Insurance portfolio risk aggregation and solvency capital computation with mathematical copula techniques
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Keywordsinsurance portfolio risk aggregation; solvency capital requirement; mathematical copulas;
- 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
NEP fieldsThis 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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