Paulusch, Joachim - In: Journal of risk and financial management : JRFM 10 (2017) 2, pp. 1-12
The core of risk aggregation in the Solvency II Standard Formula is the so-called square root formula. We argue that it … should be seen as a means for the aggregation of different risks to an overall risk rather than being associated with … immediately find that it defines a norm and therefore provides a homogeneous and sub-additive tool for risk aggregation. Hence …
