THE DETERMINATION OF SOLVENCY CAPITAL REQUIREMENT FOR MARKET RISK OF INSURANCE COMPANY BY COPULA APPROACH

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F10%3A86075450" target="_blank" >RIV/61989100:27510/10:86075450 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Result language
angličtina
Original language name
THE DETERMINATION OF SOLVENCY CAPITAL REQUIREMENT FOR MARKET RISK OF INSURANCE COMPANY BY COPULA APPROACH
Original language description
For insurance companies the new conception of legal form of supervision was approved. New directive called Solvency II should be implemented in 2012. The Solvency of insurance companies means an ability to pay liabilities. According this directive the insurance companies have to determine the solvency capital requirements for given risks. 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 bothrequirements 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.
Czech name
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Czech description
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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)

Publication year
2010
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
Proceedings of the 12th International Conference on Finance and Banking
ISBN
978-80-7248-592-5
ISSN
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e-ISSN
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Number of pages
13
Pages from-to
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Publisher name
Silesian University, School of Bussines Administration
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
000286075300011

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