IDEAS home Printed from https://ideas.repec.org/h/spr/ssdmcp/978-3-030-93005-9_28.html

Improved Insurer’s Capital Adequacy of Reserve Risk Using Copula Approach and Hypothesis Tests

Author

Listed:
  • Ilze Zariņa

    (Riga Technical University, Department of Entrepreneurship and Management, Faculty of Engineering Economics andManagement)

  • Irina Voronova

    (Riga Technical University, Department of Entrepreneurship and Management, Faculty of Engineering Economics andManagement)

  • Gaida Pettere

    (RigaTechnical University, Department of Engineering Mathematics, Faculty of Computer Science and Information)

Abstract

Putting aside adequate amount of capital and absorbing losses even during recession times are important for financial stability management and for shareholders. There are non-linear dependence and heavily skewed loss distributions in insurance. Copula as risk-aggregation measure is not yet widely used in the insurance sector. Therefore, we are going to study how to choose the most appropriate type of copula for non-life reserve risk, calculate adequate capital by applying value-at-risk at 99.5% which is mandatory in EU market, and select the copula and hypothesis tests to choose the most appropriate copula type for reserve risk. A case study based on actual data will be discussed.

Suggested Citation

Handle: RePEc:spr:ssdmcp:978-3-030-93005-9_28
DOI: 10.1007/978-3-030-93005-9_28
as

Download full text from publisher

To our knowledge, this item is not available for download. To find whether it is available, there are three options:
1. Check below whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a
for a similarly titled item that would be available.

More about this item

Keywords

;
;
;
;
;
;
;

Statistics

Access and download statistics

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:spr:ssdmcp:978-3-030-93005-9_28. 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: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

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.