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

Kód výsledku v 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>

Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

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

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

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

Popis výsledku anglicky

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.

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

2010

Kód důvěrnosti údajů

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

Název statě ve sborníku

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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Počet stran výsledku

13

Strana od-do

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Název nakladatele

Silesian University, School of Bussines Administration

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

000286075300011