Solvency II and diversification effect for non-life premium and reserves risk: new results based on non-parametric copulas
Author:
Publisher
Springer Science and Business Media LLC
Subject
Strategy and Management,Economics and Econometrics,Finance,Business and International Management
Link
https://link.springer.com/content/pdf/10.1057/s41283-023-00125-1.pdf
Reference21 articles.
1. Aas, K., C. Czado, A. Frigessi, and H. Bakken. 2009. Pair-copula constructions of multiple dependence. Insurance: Mathematics and Economics 44 (2): 182–198. https://doi.org/10.1016/j.insmatheco.2007.02.001.
2. Bedford, T., and R.M. Cooke. 2002. Vines—a new graphical model for dependent random variables. Annals of Statistics 30 (4): 1031–1068. https://doi.org/10.1214/aos/1031689016.
3. Berg, D., and K. Aas. 2009. Models for construction of multivariate dependence: a comparison study. European Journal of Finance 15 (7–8): 639–659.
4. Cipra, T., and R. Hendrych. 2017. Some Forms of Risk Regulation in Solvency II. Prague Economic Papers 26 (6): 722–743. https://doi.org/10.18267/j.pep.638.
5. Clemente, G.P., and N. Savelli. 2017. Actuarial improvements of standard formula for non-life underwriting risk. In Insurance regulation in the European Union Solvency II and beyond, ed. P.S.M. Marano and M. Siri, 223–244. Cham: Palgrave Macmillan.
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