Solvency II and diversification effect for non-life premium and reserves risk : new results based on non-parametric copulas
Krystian Szczęsny, Stanisław Wanat, Anna Denkowska
| Year of publication: |
2023
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| Authors: | Szczęsny, Krystian ; Wanat, Stanisław ; Denkowska, Anna |
| Published in: |
Risk management : an international journal. - Berlin : Springer Nature Limited, ISSN 1743-4637, ZDB-ID 2180561-1. - Vol. 25.2023, 3, Art.-No. 20, p. 1-26
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| Subject: | Checkerboard copula | Diversification effect | General checkerboard copula | Non-parametric estimation | Piecewise linear copula | Solvency capital requirement | Multivariate Verteilung | Multivariate distribution | Theorie | Theory | Nichtparametrisches Verfahren | Nonparametric statistics | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | EU-Versicherungsrecht | European insurance law |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1057/s41283-023-00125-1 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014326598