Insurance Group Risk Management Model for the Next-Generation Solvency Framework
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DOI: 10.1515/apjri-2012-0016
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References listed on IDEAS
- Damir Filipovic & Michael Kupper, 2007. "On the Group Level Swiss Solvency Test," Research Paper Series 188, Quantitative Finance Research Centre, University of Technology, Sydney.
- Damir Filipović & Michael Kupper, 2008. "Optimal Capital And Risk Transfers For Group Diversification," Mathematical Finance, Wiley Blackwell, vol. 18(1), pages 55-76, January.
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Cited by:
- Andreas Haier & Ilya Molchanov & Michael Schmutz, 2015. "Intragroup transfers, intragroup diversification and their risk assessment," Papers 1511.06320, arXiv.org, revised Nov 2016.
- Andreas Haier & Ilya Molchanov & Michael Schmutz, 2016. "Intragroup transfers, intragroup diversification and their risk assessment," Annals of Finance, Springer, vol. 12(3), pages 363-392, December.
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Keywords
group solvency; copula functions; CRTIs; risk capital; Global Financial Crisis;All these keywords.
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