Solvency II: stability problems with the SCR aggregation formula
By Dietmar Pfeifer, Doreen Strassburger. 2008
67 citations recorded by the source corpus.
Subfields: Demography, Economics and Econometrics, Management Science and Operations Research
View Paper: https://www.semanticscholar.org/paper/f443e68d7dee863655d54de1969db16409ab9517
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Demography
- Andreas Reuß
- D. Singer
- Nicola Maria Rinaldo Loperfido
- C. Adcock
- Daniel Bauer
- Martin Eling
- X. Lin
- Guojun Gan
In Economics and Econometrics
- Nicola Maria Rinaldo Loperfido
- C. Adcock
- Andreas Reuß
- D. Singer
- Daniel Bauer
- Christoph Hummel
- Georg Mainik
- Martin Eling
In Management Science and Operations Research
- Daniel Bauer
- Nicola Maria Rinaldo Loperfido
- Martin Eling
- C. Adcock
- Andreas Reuß
- D. Singer
- Adelchi Azzalini
Citations in the corpus
- Skewed distributions in finance and actuarial science: a review (2015, background): “Pfeifer and Strassburger (2008) point out problems of the standard formula for calculating solvency capital to cope with skewness in the individual risk distribution.”
- Copula based hierarchical risk aggregation through sample reordering (2012, background): “hierarchical allocation is not, see also Tasche (2008) and Section 6.”
- On the Calculation of the Solvency Capital Requirement Based on Nested Simulations (2012, background): “However, this formula is usually not able to accurately reflect the insurer’s risk situation and may lead to deficient outcomes (see e.g. Pfeifer and Strassburger (2008) and Sandström (2007)).”