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http://hdl.handle.net/2445/108253
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DC Field | Value | Language |
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dc.contributor.author | Bolviken, Erik | - |
dc.contributor.author | Guillén, Montserrat | - |
dc.date.accessioned | 2017-03-10T11:36:31Z | - |
dc.date.available | 2020-03-31T05:10:14Z | - |
dc.date.issued | 2017-03 | - |
dc.identifier.issn | 0167-6687 | - |
dc.identifier.uri | http://hdl.handle.net/2445/108253 | - |
dc.description.abstract | It is argued that the accuracy of risk aggregation in Solvency II can be improved by updating skewness recursively. A simple scheme based on the log-normal distribution is developed and shown to be superior to the standard formula and to adjustments of the Cornish-Fisher type. The method handles tail-dependence if a simple Monte Carlo step is included. A hierarchical Clayton copula is constructed and used to confirm the accuracy of the log-normal approximation and to demonstrate the importance of including tail-dependence. Arguably a log-normal scheme makes the logic in Solvency II consistent, but many other distributions might be used as vehicle, a topic that may deserve further study. | - |
dc.format.extent | 7 p. | - |
dc.format.mimetype | application/pdf | - |
dc.language.iso | eng | - |
dc.publisher | Elsevier B.V. | - |
dc.relation.isformatof | Versió postprint del document publicat a: https://doi.org/10.1016/j.insmatheco.2016.12.006 | - |
dc.relation.ispartof | Insurance Mathematics and Economics, 2017, vol. 73, p. 20-26 | - |
dc.relation.uri | https://doi.org/10.1016/j.insmatheco.2016.12.006 | - |
dc.rights | cc-by-nc-nd (c) Elsevier B.V., 2017 | - |
dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/3.0/es | - |
dc.source | Articles publicats en revistes (Econometria, Estadística i Economia Aplicada) | - |
dc.subject.classification | Risc (Economia) | - |
dc.subject.classification | Correlació (Estadística) | - |
dc.subject.classification | Risc (Assegurances) | - |
dc.subject.classification | Simetria (Matemàtica) | - |
dc.subject.classification | Dependència (Estadística) | - |
dc.subject.classification | Distribució (Teoria de la probabilitat) | - |
dc.subject.other | Risk | - |
dc.subject.other | Correlation (Statistics) | - |
dc.subject.other | Risk (Insurance) | - |
dc.subject.other | Symmetry (Mathematics) | - |
dc.subject.other | Dependence (Statistics) | - |
dc.subject.other | Distribution (Probability theory) | - |
dc.title | Risk aggregation in Solvency II through recursive log-normals | - |
dc.type | info:eu-repo/semantics/article | - |
dc.type | info:eu-repo/semantics/acceptedVersion | - |
dc.identifier.idgrec | 669342 | - |
dc.date.updated | 2017-03-10T11:36:32Z | - |
dc.rights.accessRights | info:eu-repo/semantics/openAccess | - |
Appears in Collections: | Articles publicats en revistes (Econometria, Estadística i Economia Aplicada) |
Files in This Item:
File | Description | Size | Format | |
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669342.pdf | 102.58 kB | Adobe PDF | View/Open |
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