The Study of the Integrated Risk Measurement of Insurance Enterprises by Copula Model

From the prospective of the international trends, integrated risk measurement is now an increasingly important risk management tool for insurance enterprises. This paper tentatively uses a copula model in order to measure the economic capital of integrated risks of insurance enterprises in China. Use an insurance enterprise to explain how to measure the economic capital of integrated risks. And the calculation process demonstrated that the economic capital using the copula model Copula lower 24.05%, 16.72% and 24.43% than it at the assumption of complete dependency, which justified the assertion that there is diversification effect between insurance business lines. Also, we found that economic capital required by the insurer was lower 48.11%, 60.59%, 56.78% and 60.79% than its actual solvency margin, which justified the assertion that the economic capital method could help to optimize capital allocation.