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Correlations and dependencies in economic capital models

Author:
Richard Shaw; Grigory Spivak
Source:
General Insurance Convention 2009
Publication date:
06 October 2009
File:
PDF 951.69 KB
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Document description

The paper covers a number of different topics associated with dependency modelling within economic capital models. The scope is relatively wide in that it not only addresses such technical topics as spurious relationships and the different methods of risk aggregation including copulas, but also more general subjects such as how does one communicate the results of this modelling to the Board of directors of an insurance company.