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: 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., Pettere, 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: Proceedings, Spānija, Barcelona, 2.-5. jūnijs, 2020. Greece: ISAST: International Society for the Advancement of Science and Technology, 2020, 593.-602.lpp.
Publikācijas valoda
English (en)