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Modeling and management of nonlinear dependencies-copulas in dynamic financial analysis
Recurso electrónico / electronic resource
MAP20090089082
Eling, Martin ‌
Modeling and management of nonlinear dependencies-copulas in dynamic financial analysis / Martin Eling, Denis Toplek
Sumario: Dynamic financial analysis (DFA) is a financial modeling approach that projects financial results under a variety of possible scenarios, showing how outcomes might be affected by changing internal and external conditions. DFA has become an important tool for decision making and an essential part of enterprise risk management (ERM), particularly within the field of non-life insurance. In this context, the correct mapping of nonlinear dependencies is of central concern. In this article, the authors evaluate the influence of such extreme events (the September 11, 2001 or the subprime credit crisis for example) on a nonlife insurer's risk and return profile. They integrate nonlinear dependencies in a DFA framework using the copulas concept and evaluate theirs effects on the insurer's risk and return distribution within a simulation study
En: The Journal of risk and insurance. - Nueva York : The American Risk and Insurance Association, 1964- = ISSN 0022-4367. - 01/09/2009 Tomo 76 Número 3 - 2009, p. 651-681
1. Técnicas estadísticas multivariantes ‌. 2. Modelización mediante cópulas ‌. 3. Riesgo financiero ‌. 4. Matemática del seguro ‌. 5. Seguros no vida ‌. 6. ERM ‌. I. Toplek, Denis ‌.