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Conditional Risk Measure Modeling For Latvian Insurance Companies

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Author Info

  • JEKATERINA KUZMINA

    (BA School of Business and Finance, Latvia)

  • GAIDA PETTERE

    (Faculty of Engineering Economics and Management Riga Technical University, Latvia)

  • IRINA VORONOVA

    (Faculty of Engineering Economics and Management Riga Technical University, Latvia)

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    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.

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    Bibliographic Info

    Article provided by Prague Development Center in its journal Perspectives of Innovation in Economics and Business (PIEB).

    Volume (Year): 3 (2009)
    Issue (Month): 3 ()
    Pages: 59-61

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    Handle: RePEc:pdc:jrpieb:v:3:y:2009:i:3:p:59-61

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    Related research

    Keywords: Latvian insurance market; asset allocation; risk management; Value at Risk; conditional risk measures;

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    1. 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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