Multi-level risk aggregation

ASTIN Bulletin

Volumn 39, Issue 2, 2009, Pages 565-575

  FilipoviĆ, Damir ^a  

^a UNIVERSITY OF VIENNA   (Austria)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 72949123040     PISSN: 05150361     EISSN: 17831350     Source Type: Journal    
DOI: 10.2143/AST.39.2.2044648     Document Type: Article

References (7)

1. Committee of European Insurance and Occupational Pensions Supervisors (2007) "QIS3 Technical Specifications. Part I: Instructions", URL: www.ceiops.org/content/view/ 118/124.
2. Committee of European Insurance and Occupational Pensions Supervisors (2007) "QIS4 Technical Specifications", URL: http://ec.europa.eu/ internal-market/insurance/docs/solvency/qis4/technical-specifications-en.pdf
3. Filipović, D. and Kunz, A. (2007) "Realizable Group Diversification Effects", Life & Pensions, May 2008. URL: http://db.riskwateracorn/data/lifepensions/pdf/cuttmg-edge-0508b.jjdf
4. Filipović, D. and Kupper, M. (2007) "On the Group Level Swiss Solvency Test", Bulletin of the Swiss Association of Actuaries 1, 97-115.
5. Horn, R.A. and Johnson C.R. (1985) Matrix Analysis, New York: Cambridge University Press.
6. The Chief Risk Officer Forum (2007) "A benchmarking study of the CRO forum on the QIS III calibration", URL: www.croforum.org/publications.ecp
7. Groupe Consultatif Actuariel Europeen (2005) "Diversification, Technical paper", URL: www.gcactuaries.org/documents/diversification-oct05. pdf