Efficient capital management using an internal model: a case of non-life insurance

DOI10.3176/proc.2022.3.08zbMath1505.91342OpenAlexW4293196528MaRDI QIDQ5866615

Irina Voronova, Gaida Pettere, Ilze Zariņa-Cīrule

Publication date: 22 September 2022

Published in: Proceedings of the Estonian Academy of Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3176/proc.2022.3.08

zbMATH Keywords

copulainternal modelvalue at riskfinancial stabilitystochastic reservingnon-life insurancecapital management

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Actuarial mathematics (91G05)

Uses Software

• MASS (R)
• nacopula
• copula
• ChainLadder
• QRM
• copula
• bootstrap

Cites Work

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