To see the other types of publications on this topic, follow the link: Solvency Capital requirements (SCR).
Dissertations / Theses on the topic 'Solvency Capital requirements (SCR)'
Create a spot-on reference in APA, MLA, Chicago, Harvard, and other styles
Consult the top 20 dissertations / theses for your research on the topic 'Solvency Capital requirements (SCR).'
Next to every source in the list of references, there is an 'Add to bibliography' button. Press on it, and we will generate automatically the bibliographic reference to the chosen work in the citation style you need: APA, MLA, Harvard, Chicago, Vancouver, etc.
You can also download the full text of the academic publication as pdf and read online its abstract whenever available in the metadata.
Browse dissertations / theses on a wide variety of disciplines and organise your bibliography correctly.
1
Widing, Björn. "Solvency Capital Requirement (SCR) for Market Risks : A quantitative assessment of the Standard formula and its adequacy for a Swedish insurance company." Thesis, KTH, Matematisk statistik, 2016. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-189022.
Full textAbstract:
The purpose of this project is to validate the adequacy of the Standard formula, used to calculate the Solvency Capital Requirement (SCR), with respect to a Swedish insurance company. The sub-modules evaluated are Equity risk (type 1) and Interest rate risk. The validation uses a quantitative assessment and the concept of Value at Risk (VaR). Additionally, investment strategies for risk free assets are evaluated through a scenario based analysis. The findings support that the Equity shock of 39%, as proposed in the Standard formula, is appropriate for a diversified portfolio of global equities. Furthermore, to some extent; the Equity shock is also sufficient for a diversified global portfolio with an overweight of Swedish equities. Additionally, the findings shows that the Standard formula for Interest rate risks occasionally underestimates the true Interest rate risk. Furthermore, it’s shown that there are some advantage of selecting an investment strategy that stabilizes the Own fund of an insurance company rather than a strategy that minimizes the SCR.<br>Syftet med detta arbete är att utvärdera Standardformeln, som används för att beräkna solvenskapitalkravet (SCR) under Solvens II, med avseende på dess lämplighet för ett svensk försäkringsbolag. Modulerna som utvärderas är aktierisk (typ 1) och ränterisk. Utvärderingen genomförs med kvantitativa metoder och utifrån konceptet Value at Risk (VaR). Dessutom utvärderas investeringsstrategier för riskfria tillgångar genom en scenariobaserad analys. Resultaten stödjer att den av Standardformeln föreskrivna aktiechocken på -39 % är tillräcklig för en diversifierad global aktieportfölj. Dessutom är aktiechocken även tillräcklig för en diversifierad global portfölj med en viss övervikt mot svenska aktier. Vidare visar resultaten att Standardformeln under vissa omständigheter underskattar ränterisken. Slutligen visar den scenariobaserade analysen att det är fördelaktigt att välja en investeringsstrategi som stabiliserar Own fund, hellre än en strategi som minimerar SCR.
2
HELLGREN, ERIK, and FREDRIK UGGLA. "Asset allocation under Solvency II : Adjusting investments for capital efficiency." Thesis, KTH, Entreprenörskap och Innovation, 2015. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-189494.
