C-ROSS

Scenario Analysis of Correlation Matrix for Minimum Capital Requirement of Non-Life Insurance Risk under C-ROSS (in Chinese)
Non-life risks under C-ROSS are aggregated using correlation matrix, and scenario testing of correlation assumption is required for …
Lianzeng Zhang, Yuan Zhuang
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Scenario Analysis of Correlation Matrix for Minimum Capital Requirement of Non-Life Insurance Risk under C-ROSS (in Chinese)