About: MARKET RISK CAPITAL REQUIREMENT FOR INSURANCE COMPANIES BY COPULA APPROACH

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An Entity of Type : http://linked.opendata.cz/ontology/domain/vavai/Vysledek, within Data Space : linked.opendata.cz associated with source document(s)

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rdf:type	skos:Concept http://linked.opendata.cz/ontology/domain/vavai/Vysledek
Description	The Solvency of insurance companies means an ability to pay liabilities. From the point of view of supervisor bodies, the level of solvency of insurance companies is given by a Solvency II concept (compare to Basel II for banks). A novel approach of Solvency II is to take into account also market, credit, and operational risk, while two distinct requirements, the Minimum Capital Requirement (MCR) and the Solvency Capital Requirement (SCR) are distinguished. In this paper, we estimate both requirements for an internationally diversified equity portfolio of an insurance company. In order to model the portfolio evolution, multidimensional Lévy models coupled together by elliptical ordinary copula functions are assumed. We observe that elliptical (ie. symmetric) copula functions fail substantially in risk estimation over five day horizon. It results into 10% to 15% error in the estimation of the overall capital requirement. The Solvency of insurance companies means an ability to pay liabilities. From the point of view of supervisor bodies, the level of solvency of insurance companies is given by a Solvency II concept (compare to Basel II for banks). A novel approach of Solvency II is to take into account also market, credit, and operational risk, while two distinct requirements, the Minimum Capital Requirement (MCR) and the Solvency Capital Requirement (SCR) are distinguished. In this paper, we estimate both requirements for an internationally diversified equity portfolio of an insurance company. In order to model the portfolio evolution, multidimensional Lévy models coupled together by elliptical ordinary copula functions are assumed. We observe that elliptical (ie. symmetric) copula functions fail substantially in risk estimation over five day horizon. It results into 10% to 15% error in the estimation of the overall capital requirement. (en)
Title	MARKET RISK CAPITAL REQUIREMENT FOR INSURANCE COMPANIES BY COPULA APPROACH MARKET RISK CAPITAL REQUIREMENT FOR INSURANCE COMPANIES BY COPULA APPROACH (en)
skos:prefLabel	MARKET RISK CAPITAL REQUIREMENT FOR INSURANCE COMPANIES BY COPULA APPROACH MARKET RISK CAPITAL REQUIREMENT FOR INSURANCE COMPANIES BY COPULA APPROACH (en)
skos:notation	RIV/61989100:27510/09:00020615!RIV10-GA0-27510___
http://linked.open...avai/riv/aktivita	P
http://linked.open...avai/riv/aktivity	P(GA402/08/1237)
http://linked.open...vai/riv/dodaniDat	2010
http://linked.open...aciTvurceVysledku	Kresta, Aleš Tichý, Tomáš Petrová, Ingrid
http://linked.open.../riv/druhVysledku	D - Článek ve sborníku
http://linked.open...iv/duvernostUdaju	S - Úplné a pravdivé údaje nepodléhající ochraně podle zvláštních právních předpisů
http://linked.open...titaPredkladatele	Vysoká škola báňská - Technická univerzita Ostrava / Ekonomická fakulta
http://linked.open...dnocenehoVysledku	324727
http://linked.open...ai/riv/idVysledku	RIV/61989100:27510/09:00020615
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	Insurance company; multidimensional subordinated Lévy model; risk measuring; Solvency II (en)
http://linked.open.../riv/klicoveSlovo	Insurance company Solvency II multidimensional subordinated Lévy model risk measuring
http://linked.open...ontrolniKodProRIV	[F38F1D14E476]
http://linked.open...v/mistoKonaniAkce	Ostravice
http://linked.open...i/riv/mistoVydani	Karviná
http://linked.open...i/riv/nazevZdroje	Structural and Regional Impacts of Financial Crises. Proceedings of 12th International Conference on Finance and Banking
http://linked.open...in/vavai/riv/obor	AH
http://linked.open...ichTvurcuVysledku	3 (xsd:int)
http://linked.open...cetTvurcuVysledku	3 (xsd:int)
http://linked.open...vavai/riv/projekt	Application of complex Lévy processes in modeling of financial assets prices
http://linked.open...UplatneniVysledku	2009
http://linked.open...iv/tvurceVysledku	Kresta, Aleš Tichý, Tomáš Petrová, Ingrid
http://linked.open...vavai/riv/typAkce	WRD - Světová
http://linked.open.../riv/zahajeniAkce	2009-10-28 (xsd:date)
number of pages	17 (xsd:int)
http://purl.org/ne...btex#hasPublisher	Slezská univerzita v Opavě. Obchodně podnikatelská fakulta v Karviné
https://schema.org/isbn	978-80-7248-554-3
http://localhost/t...ganizacniJednotka	27510

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