Modeling and Management of Nonlinear Dependencies–Copulas in Dynamic Financial Analysis
研究了非线性依赖关系对非寿险公司风险与回报的影响，在动态财务分析框架中整合多种Copula模型进行数值测试，发现非线性依赖对风险状况影响显著且难以通过管理策略改变，对保险公司、监管机构和评级机构有重要启示。
Abstract We study the influence of nonlinear dependencies on a non‐life insurer's risk and return profile. To achieve this, we integrate several copula models in a dynamic financial analysis framework and conduct numerical tests. We also test risk management strategies in response to adverse outcomes. Nonlinear dependencies have a crucial influence on the insurer's risk profile that can hardly be affected by the analyzed management strategies. We find large differences in risk assessment for the ruin probability and for the expected policyholder deficit. This has important implications for insurers, regulators, and rating agencies that use these measures as a foundation for internal risk models, capital standards, and ratings.