Multi-Level Risk Aggregation

Damir Filipović

ASTIN Bulletin, 2009, vol. 39, issue 2, 565-575

Abstract: In this paper we compare the current Solvency II standard and a genuine bottom-up approach to risk aggregation. This is understood to be essential for developing a deeper insight into the possible differences between the diversification assumptions between the standard approach and internal models.

Date: 2009
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