CONDITIONAL RISK MEASURE MODELING FOR LATVIAN INSURANCE COMPANIES

Jekaterina Kuzmina, Gaida Pettere and Irina Voronova
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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

Perspectives of Innovation in Economics and Business (PIEB), 2009, vol. 3, issue 3, 59-61

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.

Keywords: Latvian insurance market; asset allocation; risk management; Value at Risk; conditional risk measures (search for similar items in EconPapers)
JEL-codes: G (search for similar items in EconPapers)
Date: 2009
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