and quantitative methodologies," Working Papers hal-00744351, HAL.
- Asier Garayeta & J. Inaki De La Pena & Ivan Iturricastillo, 2014. "Pragmatic Solutions for Solvency Capital Requirements at Life Insurance Companies: The Case of Spain," International Journal of Business Administration, International Journal of Business Administration, Sciedu Press, vol. 5(4), pages 39-51, July.
- Arbenz, Philipp & Hummel, Christoph & Mainik, Georg, 2012. "Copula based hierarchical risk aggregation through sample reordering," Insurance: Mathematics and Economics, Elsevier, vol. 51(1), pages 122-133.
- Julien Vedani & Fabien Ramaharobandro, 2013. "Continuous compliance: a proxy-based monitoring framework," Working Papers hal-00866531, HAL.
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