Tail dependence modeling: Application to Solvency II

  • Martin Rybar Martin Rybar

This work studies dependence of extreme events between random variables and its implications in insurance Solvency II directive. Crucial concept is tail copula, what can be described as a tail analogy of general copula concept.Tail copulas are used to detect presence of tail dependence and they also determine its shape and stregth. Impact of tail dependence on value-at-risk of a portfolio is studied on a stylized example from insurance environment and results are compared with a method prescribed in Solvency II, which models dependence via classic concept of correlation.

Netspar, Network for Studies on Pensions, Aging and Retirement, is a thinktank and knowledge network. Netspar is dedicated to promoting a wider understanding of the economic and social implications of pensions, aging and retirement in the Netherlands and Europe.

MORE ABOUT NETSPAR


Mission en strategy           •           Network           •           Organisation           •          Magazine
Board Brief            •            Actionplan 2023-2027           •           Researchagenda

ABOUT NETSPAR

Our partners

B20220412_SPIN_logo+naam_2xPMS_2_voettekst
B20160708_universiteit leiden
B20160708_asr
BPL_Pensioen_logo+pay-off - 1610-1225 v1.1_grijswaarden
B20221103_Zwitserlevengrayscale
View all partners