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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Bibliographic Details
Main Author: Joachim Paulusch
Format: Article
Language:English
Published: MDPI AG 2017-05-01
Series:Journal of Risk and Financial Management
Subjects:
Online Access:http://www.mdpi.com/1911-8074/10/2/11

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