The Solvency II Standard Formula, Linear Geometry, and Diversification
The core of risk aggregation in the Solvency II Standard Formula is the so-called square root formula. We argue that it should be seen as a means for the aggregation of different risks to an overall risk rather than being associated with variance-covariance based risk analysis. Considering the Solve...
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| Format: | Article |
| Language: | English |
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MDPI AG
2017-05-01
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| Series: | Journal of Risk and Financial Management |
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| Online Access: | http://www.mdpi.com/1911-8074/10/2/11 |