IDEAS home Printed from https://ideas.repec.org/a/asi/adprev/v5y2017i2p100-119id278.html
   My bibliography  Save this article

A Multivariate Analysis for Risk Capital Estimation in Insurance Industry: Vine Copulas

Author

Listed:
  • Hanène MEJDOUB
  • Mounira BEN ARAB

Abstract

This paper deals with the risks aggregation issue and adequate risk capital modeling within a multivariate setting. Focusing on the non-life insurance risk module, we examine the sensitivity of capital requirement to the dependence among risks for a multi-line Tunisian insurance firm. Such a context entails a nonlinear dependence of risks problem whose resolution may be intended by means of multivariate copulas. The relevant analysis relies profoundly on the dependence modeling by the means of vine copulas which are a flexible technique to model multivariate distributions constructed using a cascade of bivariate copulas. Under various confidence levels in VaR and TailVaR, the reached findings reveal the advantages of D-Vine copula in modeling inhomogeneous structures of dependency due to its flexibility of use in a simulation context. Practitioners and regulators can explore our conclusions for the assessment of risk capital under Solvency 2, which is based on stochastic models.

Suggested Citation

  • Hanène MEJDOUB & Mounira BEN ARAB, 2017. "A Multivariate Analysis for Risk Capital Estimation in Insurance Industry: Vine Copulas," Asian Development Policy Review, Asian Economic and Social Society, vol. 5(2), pages 100-119.
    • Handle: RePEc:asi:adprev:v:5:y:2017:i:2:p:100-119:id:278
    as

    Download full text from publisher

    File URL: https://archive.aessweb.com/index.php/5008/article/view/278/722
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Jati Kasuma & Niena Nurul Farhana & Hazami Mohammad Kamaruddin & Muhamad Saufi Che Rusuli & Yusman Yacob, 2019. "Identifying the Challenges of the Sarawak Malay Terubok Ikan Masin (Salted Fish) Entrepreneur: Qualitative Study," Research in World Economy, Research in World Economy, Sciedu Press, vol. 10(2), pages 30-37, July.
    2. Md. Bokhtiar Hasan & Md. Delowar Hossain & Abu N.M. Wahid, 2018. "Application of Forward Contract and Crop Insurance as Risk Management Tools of Agriculture: A Case Study in Bangladesh," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 8(12), pages 1394-1405, December.
    3. Norlaile Salleh Hudin & Nur Shafiqa Azrin Khairil Annuar & Ahmad Zainal Abidin Abd Razak, 2019. "The Influence of Hedonic and Utilitarian Shopping Value Towards Consumer Behavioral Intention Among Youth Mall Shoppers," Research in World Economy, Research in World Economy, Sciedu Press, vol. 10(5), pages 1-8, December.
    4. Ahmed Imran Hunjra & Hasnain Mehmood & Haroon Bakari, 2018. "Co-Movement between Macroeconomic Variables and Capital Flight," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 8(9), pages 1185-1195, September.
    5. Sharifah Nazatul Faiza Syed Mustapha Nazri & Mohd Ikram Abdul Rasib & Salwa Zolkifli, 2019. "The Influence of Competency, Usage of It and Career Expectation on Internal Auditor¡¯s Effectiveness in Ggovernment Linked Companies (GLCs)," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 10(3), pages 337-352, May.
    6. Mohamad Helmi bin Hidthiir & Muhammad Farhan Basheer & Saira Ghulam Hassan, 2019. "The Simultaneity of Corporate Financial Decisions Under Different Levels of Managerial Ownership: A Case of Pakistani Listed Firms," Research in World Economy, Research in World Economy, Sciedu Press, vol. 10(2), pages 147-159, July.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:asi:adprev:v:5:y:2017:i:2:p:100-119:id:278. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Robert Allen (email available below). General contact details of provider: https://archive.aessweb.com/index.php/5008/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.