Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5076330 | Insurance: Mathematics and Economics | 2016 | 18 Pages |
Abstract
The problem of aggregating the four claim handling procedures is dealt with by using copulas with the goal of building a single distribution of the aggregate claims reserve. Furthermore, in a Solvency II perspective, the capital requirement is determined against the reserve risk based on the internal model proposed and is compared with the standard formula proposed by EIOPA.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Paola Fersini, Giuseppe Melisi,