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In this paper we compare the current Solvency II standard and a genuine bottom-up approach to risk aggregation. This is understood to be essential for developing a deeper insight into the possible differences between the diversification assumptions between the standard approach and internal models.
Type
research article
Authors
Publication date
2009
Published in
Volume
39
Start page
565
End page
575
Peer reviewed
REVIEWED
EPFL units
Available on Infoscience
August 12, 2013
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