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Document Details :
Title: Multi-Level Risk Aggregation
Author(s): FILIPOVIĆ, Damir
Journal: ASTIN Bulletin
Volume: 39 Issue: 2 Date: 2009
In this paper we compare the current Solvency II standard and a genuine bottom-up approach to risk aggregation. This is understood to be essential for developing a deeper insight into the possible differences between the diversification assumptions between the standard approach and internal models.