ARTICLE
|
doi:10.20944/preprints201610.0031.v2
Subject:
Computer Science And Mathematics,
Applied Mathematics
Keywords:
Solvency II; Standard Formula; Risk Measure; Diversification; Aggregation; Monotony; Homogeneity; Subadditivity; Euler's Principle; Capital Allocation
Online: 1 March 2017 (08:53:59 CET)
ARTICLE
|
doi:10.20944/preprints201611.0145.v1
Subject:
Computer Science And Mathematics,
Analysis
Keywords:
Hermite polynomial; square; generating function; higher order derivative; differential equation; derivative polynomial; explicit formula; recurrence relation
Online: 29 November 2016 (06:50:11 CET)
ARTICLE
|
doi:10.20944/preprints201607.0021.v1
Subject:
Business, Economics And Management,
Finance
Keywords:
Solvency capital requirements capital, standard formula, near unit root, spurious correlation, VaR—implied correlations, tail dependence
Online: 12 July 2016 (09:38:23 CEST)