Ekonomický kapitál a agregácia životných rizík využitím Claytonovej kopule
Keywords:
Life Liability Risk, Life Business Risk, Copula, Required CapitalAbstract
The paper deals with life risks - life liability risk (mortality, longevity and morbidity) and life business risk, which are more closely related to underwriting activities within life insurance and the existence of life insurance contracts. In addition to defining risks and their risk factors, the article also deals with terms from the area of risk management and the impact of risks on the required capital of a commercial insurance company. We describe the procedure for estimating the value of required capital for life risks and in the end we show a simple aggregation of risks with the using Clayton's copula.References
[1] Billeter, S., & Salgeti-Drioli, F. (2016). Liability Risk Drivers: Bringing a forward-looking perspective into liability modelling. Retrieved March 14, 2021, from https://www.swissre.com/dam/jcr:6524ff3e-c35d-4f65-a99c-aa11604990b2/SwissRe_ForwardLookingModeling.pdf
[2] Bui, B. (2017) SST Internal Model Documentation: Technical Documentation.
[3] Cuypers, F. (2020) Risk Dependencies. [presentation]. PrimeRe Solutions.
[4] Lam, J. (2014). Enterprise Risk Management: From Incentives to Controls (2nd ed., Vol. 496). Wiley & Sons.
[5] Ly, S. & Pho, K.-H. & Ly, S. & Wong, W.-K. (2019). Determining Distribution for the Product of Random Variables by Using Copulas. Retrieved March 14, 2021, from https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3430862
[2] Bui, B. (2017) SST Internal Model Documentation: Technical Documentation.
[3] Cuypers, F. (2020) Risk Dependencies. [presentation]. PrimeRe Solutions.
[4] Lam, J. (2014). Enterprise Risk Management: From Incentives to Controls (2nd ed., Vol. 496). Wiley & Sons.
[5] Ly, S. & Pho, K.-H. & Ly, S. & Wong, W.-K. (2019). Determining Distribution for the Product of Random Variables by Using Copulas. Retrieved March 14, 2021, from https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3430862
Downloads
Published
2021-06-02
Issue
Section
Articles
