Insurance portfolio risk aggregation and solvency capital computation with mathematical copula techniques

Contents 1. Portfolio structuring; risk factor category identification and mapping 2. Risk aggregation of single risk losses within each risk factor category a. Methodology identification and brief technical review b. SCR computation by risk factor category 3. The portfolio view and SCR. 4. Conclusion: coherence, stress testing and benchmarks

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Year of publication:	2012-02-07
Authors:	Zvezdov, Ivelin
Institutions:	Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
Subject:	insurance portfolio risk aggregation \| solvency capital requirement \| mathematical copulas

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Extent:	application/pdf
Series:	MPRA Paper.
Type of publication:	Book / Working Paper
Classification:	G11 - Portfolio Choice ; G22 - Insurance; Insurance Companies ; C15 - Statistical Simulation Methods; Monte Carlo Methods
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011108598