MARKET RISK CAPITAL REQUIREMENT FOR INSURANCE COMPANIES BY COPULA APPROACH
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F09%3A00020615" target="_blank" >RIV/61989100:27510/09:00020615 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
MARKET RISK CAPITAL REQUIREMENT FOR INSURANCE COMPANIES BY COPULA APPROACH
Original language description
The Solvency of insurance companies means an ability to pay liabilities. From the point of view of supervisor bodies, the level of solvency of insurance companies is given by a Solvency II concept (compare to Basel II for banks). A novel approach of Solvency II is to take into account also market, credit, and operational risk, while two distinct requirements, the Minimum Capital Requirement (MCR) and the Solvency Capital Requirement (SCR) are distinguished. In this paper, we estimate both requirements for an internationally diversified equity portfolio of an insurance company. In order to model the portfolio evolution, multidimensional Lévy models coupled together by elliptical ordinary copula functions are assumed. We observe that elliptical (ie. symmetric) copula functions fail substantially in risk estimation over five day horizon. It results into 10% to 15% error in the estimation of the overall capital requirement.
Czech name
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
AH - Economics
OECD FORD branch
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Result continuities
Project
<a href="/en/project/GA402%2F08%2F1237" target="_blank" >GA402/08/1237: Application of complex Lévy processes in modeling of financial assets prices</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)
Others
Publication year
2009
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
Structural and Regional Impacts of Financial Crises. Proceedings of 12th International Conference on Finance and Banking
ISBN
978-80-7248-554-3
ISSN
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e-ISSN
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Number of pages
17
Pages from-to
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Publisher name
Slezská univerzita v Opavě, OPF Karviná
Place of publication
Karviná
Event location
Ostravice
Event date
Oct 28, 2009
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
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