About: THE DETERMINATION OF SOLVENCY CAPITAL REQUIREMENT FOR MARKET RISK OF INSURANCE COMPANY BY COPULA APPROACH

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rdf:type	skos:Concept http://linked.opendata.cz/ontology/domain/vavai/Vysledek
Description	For insurance companies the new conception of legal form of supervision was approved. New directive called Solvency II should be implemented in 2012. The Solvency of insurance companies means an ability to pay liabilities. According this directive the insurance companies have to determine the solvency capital requirements for given risks. 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. For insurance companies the new conception of legal form of supervision was approved. New directive called Solvency II should be implemented in 2012. The Solvency of insurance companies means an ability to pay liabilities. According this directive the insurance companies have to determine the solvency capital requirements for given risks. 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. (en)
Title	THE DETERMINATION OF SOLVENCY CAPITAL REQUIREMENT FOR MARKET RISK OF INSURANCE COMPANY BY COPULA APPROACH THE DETERMINATION OF SOLVENCY CAPITAL REQUIREMENT FOR MARKET RISK OF INSURANCE COMPANY BY COPULA APPROACH (en)
skos:prefLabel	THE DETERMINATION OF SOLVENCY CAPITAL REQUIREMENT FOR MARKET RISK OF INSURANCE COMPANY BY COPULA APPROACH THE DETERMINATION OF SOLVENCY CAPITAL REQUIREMENT FOR MARKET RISK OF INSURANCE COMPANY BY COPULA APPROACH (en)
skos:notation	RIV/61989100:27510/10:86075450!RIV11-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	2011
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	253807
http://linked.open...ai/riv/idVysledku	RIV/61989100:27510/10:86075450
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	[443372A06230]
http://linked.open...v/mistoKonaniAkce	Ostravice
http://linked.open...i/riv/mistoVydani	Karviná
http://linked.open...i/riv/nazevZdroje	Proceedings of the 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	2010
http://linked.open...iv/tvurceVysledku	Kresta, Aleš Tichý, Tomáš Petrová, Ingrid
http://linked.open...vavai/riv/typAkce	WRD - Světová
http://linked.open...ain/vavai/riv/wos	000286075300011
http://linked.open.../riv/zahajeniAkce	2009-10-28 (xsd:date)
number of pages	13 (xsd:int)
http://purl.org/ne...btex#hasPublisher	Slezská univerzita v Opavě. Obchodně podnikatelská fakulta v Karviné
https://schema.org/isbn	978-80-7248-592-5
http://localhost/t...ganizacniJednotka	27510

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