Economic Capital and the Aggregation of Risks Using Copulas-Reference-Cited by-同舟云学术

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Economic Capital and the Aggregation of Risks Using Copulas

Published:2009 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Tang Andrew,Valdez Emiliano A.

Publisher

Elsevier BV

Reference55 articles.

1. General Insurance Prudential Standards and Guidance Notes 110 and 210;Apra;Australian Prudential Regulatory Authority,2002

2. Selected Statistics on the General Insurance Industry;Australian Prudential Regulatory Authority,1996

3. Coherent Measures of Risk;P Artzner;Mathematical Finance,1999

4. International Convergence of Capital Measurement and Capital Standards, a Revised Framework;Basel Committee on Banking Supervision,2004

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