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Copula Models of Economic Capital for Life Insurance Companies

Copula Models of Economic Capital for Life Insurance Companies This report examines the use of a copula approach to build a predictive model to estimate the amount of economic capital a life ...
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Description: 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.
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- Authors: Arkady Shemyakin
- Date: Jun 2019
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Enterprise Risk Management; Life Insurance

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Copula Models of Economic Capital for Life Insurance Companies