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pro vyhledávání: '"Janik Maciejewski"'
Autor:
Ivica Turkalj, Mohammad Assadsolimani, Markus Braun, Pascal Halffmann, Niklas Hegemann, Sven Kerstan, Janik Maciejewski, Shivam Sharma, Yuanheng Zhou
Publikováno v:
Risks, Vol 12, Iss 2, p 23 (2024)
In this paper, we consider the inclusion of the solvency capital requirement (SCR) into portfolio optimization by the use of a quadratic proxy model. The Solvency II directive requires insurance companies to calculate their SCR based on the complete
Externí odkaz:
https://doaj.org/article/6bfb672a2d344d7683581a3d1c06fe82
