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Calculation of solvency capital requirements for non-life underwriting risk using generalized linear models

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Figure

Figure 1  |  Economic Approach to Solvency: The SCR Is Calculated as the Difference between  the VaR and the Mean of the Distribution of ASM; the VaR Represents the Threshold Value,  such that the Probability that ASM Exceeds this Value Is  α
Figure 3  |  Distribution of Aggregated Claims and Particular Risks within Solvency II
Table 1  |  Some of the Distributions from the Exponential Family
Figure 5  |  Estimated (solid line) and Averaged Density (dashed line) of Claim Severities:
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