Risk Aggregation by Using Copulas in Internal Models

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Journal of Mathematical Finance

ISSN Print: 2162-2434
ISSN Online: 2162-2442
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"Risk Aggregation by Using Copulas in Internal Models"
written by Tristan Nguyen, Robert Danilo Molinari,
published by Journal of Mathematical Finance, Vol.1 No.3, 2011

has been cited by the following article(s):

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[1]	تجميع ريسک هاي بيمه گري صنعت بيمه ايران با استفاده از توابع مفصل (رويکرد توابع مفصل ارشميدسي سلسله مراتبي)‎


[2]	Economic Capital Determination for Non-Life Insurance Using Copulas
	The Journal of Risk Management and …, 2022

[3]	Copula models of economic capital for life insurance companies
	… Journal (under review …, 2020

[4]	Turnitin Test" Exchange Rate Forecasting and Value-at-Risk Estimation on Indonesian Currency Using Copula Method"
	2019

[5]	The calculation of Solvency Capital Requirement using Copulas
	2019

[6]	Exchange Rate Forecasting and Value-at-Risk Estimation on Indonesian Currency Using Copula Method
	2019

[7]	Agregace závislých rizik
	2019

[8]	Dependence Structures and Risk Aggregation Using Copulas
	2018

[9]	Estructura de dependencia entre los riesgos de longevidad y de mortalidad y su impacto en el capital requerido de solvencia (SCR)
	2017

[10]	Solvency II capital requirements: Model estimation, multivariate case and copulas
	2017

[11]	Os Novos Paradigmas para o Mercado de Previdência Complementar Fechada
	Revista Brasileira de Atuária, 2017

[12]	Estructura de dependencia entre el riesgo de longevidad y de mortalidad y su impacto en el capital requerido de solvencia (SCR)
	2017

[13]	Tail Dependence and Systemic Risk in Operational Losses of the US Banking Industry
	International Review of Finance, 2017

[14]	Dynamic Risk Budgeting in Investment Strategies: The Impact of Using Expected Shortfall Instead of Value at Risk
	2016

[15]	Correlations and Systemic Risk in Operational Losses of the US Banking Industry
	Available at SSRN, 2016

[16]	10 Abhängigkeitsmodellierung im Risiko Management
	2016

[17]	تجمیع ریسک‌های بیمه‌گری صنعت بیمة ایران با استفاده از توابع مفصل (رویکرد توابع مفصل ارشمیدسی سلسله‌مراتبی)‎
	2016

[18]	ASSESSMENT OF SOLVENCY II REQUIREMENTS FOR TURKISH INSURANCE MARKET
	2016

[19]	AGGREGATION OF UNDERWRITING RISKS IN INSURANCE INDUSTRY OF IRAN USING VINE COPULA
	RISK GOVERNANCE & CONTROL: Financial markets and institutions, 2015

[20]	Application of the Gumbel Copula for Economic Risk Aggregation-a case of Kenyan Banks
	2015

[21]	Vakuutusyhtiöiden vakavaraisuutta kuvaavien riskimittojen laskentamenetelmiä
	2014

[22]	Μέτρηση της φερεγγυότητας των ασφαλιστικών εταιρειών με τη χρήση συναρτήσεων σύζευξης
	2013

[23]	Equity Risk Under Solvency II: Internal Models and Procyclical Effects
	Available at SSRN 2340430, 2013

[24]	The Implications of Solvency II to Insurance Comapnies
	NULL 2013

[25]	Measuring Risk Dependencies Due to Two Natural Disasters by Bivariate Copula
	NULL 2012

[26]	風險因子相關性與產險公司資本要求
	風險管理學報, 2012

[1]	The Calculation of Solvency Capital Requirement using Copulas SSRN Electronic Journal , 2019 DOI:10.2139/ssrn.3382556

[2]	Tail Dependence and Systemic Risk in Operational Losses of the US Banking Industry International Review of Finance, 2017 DOI:10.1111/irfi.12117

[3]	Tail Dependence and Systemic Risk in Operational Losses of the US Banking Industry International Review of Finance, 2017 DOI:10.1111/irfi.12117

[4]	Correlations and Systemic Risk in Operational Losses of the U.S. Banking Industry SSRN Electronic Journal, 2016 DOI:10.2139/ssrn.2741244

[5]	Aggregation of underwriting risks in insurance industry of Iran using vine copula Risk Governance and Control: Financial Markets and Institutions, 2015 DOI:10.22495/rgcv5i4c1art4

[6]	Equity Risk Under Solvency II: Internal Models and Procyclical Effects SSRN Electronic Journal, 2013 DOI:10.2139/ssrn.2340430

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