| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5076957 | Insurance: Mathematics and Economics | 2012 | 9 Pages |
Abstract
⺠The paper is a first attempt to legitimate the standard formula under Solvency II. ⺠Using the same correlation assumptions for all insurers is highly questionable. ⺠Numerical illustrations are given, based on German population data. ⺠Internal modeling of SCR should not be based on the square-root formula.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Marcus C. Christiansen, Michel M. Denuit, Dorina Lazar,