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Copula Models of Economic Capital for Life Insurance Companies

June 2019

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.

Materials

Report

Copula Models of Economic Capital for Life Insurance Companies

Software

Coming soon.

Thank You

The Joint Risk Management Research Committee would like to thank the individuals who served on the Project Oversight Group:

Brian Campbell - Chair
Victor Chen
Matthew Emery
Ngoc Vy Le
Yi Yang
Ronora Stryker, SOA Sr. Practice Research Actuary
Jan Schuh, SOA Sr. Research Administrator

Questions Or Comments?

If you have comments or questions, please send an email to research@soa.org.