Improved Insurer’s Capital Adequacy of Reserve Risk Using Copula Approach and Hypothesis Tests

6th Stochastic Modeling Techniques and Data Analysis International Conference with Demographics Workshop (SMTDA 2020): Proceedings 2020
Ilze Zariņa-Cīrule, Irina Voronova, Gaida Petere

Putting aside adequate amount of capital and absorbing losses even during recession times are important for financial stability management and for shareholders. There are non-linear dependence and heavily skewed loss distributions in insurance. Copula as risk-aggregation measure is not yet widely used in the insurance sector. Therefore, we are going to study how to choose the most appropriate type of copula for non-life reserve risk, calculate adequate capital by applying value-at-risk at 99.5% which is mandatory in EU market, and select the copula and hypothesis tests to choose the most appropriate copula type for reserve risk. A case study based on actual data will be discussed.

Atslēgas vārdi
VaR, copula approach, insurance economic modelling, internal capital modelling, hypothesis tests, selected copula tests, stability management
Hipersaite
http://www.smtda.net/images/!SMTDA2020-Proceedings-Final_compressed.pdf

Zariņa, I., Voronova, I., Petere, G. Improved Insurer’s Capital Adequacy of Reserve Risk Using Copula Approach and Hypothesis Tests. No: 6th Stochastic Modeling Techniques and Data Analysis International Conference with Demographics Workshop (SMTDA 2020): Proceedings, Spānija, Barcelona, 2.-6. jūnijs, 2020. Spain: International Society for the Advancement of Science and Technology, 2020, 593.-602.lpp.

Publikācijas valoda
English (en)