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Persistent link: https://www.econbiz.de/10005380597
We show how the probabilistic concepts of half-space trimming and depth may be used to define convex scenario sets Qα for stress testing the risk factors that affect the solvency of an insurance company over a prescribed time period. By choosing the scenario in Qα which minimizes net asset...
Persistent link: https://www.econbiz.de/10011046668