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Multi-Level Risk Aggregation

Published online by Cambridge University Press:  09 August 2013

Damir Filipović
Damir Filipović*
Affiliation:
Vienna Institute of Finance, University of Vienna and, Vienna University of Economics and Business Administration
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Abstract

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In this paper we compare the current Solvency II standard and a genuine bottom-up approach to risk aggregation. This is understood to be essential for developing a deeper insight into the possible differences between the diversification assumptions between the standard approach and internal models.

Type
Research Article
Information
ASTIN Bulletin: The Journal of the IAA , Volume 39 , Issue 2 , November 2009 , pp. 565 - 575
Copyright
Copyright © International Actuarial Association 2009

References

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[3] Filipović, D. and Kunz, A. (2007) “Realizable Group Diversification Effects”, Life & Pensions, May 2008. URL: http://db.riskwaters.com/data/lifepensions/pdf/cutting_edge_0508b.pdf Google Scholar
[4] Filipović, D. and Kupper, M. (2007) “On the Group Level Swiss Solvency Test”, Bulletin of the Swiss Association of Actuaries 1, 97–115.Google Scholar
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