Capital requirement modeling for market and non-life premium risk in a dynamic insurance portfolio
Stefano Cotticelli and Nino Savelli
| Year of publication: |
2024
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|---|---|
| Authors: | Cotticelli, Stefano ; Savelli, Nino |
| Published in: |
Annals of actuarial science : publ. by the Institute of Actuaries and the Faculty of Actuaries. - Cambridge : Cambridge Univ. Press, ISSN 1748-5002, ZDB-ID 2418917-0. - Vol. 18.2024, 1, p. 205-236
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| 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 |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1017/S1748499523000234 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014519979