Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
7354632 | Insurance: Mathematics and Economics | 2018 | 26 Pages |
Abstract
For the normal model we present an adaption of the approach proposed in Fröhlich and Weng (2015) based on an analytical result and derive a risk capital model attaining the required confidence level in good approximation. Furthermore, for the lognormal model experimental results suggest that even a direct application of the method proposed in Fröhlich and Weng (2015) clearly outperforms the bootstrapping approach according to the quantitative criterion mentioned above.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Andreas Fröhlich, Annegret Weng,