Abdallah, Anas; Wang, Lan - In: Risks : open access journal 11 (2023) 11, pp. 1-37
robust estimation, and better captures the dependence between the risks. We also show that it generates smaller risk capital …The interdependence between multiple lines of business has an important impact on determining loss reserves and risk … capital, which are crucial for the solvency of a property and casualty (P&C) insurance company. In this work, we introduce the …