Chapter 28: Improved Insurer’s Capital Adequacy of Reserve Risk Using Copula Approach and Hypothesis Tests

2022
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.
DOI
10.1007/978-3-030-93005-9_28
Hipersaite
https://link.springer.com/chapter/10.1007/978-3-030-93005-9_28

Zariņa-Cīrule, I., Voronova, I., Pettere, G. Chapter 28: Improved Insurer’s Capital Adequacy of Reserve Risk Using Copula Approach and Hypothesis Tests. No: Quantitative Methods in Demography: Methods and Related Applications in the Covid-19 Era. Vol.52. Cham: Springer Nature Switzerland AG, 2022. 423.-432.lpp. ISSN 1389-6784. e-ISSN 2215-1990. Pieejams: doi:10.1007/978-3-030-93005-9_28

Publikācijas valoda
English (en)