Gaida Pettere

Gaida Pettere
Riga Technical University | RTU · Department of Engineering Mathematics

About

30
Publications
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65
Citations

Publications

Publications (30)
Conference Paper
Full-text available
Putting aside adequate amount of capital and absorbing losses even during recession times are important for financial stability management and for shareholders. There are non-linear dependence and heavily skewed loss distributions in insurance. Copula as risk-aggregation measure is not yet widely used in the insurance sector. Therefore, we are goin...
Conference Paper
Full-text available
Purpose: The research is related to solvency forecasting models, application and determination of precision. The objective of the study is to explore available models, examine whether those that include cash flow indicators are more precise in solvency prediction than those that miss them. The aim of the study is to identify the most relevant, robu...
Article
Full-text available
In their research, the authors consider the role of simple models such as Risk Index for assessing the insolvency of companies in the system of significant development of technologies for nonparametric models of assessing bankruptcy. The authors trace the historical development of this class of models from the first steps (Tamari, 1966) up to this...
Conference Paper
Full-text available
Purpose – solvency II framework regulates how much capital the European Union insurance companies must hold. The amount of necessary capital can be calculated using a standard formula or an internal model. On the basis of the review of other authors’ empirical research, the present paper aim at identifying factors that influence necessary capital a...
Conference Paper
Full-text available
Purpose of the article The aim is to investigate the impact of digital transformation on the insurance sector for claim management and claim reserves using the data from non-life insurance companies located in Baltic countries. The object is digitalisation measurement in claim management. The subject is non-life insurance companies in Baltic countr...
Article
Full-text available
In applications tail dependence is an important property of a copula. Bivariate tail dependence is investigated in many papers, but multivariate tail dependence has not been studied widely. We define multivariate upper and lower tail dependence coefficients as limits of the probability that values of one marginal will be large if at least one of ot...
Conference Paper
Full-text available
In their research, the authors consider the role of simple models such as Risk Index for assessing the insolvency of companies in the system of significant development of technologies for non-parametric models of assessing bankruptcy. The authors trace the historical development of this class of models from the first steps (Tamari, 1966) up to this...
Article
Full-text available
Purpose: The research is related to solvency forecasting methods and their models, their possible application and determination of precision. The objectives of the study are to examine the ten most commonly used models of insolvency, their application in Latvian companies, and to enable manufacturing companies to continue their business activities...
Article
Full-text available
The study gives an overview of the Baltic non-life insurance market. The purpose of the research is to summarise stability statistics on solvency ratios, risk profiles and capital surplus, which was contained in Solvency and Financial Condition reports (SFCR) in 2016 published first time by non-life insurance companies in European Union and Baltic...
Article
Full-text available
We examine tail behaviour of skew t-copula in the bivariate case. The tail dependence coefficient is calculated for different skewing parameter values and compared with the corresponding coefficient for the t-copula. It is shown that depending on skewing parameter values the tail dependence coefficient can differ considerably from the tail dependen...
Article
Full-text available
In this article, we estimate future annual cash flow of an insurance company. Data of three main different business lines of the company are used to predict the next year's cash flow. The individual business lines are modelled by Gamma, Pareto and lognormal distributions. Daily payments were correlated and therefore the joint distribution of the bu...
Article
Financial crisis and its consequences are visible in the capital adequacy of many commercial banks, which indicates that the approach banks took to assess credit risk was not sufficiently sophisticated. This article discusses practical methods of insolvency risk modelling for enterprises. In this paper, the authors analysed the accuracy of ten mode...
Chapter
Full-text available
Copula theory has got a rapid development in recent years. Most used copulas are symmetric: Archimedean are symmetric by construction while other continuous multivariate copulas are usually constructed from elliptical distributions and therefore are symmetric. From skewed copulas we can refer only to a copula introduced in [5], which the authors ca...
Article
Our aim is to present a method for estimating incurred but not reported (IBNR) claim reserves. Each claim is described by three characteristics: the claim size, the allocated loss adjusted expense and the development time. We concentrate on the joint study of all three random variables. First, the marginal univariate distributions are estimated usi...
Article
Full-text available
Due to the current economical situation on the Latvian market insurance companies are forced to consider other possibilities of income generation. One of such opportunities could be seen in cash flows from investment operations, while managing stocks' portfolios. The process of portfolio management is tightly connected with adequate risk management...
Article
The paper is about finding optimal equity portfolio for an insurance company by using copulas. Capital requirements form central part of solvency II requirements. We have constructed the best portfolio structure with copula model and simulation using risk measure VAR. The result is compared it with another known risk measure.
Chapter
This article has no abstract.
Article
Several laws have been used in history to characterize mortality. Some of them are rather simple, like Gompertz's law, or quite complicated, like Heligman and Pollard's law. But no law fits very well for all countries and in all time intervals. A similar situation exists in Latvia too. Therefore the main idea of this paper was not to find concrete...
Article
A new interpretation of the definition domain for the solutions of Pfaffian equations permitted the development of a new dynamic-system theory for such differential equations. This note introduces the beginning phase of development of this theory. Linards Reiziņš formulated four theorems that are described in Section 1 of this article. Reiziņš’ the...
Article
Full-text available
Due to the economic situation insurance companies are forced to consider other possibilities of income generation and coverage of losses. One of such opportunities could be seen in cash flows from investment operations. The process of financial portfolio management is tightly connected with adequate risk management. We strongly believe that multidi...
Article
Full-text available
The bivariate distribution of two variables is modelled using copulas. The two variables of interest are the claim size and the time from the moment when claim occurred to the moment when the payment out has been made. Approximations to the distributions of both variables have been found as well as the bivariate distribution modelled using Archimed...
Article
The paper is concerned with mortality research in Latvia. There are two parts in it. The first part contains finding trends of crude mortality rates to take into account an unexpected "mortality jump" which has occurred in years 1993 to 1995 and their analysis by cause. The second part is dedicated for cohort analysis which is done to make use not...
Article
Full-text available
The authors applying taxonometric method investigate possibility of creating public rating of insurance companies based on public quantitative information. Feasibility of including indicators characterizing insurer's ability to take risks into assessment criteria is well founded. Establishing rating functional the authors assess solvency, ability t...
Article
Full-text available
From 2006, when International Financial Reporting Standard IFRS 4 became in force, an insurer has to prepare Liability adequacy test at the end of each calendar year which has to show that company's insurance liabilities are adequate using current estimates of future cash flows under company's insurance contracts. It is very common to forecast futu...

Projects

Project (1)
Project
Explore solvency forecasting methods, their accuracy and suitability for use. Explore the possibilities of improving existing models and creating new models.