MARKET RISK CAPITAL REQUIREMENT FOR INSURANCE COMPANIES BY COPULA APPROACH

Kód výsledku v 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>

Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

MARKET RISK CAPITAL REQUIREMENT FOR INSURANCE COMPANIES BY COPULA APPROACH

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

MARKET RISK CAPITAL REQUIREMENT FOR INSURANCE COMPANIES BY COPULA APPROACH

Popis výsledku anglicky

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.

Druh

D - Stať ve sborníku

CEP obor

AH - Ekonomie

OECD FORD obor

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Projekt

<a href="/cs/project/GA402%2F08%2F1237" target="_blank" >GA402/08/1237: Aplikace komplexních Lévyho procesů při modelování vývoje cen finančních aktiv</a><br>

Návaznosti

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Rok uplatnění

2009

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název statě ve sborníku

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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Počet stran výsledku

17

Strana od-do

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Název nakladatele

Slezská univerzita v Opavě, OPF Karviná

Místo vydání

Karviná

Místo konání akce

Ostravice

Datum konání akce

28. 10. 2009

Typ akce podle státní příslušnosti

WRD - Celosvětová akce

Kód UT WoS článku

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