A correlation sensitivity analysis of non-life underwriting risk in solvency capital requirement estimation
Year of publication: |
2011-09
|
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Authors: | Bermúdez, Lluís ; Ferri, Antoni ; Guillén, Montserrat |
Institutions: | Xarxa de Referència en Economia Aplicada (XREAP) |
Subject: | Solvency II | Solvency Capital Requirement | Standard Model | Internal Model | Monte Carlo simulation | Copulas |
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