Conditional risk measure modeling for Latvian insurance companies
| Autor: | Gaida Pettere, Jekaterina Kuzmina, Irina Voronova |
|---|---|
| Rok vydání: | 2009 |
| Předmět: |
Finance
Actuarial science Latvian insurance market asset allocation risk management Value at Risk conditional risk measures business.industry Financial risk management General insurance jel:G Portfolio insurance Replicating portfolio Auto insurance risk selection Portfolio Risk pool business Risk management |
| Zdroj: | Perspectives of Innovations, Economics and Business. 2:59-61 |
| ISSN: | 1804-0519 1804-0527 |
| Popis: | 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. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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