IDEAS home Printed from https://ideas.repec.org/a/pdc/jrpieb/v3y2009i3p59-61.html
   My bibliography  Save this article

Conditional Risk Measure Modeling For Latvian Insurance Companies

Author

Listed:
  • JEKATERINA KUZMINA

    (BA School of Business and Finance, Latvia)

  • GAIDA PETTERE

    (Faculty of Engineering Economics and Management Riga Technical University, Latvia)

  • IRINA VORONOVA

    (Faculty of Engineering Economics and Management Riga Technical University, Latvia)

Abstract

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.

Suggested Citation

  • Jekaterina Kuzmina & Gaida Pettere & Irina Voronova, 2009. "Conditional Risk Measure Modeling For Latvian Insurance Companies," Perspectives of Innovation in Economics and Business (PIEB), Prague Development Center, vol. 3(3), pages 59-61.
    • Handle: RePEc:pdc:jrpieb:v:3:y:2009:i:3:p:59-61
    as

    Download full text from publisher

    File URL: http://academicpublishingplatforms.com/downloads/pdfs/pieb/volume3/201202040054_19_V3_LATVIA_PIEB_EkaterinaKuzmina_PettereVoronova_AGR.pdf
    Download Restriction: no
    File URL: http://academicpublishingplatforms.com/article.php?journal=PIEB&number=3&article=61
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Ozun, Alper & Cifter, Atilla, 2007. "Portfolio Value-at-Risk with Time-Varying Copula: Evidence from the Americas," MPRA Paper 2711, University Library of Munich, Germany.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Bhatti, M. Ishaq & Nguyen, Cuong C., 2012. "Diversification evidence from international equity markets using extreme values and stochastic copulas," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(3), pages 622-646.
    2. Berger, T. & Missong, M., 2014. "Financial crisis, Value-at-Risk forecasts and the puzzle of dependency modeling," International Review of Financial Analysis, Elsevier, vol. 33(C), pages 33-38.
    3. Kuzmina, Jekaterina & Pettere, Gaida & Voronova, Irina, 2009. "Conditional risk measure modeling for Latvian insurance companies," Perspectives of Innovations, Economics and Business (PIEB), Prague Development Center (PRADEC), vol. 3, pages 1-3, December.
    4. Ruijun Bu & Ludovic Giet & Kaddour Hadri & Michel Lubrano, 2009. "Modelling Multivariate Interest Rates using Time-Varying Copulas and Reducible Non-Linear Stochastic Differential," Economics Working Papers 09-02, Queen's Management School, Queen's University Belfast.
    5. Berger, Theo, 2016. "On the isolated impact of copulas on risk measurement: Asimulation study," Economic Modelling, Elsevier, vol. 58(C), pages 475-481.
    6. Berger, Theo, 2015. "A wavelet based approach to measure and manage contagion at different time scales," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 436(C), pages 338-350.
    7. Ruijun Bu & Ludovic Giet & Kaddour Hadri & Michel Lubrano, 2009. "Modeling Multivariate Interest Rates using Time-Varying Copulas and Reducible Stochastic Differential Equations," Working Papers halshs-00408014, HAL.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:pdc:jrpieb:v:3:y:2009:i:3:p:59-61. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Jaroslav Holecek (email available below). General contact details of provider: https://edirc.repec.org/data/pradecz.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.