Usage of Risk Measures in Management of Investment Portfolios: Case of Insurance Companies

Usage of Risk Measures in Management of Investment Portfolios: Case of Insurance Companies


59,00 €
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von Jekaterina Kuzmina

Beschreibung

The main goal of the research «Usage of Risk Measures in Management of Investment Portfolios: Case of Insurance Companies» was to develop an internal investment portfolio management model using risk measures and copulas for Latvian insurance companies. The model satisfies regulatory requirements (under Solvency II regulations) and internal risk management standards, as well as allows dealing with otherwise complex multivariate modeling. The research and empirical study is limited to the usage of Lower Partial Moments (as an example of downside risk measures) and normal, skew normal and skew t-copula; and covers time period from January 2000 until December 2010.


Tags: Wirtschaft, Betriebswirtschaft


Taschenbuch - 9783848439966
Verlag: LAP Lambert Academic Publishing
Ersterscheinung: April 2012
ISBN-13: 9783848439966
Größe: 220 mm x 154 mm x 15 mm
Gewicht: 233 Gramm
148 Seiten