Investments by Insurance Companies – Challenges and Opportunities
Economics and Management 2010
Jekaterina Kuzmina, Gaida Petere, Irina Voronova

The process of financial portfolio management is tightly connected with adequate risk management. We strongly believe that multidimensional copula models allow determining risk measures with the least violation number in the back-testing, provides the investors to allocate the minimum regulatory capital requirement in accordance with the Solvency II. In order to show the necessity for a “new” way of risk measure computation we are going to start with a brief discussion of the Solvency II regulatory requirements and show existing gaps in the risk calculation approach currently used. The topic of the copula approach in the portfolio management was already discussed in several papers (e.g. Ozun / Cifter (2007) using copula models for estimating portfolio VaR; Jansons / Kozlovskis / Lace (2006) comparing the cumulative returns of two portfolios formed by traditional Markowitz’s approach and simulating copula (while using one-dimensional model)), while the object of the current paper is to use the approach for estimating portfolio’s conditional risk measures and though to contribute to the discussion about appropriate risk management in the insurance companies.


Atslēgas vārdi
insurance companies, portfolio management, copulas, conditional risk measures
Hipersaite
http://internet.ktu.lt/lt/mokslas/zurnalai/ekovad/15/1822-6515-2010-979.pdf

Kuzmina, J., Pettere, G., Voronova, I. Investments by Insurance Companies – Challenges and Opportunities. Economics and Management, 2010, No. 15, 979.-985.lpp. ISSN 1822-6515.

Publikācijas valoda
English (en)
RTU Zinātniskā bibliotēka.
E-pasts: uzzinas@rtu.lv; Tālr: +371 28399196