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Multi-Level Risk Aggregation

Published online by Cambridge University Press:  09 August 2013

Damir Filipović
Damir Filipović*
Affiliation:
Vienna Institute of Finance, University of Vienna and, Vienna University of Economics and Business Administration
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Abstract

In this paper we compare the current Solvency II standard and a genuine bottom-up approach to risk aggregation. This is understood to be essential for developing a deeper insight into the possible differences between the diversification assumptions between the standard approach and internal models.

Type
Research Article
Information
ASTIN Bulletin: The Journal of the IAA , Volume 39 , Issue 2 , November 2009 , pp. 565 - 575
Copyright
Copyright © International Actuarial Association 2009

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References

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