Download This PaperMulti-Level Risk Aggregation
ASTIN Bulletin, Forthcoming
11 Pages Posted: 9 Jul 2009
Date Written: April 14, 2009
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.
Keywords: Diversification, Risk Aggregation, Solvency II
JEL Classification: C60, G22
Suggested Citation: Suggested Citation
Filipovic, Damir, Multi-Level Risk Aggregation (April 14, 2009). ASTIN Bulletin, Forthcoming, Available at SSRN: https://ssrn.com/abstract=1431314
Swiss Finance Institute
c/o University of Geneva
40, Bd du Pont-d'Arve
CH-1211 Geneva 4
Switzerland
Do you have negative results from your research you’d like to share?
Feedback
Feedback to SSRN
If you need immediate assistance, call 877-SSRNHelp (877 777 6435) in the United States, or +1 212 448 2500 outside of the United States, 8:30AM to 6:00PM U.S. Eastern, Monday - Friday.