Article ID Journal Published Year Pages File Type
5076330 Insurance: Mathematics and Economics 2016 18 Pages PDF
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
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