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Solvency II, or how to sweep the downside risk under the carpet · Study

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ArticleSolvency II, or how to sweep the downside risk under the carpet

Stefan Weber2018

Article2018

Solvency II, or how to sweep the downside risk under the carpet

42 citations·0/0 files stored·Insurance Mathematics and Economics

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Probability and Risk Models Insurance and Financial Risk Management Risk and Portfolio Optimization

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References

2003Monte Carlo Methods in Financial Engineering 1996Premium Calculation by Transforming the Layer Premium Density 2004Stochastic finance. an introduction in discrete time 2010Robustness and sensitivity analysis of risk measurement procedures 2006Risk measures and comonotonicity 2008OPTIMAL RISK SHARING FOR LAW INVARIANT MONETARY UTILITY FUNCTIONS 2014Comparative and qualitative robustness for law-invariant risk measures 2012Remarks on quantiles and distortion risk measures

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2019Robust reinsurance contracts with risk constraint 2022Inf-Convolution, Optimal Allocations, and Model Uncertainty for Tail Risk Measures 2017Risk Measures Based on Benchmark Loss Distributions 2022Adjusted Expected Shortfall

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Year2018

Typearticle

Published2018-04-14

VenueInsurance Mathematics and Economics

ISSN-L0167-6687

Languageen

Citations42

Files0 public / 0

ShelfProbability and Risk Models

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doi10.1016/j.insmatheco.2017.11.010

openalex_workW2594096445

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