Μέτρηση της φερεγγυότητας των ασφαλιστικών εταιρειών με τη χρήση συναρτήσεων σύζευξης
KeywordsΦερεγγυότητα II ; Μέτρα κινδύνου ; Συναρτήσεις σύζευξης ; TVaR ; Solvency II ; Risk measures ; Copulas
In this study, methods of solvency measurement for insurance companies using copula functions, are presented and analyzed. Particularly, the coupling functions and the way they are connected to the calculations of the required capital and solvency ratios of insurance organizations are studied in detail. A number of very important risk indicators in the process of risk modelling and assessment, also known as risk measures are Value at Risk (VaR), Tail-Value at Risk (T-VaR) and Conditional Tail Expectation (CTE). Specifically, this study focuses on the calculation of TVaR and TVaR-based Economic Capital TVaR using two exponentially distributed risks linked with the well known FGM copula function. To make more clear the feasibility and effectiveness of such models in the framework of Solvency II directive, a pilot application has been developed which shows how copulas and risk measures for the calculation of solvency capital requirements can be implemented. The proposed model is simple, easily implementable and attractive in terms of implementation feasibility and obtained results. The reason is that it uses the capabilities offered by the Mathematica package and is based on the FGM copula, which can be calculated analytically and by approximation methods, which lead to a more complex implementation.