A Correlation Sensitivity Analysis of Non-life Underwriting Risk in Solvency Capital Requirement Estimation

Link
http://dx.doi.org/10.1017/asb.2012.1
Volume
43
Page
21-37
Number
1
Year
2013
Categories
Operational Risk
Publications
ASTIN Bulletin
Authors
Bermúdeza, Lluís
Ferria, Antoni
Guilléna, Montserrat