Multi-Level Risk Aggregation

ASTIN Bulletin, Forthcoming

11 Pages Posted: 9 Jul 2009

See all articles by Damir Filipović

Damir Filipović

Ecole Polytechnique Fédérale de Lausanne; Swiss Finance Institute

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

Filipovic, Damir, Multi-Level Risk Aggregation (April 14, 2009). ASTIN Bulletin, Forthcoming. Available at SSRN: https://ssrn.com/abstract=1431314

Damir Filipovic (Contact Author)

Ecole Polytechnique Fédérale de Lausanne ( email )

Odyssea
Station 5
Lausanne, 1015
Switzerland

HOME PAGE: http://people.epfl.ch/damir.filipovic

Swiss Finance Institute

c/o University of Geneva
40, Bd du Pont-d'Arve
CH-1211 Geneva 4
Switzerland

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