Capital requirement modeling for market and non-life premium risk in a dynamic insurance portfolio
Year of publication: |
2024
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Authors: | Cotticelli, Stefano ; Savelli, Nino |
Published in: |
Annals of actuarial science : publ. by the Institute of Actuaries and the Faculty of Actuaries. - Cambridge : Cambridge Univ. Press, ISSN 1748-5002, ZDB-ID 2418917-0. - Vol. 18.2024, 1, p. 205-236
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Subject: | Capital requirements | Collective Risk Model | G2++ Model | Geometric Brownian Motion | market risk | non-life premium risk | ORSA | real-world valuation | risk management | Solvency II | time horizon | Risikomodell | Risk model | Theorie | Theory | Portfolio-Management | Portfolio selection | Risikomanagement | Risk management | Basler Akkord | Basel Accord | Risikoprämie | Risk premium | Bankrisiko | Bank risk | Risikomaß | Risk measure |
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