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Conditional risk measure modeling for Latvian insurance companies

Author

Listed:
  • Kuzmina, Jekaterina
  • Pettere, Gaida
  • Voronova, Irina

Abstract

Due to the current economical situation on the Latvian market insurance companies are forced to consider other possibilities of income generation. One of such opportunities could be seen in cash flows from investment operations, while managing stocks' portfolios. The process of portfolio management is tightly connected with adequate risk management. In the current paper we have used copula approach for estimating portfolio’s conditional risk measures and though to contribute to the discussion about appropriate risk management in the insurance companies.

Suggested Citation

  • Kuzmina, Jekaterina & Pettere, Gaida & Voronova, Irina, 2009. "Conditional risk measure modeling for Latvian insurance companies," Perspectives of Innovations, Economics and Business (PIEB), Prague Development Center (PRADEC), vol. 3, pages 1-3, December.
    • Handle: RePEc:ags:jrpieb:94580
    DOI: 10.22004/ag.econ.94580
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    References listed on IDEAS

    as
    1. Philippe Artzner & Freddy Delbaen & Jean‐Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228, July.
    2. Ozun, Alper & Cifter, Atilla, 2007. "Portfolio Value-at-Risk with Time-Varying Copula: Evidence from the Americas," MPRA Paper 2711, University Library of Munich, Germany.
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