Risk Modeling for Future Cash Flow Using Skew t-Copula
Communications in Statistics – Theory and Methods 2011
Gaida Petere, Tonu Kollo

In the paper we estimate future annual cash flow of an insurance company. Data of three main different business lines of the company are used to predict the next year cash flow. The individual business lines are modelled by Gamma, Pareto and lognormal distributions. Daily payments were correlated and therefore the joint distribution of the business lines was found. As the model the skew t-copula introduced in Kollo, Pettere (2009) was used. Simulation from the joint distribution was carried out to predict the next year cash flow. The obtained results were compared with the case when the dependencies between the business lines were not taken into account. Presented model gives stochastic approach for future payments.


Atslēgas vārdi
loss distributions, method of moments, simulation, skew t-copula, skew t-distribution, VaR
DOI
10.1080/03610926.2011.562777

Pettere, G., Kollo, T. Risk Modeling for Future Cash Flow Using Skew t-Copula. Communications in Statistics – Theory and Methods, 2011, Vol.40, Iss.16, 2919.-2925.lpp. ISSN 0361-0926. Pieejams: doi:10.1080/03610926.2011.562777

Publikācijas valoda
English (en)
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