The Solvency II Standard Formula, Linear Geometry, and Diversification
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- Aigner, Philipp, 2023. "Identifying scenarios for the own risk and solvency assessment of insurance companies," ICIR Working Paper Series 48/23, Goethe University Frankfurt, International Center for Insurance Regulation (ICIR).
- Aigner, Philipp & Schlütter, Sebastian, 2023. "Enhancing gradient capital allocation with orthogonal convexity scenarios," ICIR Working Paper Series 47/23, Goethe University Frankfurt, International Center for Insurance Regulation (ICIR).
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Keywords
Solvency II; standard formula; risk measure; diversification; aggregation; monotony; homogeneity; subadditivity; Euler’s Principle; capital allocation;All these keywords.
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