Multi-Level Risk Aggregation

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.


Published in:
ASTIN Bulletin, 39, 565-575
Year:
2009
Laboratories:




 Record created 2013-08-12, last modified 2018-03-17

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