Vine Copulas and Fuzzy Inference to evaluate the Solvency Capital Requirement of the Multivariate Dependent Risks


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Project Details

Type of project: KFU Nasher Track

Start date: 02/11/2020

End date: 02/11/2021


Abstract

A capital requirement should be established for insurance companies at a level that enables them to meet their obligations towards policyholders.

This paper aims to provide an appropriate modeling approach for claim amounts by taking into account the dependence between risks. To alleviate this issue, it uses vine copula functions to capture dependence between multivariate distributions of risks. Moreover, an altered dependence structure leads to determining a different level of capital. Therefore, we propose a fuzzy inference system to determine different scenarios of the solvency capital requirement (SCR).

Results reveal that the SCR level is decided according to the degree of dependence between risks.


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Last updated on 2021-05-04 at 19:44