Abstract
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.
Details
Title
Multi-Level Risk Aggregation
Author(s)
Filipovic, Damir
Published in
ASTIN Bulletin
Volume
39
Pages
565-575
Date
2009
Additional link
URL
Laboratories
CSF
Record Appears in
Scientific production and competences > CDM - College of Management of Technology > SFI - Swiss Finance Institute at EPFL > CSF - The Swissquote Chair in Quantitative Finance
Peer-reviewed publications
Work outside EPFL
Journal Articles
Published
Peer-reviewed publications
Work outside EPFL
Journal Articles
Published
Record creation date
2013-08-12