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Autor
Kuzmina Jekaterina (BA School of Business and Finance), Pettere Gaida (Riga Technical University), Voronova Irina (Riga Technical University)
Tytuł
Conditional risk measure modeling for Latvian insurance companies
Źródło
Perspectives of Innovations, Economics and Business, 2009, vol. 3, s. 59-61, tab., bibliogr. 6 poz.
Słowa kluczowe
Rynek ubezpieczeniowy, Alokacja aktywów, Zarządzanie ryzykiem
Insurance market, Asset allocation, Risk management
Uwagi
summ.
Kraj/Region
Wyspy Kanaryjskie
Canary Islands
Abstrakt
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.(original abstract)
Pełny tekst
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Bibliografia
Pokaż
  1. Artzner, P., Delbaen, F., Eber, J.-M., 1999. "Coherent measures of risk", Mathematical Finance, No.9, pp.203-28
  2. Bion-Nadal, J., 2004. "Conditional risk measure and robust representation of convex conditional risk measures", CMAP, Ecole Polytechnique, pp.1-31
  3. Delbaen, F., 2002. "Coherent measures of risk on general probability spaces", Advances in Finance and Stochastics, pp.114-35
  4. Kollo, T., Pettere, G., 2009. "Parameter estimation for the multivariate skew t-copula", Paper submitted for publication, pp.1-12
  5. On Insurance Companies and Supervision Thereof. [Electronic Resource] / Likumi.lv, 2009. - http://www.likumi.lv - Resource used on October, 16
  6. 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
Cytowane przez
Pokaż
ISSN
1804-0519
Język
eng
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