Aggregation of Market Risks using Pair-Copulas.
Year of publication: |
2012-05
|
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Authors: | Guegan, Dominique ; Jouad, Fatima |
Institutions: | Centre d'Économie de la Sorbonne, Université Paris 1 (Panthéon-Sorbonne) |
Subject: | Solvency II | risks aggregation | pair-copulas | diversification gains | market risks | economic capital |
Extent: | application/pdf |
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Series: | Documents de travail du Centre d'Economie de la Sorbonne. - ISSN 1955-611X. |
Type of publication: | Book / Working Paper |
Notes: | 27 pages |
Classification: | G22 - Insurance; Insurance Companies |
Source: |
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