Full textAbstract:
Solvens II är ett nytt regelverk för försäkringsbolag inom EU som ska träda i kraft 2016. Tidigare forskning har diskuterat effekterna av det nya regelverket och förutspår att det kommer att påverka försäkringsbolagens tillgångsallokering. Syftet med denna studie är att studera optimala tillgångsallokeringar för livbolag, både med avseende på interna krav på risk och avkastning och externa kapitalkrav i Solvens II. En fallstudie utförs på ett svenskt livbolag för att ta fram en modell för optimala tillgångsallokeringar, som även tar hänsyn till livbolagets framtida utbetalningar. En optimal allokering tas fram med hjälp av kvadratisk optimering på risk och kapitalkrav givet en viss förväntad avkastning och den nuvarande allokeringen jämförs med olika optimala portföljer. Resultaten visar att det är möjligt att optimera allokeringen både ur ett risk- och avkastningsperspektiv samt apitalkravsperspektiv, men att de optimala tillgångsportföljerna skiljer sig åt markant. Detta arbete påvisar att det finns en betydande skillnad på risk, mätt genom antingen historisk volatilitet eller kapitalkrav. Ett exempel är tillgångsklassen hedgefonder som har en låg historisk volatilitet men har ett högt kapitalkrav i Solvens II. Denna studie bidrar till befintlig forskning genom att utveckla ett ramverk för investeringar för ett livbolag i Solvens II som tar hänsyn till kapitalkrav för olika tillgångar.<br>Solvency II is a new regulatory framework concerning insurance companies in the European Union, to be introduced in 2016. The effects of the regulation have been discussed and previous literature believes it will have a significant effect on insurance companies’ asset allocation. The aim of this thesis is to investigate the optimal asset allocation for a life insurer with respect to internal risk-return requirements and external capital requirements imposed by Solvency II. The thesis performs a case study on a Swedish life insurer for the purpose of developing and evaluating an asset allocation model which incorporates future liabilities of the life insurer. Through quadratic optimization, the asset allocation is optimized for portfolios associated with a certain expected return and the current allocation is compared to optimal portfolios. The results show that it is possible to optimize the asset allocation from both a risk-return and capital requirement perspective. However, they are subject to large shifts in asset allocation. The thesis also shows that there is a large discrepancy of risk from a standard deviation standpoint and regulatory capital charges. One example are hedge funds which have shown a low historical volatility but are classified as an asset with high risk in Solvency II. This study contributes to theory by providing an investment decision framework for life insurers that includes capital charges for asset allocation.
3
Correia, Raquel Sequeira. "Methods of capital allocation in a Solvency II environment." Master's thesis, Instituto Superior de Economia e Gestão, 2017. http://hdl.handle.net/10400.5/14722.
Full textAbstract:
Mestrado em Actuarial Science<br>De acordo com a regulamentação de Solvência II, o SCR é geralmente calculado usando uma fórmula padrão que considera os riscos que uma seguradora enfrenta. Devido à agregação dos diferentes riscos, são originados benefícios de diversificação e um valor de SCR total menor que a soma dos requisitos de capital de cada risco. Para ter em conta estes benefícios de diversificação, o capital total deve ser alocado de volta aos níveis mais baixos de risco, aplicando um método apropriado de alocação de capital. Este relatório é resultado de um estágio curricular que decorreu na EY. Um dos objetivos foi encontrar o método mais apropriado para realizar a alocação do SCR de uma empresa de seguros. Foram estudados cinco métodos de alocação, Proporcional, Variância-Covariância, Merton e Perold, Shapley e Euler. Os métodos são comparados teoricamente, analisando as suas respetivas propriedades e, com base em vários estudos presentes na literatura, conclui-se que o método de Euler é o mais apropriado. Este trabalho contribui para uma melhor compreensão dos métodos de alocação de capital e permite demonstrar como alocar o SCR. Contribui também para mostrar como construir o SES para fins do cálculo do ajustamento LAC DT. Visto que esta tarefa foi uma das dificuldades referidas no QIS 5, este trabalho pode servir como base literária, sendo útil para superar essas dificuldades.<br>Under Solvency II regulation the SCR is mainly calculated using a standard formula which considers the risks that an insurer faces. Due to this aggregation of risks, a diversification benefit is achieved and the global SCR is smaller than the sum of the capital requirements of each risk. To take these diversification benefits into account the total capital should be allocated back to the lower levels of risk by applying a proper method of capital allocation. This report is the result of a curricular internship that took place at EY. One of the goals was to find the most appropriate method to perform a capital allocation of the SCR of an insurance company. Five methods of allocation were studied, Proportional, Variance-Covariance, Merton and Perold, Shapley and Euler. The methods were compared theoretically by analyzing their respective properties, and based on several studies in the literature it is concluded that the Euler method is the most appropriate to apply. This report contributes to a better understanding of capital allocation methods and allows to demonstrate how to allocate the SCR. It also contributes to show how to construct the SES for the purpose of the calculation of the adjustment of LAC DT. Since this task was one of the difficulties enumerated in the Fifth Quantitative Impact Study (QIS 5), this work can serve as a literary base, being useful to overcome these difficulties.<br>info:eu-repo/semantics/publishedVersion
4
ANDERSSON, SIRI, and Patricia Lind. "How External Requirements Affect the InsuranceIndustry : An Investigation on Swedish Insurance Companies’Adjustments to Solvency II." Thesis, KTH, Hållbarhet och industriell dynamik, 2016. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-189588.
