Economic Capital Modeling by Using Copulas

Sun Life Financial is carrying out its ERM and ORSA analysis. The company seeks to develop sophisticated and mathematically sound internal models that would serve as company's own risk measurement tools for EC evaluations, provide continuing insights into the appropriate risk management routes, as well as be a benchmark against the RC required by the OSFI. The intern will concentrate on: 1.) looking at the families of probability distributions, that would describe its various risks sufficiently well, 2.) modeling the dependence structure amongst the aforementioned distributions in a way, that would be close to the one imposed by nature. The project will assist Sun Life Financial to build, implement and validate a quantitatively sophisticated state-of-the-art model of its risk portfolio. This will result in a better quantitative and qualitative understanding of company's risk profile, and thus in a more precise EC calculation as well as in a more effective risk management decision making process.

Faculty Supervisor:

Dr. Edward Furman

Student:

Jianxi Su

Partner:

Sun Life Financial

Discipline:

Statistics / Actuarial sciences

Sector:

Finance, insurance and business

University:

York University