Multi-Level Risk Aggregation
ASTIN Bulletin, Forthcoming
11 Pages Posted: 9 Jul 2009
Date Written: April 14, 2009
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