Peters, Gareth; Targino, Rodrigo S.; Wüthrich, Mario V. - In: Risks : open access journal 5 (2017) 4, pp. 1-51
developed, with a focus on coherent capital allocation that is compliant with the Swiss Solvency Test. The data used is based on … calculated for the one-year risk with dependencies based on correlations given by the Swiss Solvency Test. Two different …