Hostname: page-component-78c5997874-xbtfd Total loading time: 0 Render date: 2024-11-11T00:09:20.921Z Has data issue: false hasContentIssue false

Actuarial Aspects of Internal Models for Solvency II. Discussion Held at the Institute of Actuaries

Published online by Cambridge University Press:  12 December 2011

Abstract

Image of the first page of this content. For PDF version, please use the ‘Save PDF’ preceeding this image.'
Type
Sessional meetings: papers and abstracts of discussions
Copyright
Copyright © Institute and Faculty of Actuaries 2009

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

References

REFERENCES

Graham, M., & Glencross, A., (2008). The case of the credulous actuary; rediscovering the importance of judgement. www.actuaries.org.uk/research-and-resources/documents/case-credulous-actuary-rediscovering-importance-judgement-handoutGoogle Scholar
Cooke, R.M.,(1991). Experts in uncertainty: opinion and subjective probability in science. Oxford University Press.Google Scholar
Denault, M., (2001). Coherent allocation of risk capital. Journal of Risk, 4(1), 134.CrossRefGoogle Scholar
Dhaene, J., Tsanakas, A., Valdes, E.A., & Vanduffel, S., (2009). Optimal capital allocation principles. http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1332264Google Scholar
Morales, O., Kurowicka, D., & Roelen, A., (2008). Eliciting conditional and unconditional rank correlations from conditional probabilities. Reliability Engineering & System Safety, 93, 699710.Google Scholar
Overbeck, L., (2000). Allocation of economic capital in loan portfolios. In Franke, J., Haerdle, W. and Stahl, G. (eds.), Measuring risk in complex systems. Springer.Google Scholar
Tasche, D., (2004). Allocating portfolio economic capital to sub-portfolios. Economic capital: a practitioner's guide (Dev, A. (ed.)) Risk Books, pp. 275302. http://www-m4.ma.tum.de/pers/tasche/EcCapital.pdfGoogle Scholar
Tsanakas, A., (2009). Marginal allocations and RoC. Enterprise Risk Modelling Lecture Notes. http://casserm.wordpress.comGoogle Scholar