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): Book of Abstracts 2020
Ilze Zariņa-Cīrule, Gaida Petere, Irina Voronova

Putting aside adequate amount of capital and to be able to absorb losses even during recession times is important for financial stability management and shareholders. There are non-linear dependency 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 what hypothesis, selected copula tests can be chosen in order to choose the most appropriate copula’s type for reserve risk. A case study based on actual data will be discussed.

Atslēgas vārdi
Value-at-risk, copula approach, economic modelling, internal capital modelling, hypothesis tests, selected copula tests, stability management.
Hipersaite
http://www.smtda.net/images/Book_of_Abstracts_SMTDA2020-.pdf

Zariņa, I., Petere, G., Voronova, I. 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): Book of Abstracts, Spānija, Barcelona, 2.-6. jūnijs, 2020. Spain: ISAST: International Society for the Advancement of Science and Technology, 2020, 103.-103.lpp.

Publikācijas valoda
English (en)