Insurance portfolio risk aggregation and solvency capital computation with mathematical copula techniques

Ivelin Zvezdov

MPRA Paper from University Library of Munich, Germany

Abstract: Contents 1. Portfolio structuring; risk factor category identification and mapping 2. Risk aggregation of single risk losses within each risk factor category a. Methodology identification and brief technical review b. SCR computation by risk factor category 3. The portfolio view and SCR. 4. Conclusion: coherence, stress testing and benchmarks

Keywords: insurance portfolio risk aggregation; solvency capital requirement; mathematical copulas (search for similar items in EconPapers)
JEL-codes: C15 G11 G22 (search for similar items in EconPapers)
Date: 2012-02-07
New Economics Papers: this item is included in nep-ias and nep-rmg
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