Bolviken, ErikGuillén, Montserrat2017-03-102020-03-312017-030167-6687https://hdl.handle.net/2445/108253It 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.7 p.application/pdfengcc-by-nc-nd (c) Elsevier B.V., 2017http://creativecommons.org/licenses/by-nc-nd/3.0/esRisc (Economia)Correlació (Estadística)Risc (Assegurances)Simetria (Matemàtica)Dependència (Estadística)Distribució (Teoria de la probabilitat)RiskCorrelation (Statistics)Risk (Insurance)Symmetry (Mathematics)Dependence (Statistics)Distribution (Probability theory)info:eu-repo/semantics/article6693422017-03-10info:eu-repo/semantics/openAccess