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- Title
INVESTMENTS BY INSURANCE COMPANIES - CHALLENGES AND OPPORTUNITIES.
- Authors
Kuzmina, Jekaterina; Pettere, Gaida; Voronova, Irina
- Abstract
Due to the economic situation insurance companies are forced to consider other possibilities of income generation and coverage of losses. One of such opportunities could be seen in cash flows from investment operations. The process of financial portfolio management is tightly connected with adequate risk management. We strongly believe that multidimensional copula models allow determining risk measures and provide information to allocate the minimum regulatory capital requirement in accordance with the Solvency II. The topic of the copula approach in the portfolio management was already discussed (e.g. Ozun / Cifter (2007) using copula models for estimating portfolio VaR; Jansons / Kozlovskis / Lace (2006) comparing the cumulative returns of two portfolios formed by traditional Markowitz's approach and simulating copula), while the object of the current paper is to use the approach for estimating portfolio's conditional risk measures and though to contribute to the discussion about appropriate risk management in the insurance companies.
- Subjects
INSURANCE company investments; BUSINESS losses; CASH flow; PORTFOLIO management (Investments); FINANCIAL risk management; ECONOMICS; MANAGEMENT
- Publication
Economics & Management, 2010, p979
- ISSN
1822-6515
- Publication type
Article