Share 'Risk aggregation in Solvency II: How to converge the approaches of the internal models and those of the standard formula?'
by Laurent Devineau & Stéphane Loisel
SAF - Laboratoire de Sciences Actuarielle et Financière - Université Claude Bernard - Lyon
Two approaches may be considered in order to determine the Solvency II economic capital: the use of a standard formula or the use of an internal model (global or partial). However, the results produced by these two methods are rarely similar, since the un…
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