scholarly journals Risk Aggregation by Using Copulas in Internal Models

2011 ◽  
Vol 01 (03) ◽  
pp. 50-57 ◽  
Author(s):  
Tristan Nguyen ◽  
Robert Danilo Molinari
2009 ◽  
Vol 39 (2) ◽  
pp. 565-575 ◽  
Author(s):  
Damir Filipović

AbstractIn 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.


2012 ◽  
Vol 220 (1) ◽  
pp. 50-52 ◽  
Author(s):  
Martina Rieger
Keyword(s):  
Tool Use ◽  

2007 ◽  
Author(s):  
Cristina Massen ◽  
Arvid Herwig
Keyword(s):  
Tool Use ◽  

2018 ◽  
Author(s):  
Daniel McNamee ◽  
Matthew Botvinick ◽  
Samuel Gershman
Keyword(s):  

2017 ◽  
Vol 20 (1) ◽  
pp. 1-21 ◽  
Author(s):  
Paul Embrechts
Keyword(s):  

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