ERM Resource |
25/06/2015 |
Optimization of the Non-Life Insurance Risk Diversification in Solvency II |
conditional value-at-risk, diversification factor, Herfindahl-Hirschman index, multivariate elliptical and log-elliptical risk distributions, No specific risk, Regulation, Risk Optimisation, Solvency II non-life risk, value-at-risk |