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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

  • DOI - Digital Object Identifier

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

  • Czech description

Classification

  • Type

    D - Article in proceedings

  • CEP classification

    AH - Economics

  • OECD FORD branch

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

  • e-ISSN

  • Number of pages

    17

  • Pages from-to

  • 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