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Volume 3
Issue 3
Online publication date 2009-12-07
Title Conditional risk measure modeling for Latvian insurance companies
Author Jekaterina Kuzmina, Gaida Pettere, Irina Voronova
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.
Citation
References
Artzner, P., Delbaen, F., Eber, J.-M., 1999. “Coherent measures of risk”, Mathematical Finance, No.9, pp.203-28

Bion-Nadal, J., 2004. “Conditional risk measure and robust representation of convex conditional risk measures”, CMAP, Ecole Polytechnique, pp.1-31

Delbaen, F., 2002. “Coherent measures of risk on general probability spaces”, Advances in Finance and Stochastics, pp.114-35

Kollo, T., Pettere, G., 2009. “Parameter estimation for the multivariate skew t-copula”, Paper submitted for publication, pp.1-12

On Insurance Companies and Supervision Thereof. [Electronic Resource] / Likumi.lv, 2009. – http://www.likumi.lv – Resource used on October, 16

Ozun, A., Cifter, A. 2007. “Portfolio Value-at-Risk with Time-Varying Copula: Evidence from the Americas”, MPRA Paper, Munich Personal RePec Arhive, No.2711, pp.1-13

Keywords Latvian insurance market, asset allocation, risk management, Value at Risk, conditional risk measures
DOI http://dx.doi.org/10.15208/pieb.2009.56
Pages 59-61
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