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- Title
DEVELOPMENT OF INVESTMENT RISK MANAGEMENT MODELS FOR INSURANCE COMPANIES.
- Authors
Kuzmina, Jekaterina; Voronova, Irina
- Abstract
The purpose of the article is to provide methodology for implementation of internal market risk determination and financial portfolio management model. Due to the fact that Value-at-Risk is being heavily criticized the authors propose an other alternative - downside risk measures (Lower Partial Moments) that can be used as appropriate risk measure tool for portfolio construction purpose as they are capable to provide to effective and efficient decision making process in the context of portfolio management, the particular method is proposed as internal model for Latvian insurance companies that are managing equity portfolios consisting of a few titles. The paper describes equity portfolio management process as four steps process and come up with internal model for Latvian insurance companies that are managing small equity portfolios, in accordance with Solvency II requirements coming into force by 1 January 2013.
- Subjects
LATVIA; RISK management in business; INSURANCE companies; PORTFOLIO management (Investments); EQUITY (Law); DECISION making
- Publication
Economics & Management, 2011, Vol 16, p1147
- ISSN
1822-6515
- Publication type
Article