Paulusch, Joachim - In: Journal of risk and financial management : JRFM 10 (2017) 2, pp. 1-12
framework given by the Solvency II Standard Formula. This gives rise to the definition of diversification functions, which we … define as monotone, subadditive, and homogeneous functions on a convex cone. Diversification functions constitute a class of … models for the study of the aggregation of risk and diversification. The aggregation of risk measures using a diversification …
