Copula Models of Economic Capital for Life Insurance Companies
The Joint Risk Management Research Committee announces the release of a new report. Authored by Arkady Shemyakin, Huan Zhang, Sydney Benson, Regina Burroughs, and Jessica Mohr of the University of St. Thomas, this report examines the use of a copula approach to build a predictive model to estimate the amount of economic capital a life insurance company needs to protect itself against an adverse movement in interest rates, mortality, and other risk drivers.
The Joint Risk Management Research Committee would like to thank the individuals who served on the Project Oversight Group:
Brian Campbell - Chair
Ngoc Vy Le
Ronora Stryker, SOA Sr. Practice Research Actuary
Jan Schuh, SOA Sr. Research Administrator
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