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

Ilze Zariņa (), Irina Voronova () and Gaida Pettere ()
Additional contact information
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

Chapter Chapter 28 in Quantitative Methods in Demography, 2022, pp 423-432 from Springer

Abstract: 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.

Keywords: VaR; Copula approach; Insurance economic modelling; Internal capital modelling; Hypothesis tests; Selected copula tests; Stability management (search for similar items in EconPapers)
Date: 2022
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:ssdmcp:978-3-030-93005-9_28

Ordering information: This item can be ordered from
http://www.springer.com/9783030930059

DOI: 10.1007/978-3-030-93005-9_28

Access Statistics for this chapter

More chapters in The Springer Series on Demographic Methods and Population Analysis from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().