Capital requirement modeling for market and non-life premium risk in a dynamic insurance portfolio

Stefano Cotticelli and Nino Savelli

Year of publication:	2024
Authors:	Cotticelli, Stefano ; Savelli, Nino
Subject:	Capital requirements \| Collective Risk Model \| G2++ Model \| Geometric Brownian Motion \| market risk \| non-life premium risk \| ORSA \| real-world valuation \| risk management \| Solvency II \| time horizon \| Risikomodell \| Risk model \| Risikomanagement \| Risk management \| Theorie \| Theory \| Bankrisiko \| Bank risk \| Basler Akkord \| Basel Accord \| Risiko \| Risk \| Portfolio-Management \| Portfolio selection \| Risikoprämie \| Risk premium \| Kapitalbedarf \| Risikomaß \| Risk measure \| Versicherungsbeitrag \| Insurance premium \| Marktrisiko \| Market risk \| CAPM \| EU-Versicherungsrecht \| European insurance law

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