Full textAbstract:
The financial sector stands for an important part of society’s fundamental infrastructure andnational economy. Previous financial crises indicate the importance of having a well-regulatedfinancial market. Former directives of regulating the insurance industry had insufficient solvencyregulations and were lacking in risk management. Therefore, the regulatory framework SolvencyII, the successor to Solvency I, has been established on the European market. The objective ofSolvency II is to ensure consumer protection by ensuring insurance companies properly reflectthe risks their businesses are vulnerable to.The regulatory framework Solvency II came into force in the turn of 2015/2016. However, it hasbeen on every insurers’ agenda for years and preparations have been done. It is therefore ofinterest to investigate how Swedish insurance companies have adjusted to Solvency II at an earlystage after the transition.This has been investigated by conducting interviews with mainly Chief Risk Officers and RiskManagers at Swedish insurance companies. As a complement, a questionnaire was distributed toasset and capital managers, having insurers as customers, regarding their perception of insurers’changes in investment behaviors.The findings of this study imply that insurance companies have had a compliance focus to adoptthe regulation rather than a business focus. No indications of adjustments to corporate businessstrategy has yet been noticed. However, some companies have developed a risk culture withinthe organizations. The extensive reporting and calculations of capital that Solvency II entails, haslead to implementations of new systems and processes for companies. It is further noticed thatSwedish insurance companies use the standard model for calculating the capital requirements.Solvency II has lead to increased understanding of the trade-off between capital, risk, and returnby holding a risk-adjusted capital. Also, an increased engagement of employees in the riskmanagement process has been noticed. The companies are aligned with the ORSA process, sinceit is one of the requirements, and are aware of the potential benefits the ORSA process cancontribute to. Lastly, this study indicates an improved risk awareness and culture within theinsurance companies by educating existing employees and employing new competentemployees.
5
Ludwig, Alexander. "The new regulatory regime for European insurers - expected impact on insurers’ investment decisions and a critical assessment of its solvency capital requirements." Doctoral thesis, Saechsische Landesbibliothek- Staats- und Universitaetsbibliothek Dresden, 2015. http://nbn-resolving.de/urn:nbn:de:bsz:14-qucosa-171601.
Full textAbstract:
Under the current regulatory regime for insurance undertakings, Solvency I, the required capital margin does not depend on the allocation of investments, i.e. it is not sensitive to market risk arising from the volatility of market prices for e.g. equity, bond or real estate investments.
To improve the protection of policyholders and create a unified regulatory regime in all countries of the European Economic Area (EEA), a risk-sensitive, forward-looking and principle-based regulatory accord for insurance undertakings called Solvency II will replace the current regime by 01.01.2016. Unlike Solvency I, Solvency II requires the backing up of any investment in risky assets with risk capital rather than imposing investment limits. Own funds eligible to cover the solvency capital requirements under Solvency II shall be based on the difference of market-consistently valuated assets and liabilities in the Solvency II balance sheet.
In this thesis, I first summarize academic contributions as well as opinions from industry representatives on the expected consequences of the current calibration of the Solvency II standard formula. The accuracy of the calibration itself is another focal point of this work.
This work contains four scientific papers. The first paper examines the presence of contagion effects between Eurozone countries in the period 2008-2012. In a market-consistent valuation approach like Solvency II contagion effects intensify the volatility of own funds and therefore of the solvency ratio of insurers. The intensity of contagion peaked in 2010 and first half of 2011 but decreased subsequently which is likely to be a consequence of bailout measures by the EU and the IMF and ECB interventions.
The second and third paper address the zero risk charge for sovereign debt issued by EU member states assumed under the Solvency II standard formula. If one accepts German bond yields to be a risk-free asset, using modern cointegration techniques I showed that bonds of only one third of EU member countries can be perceived as risk-free as well. The fourth paper provides evidence for convergence in the shock-response-behavior of the stock indices of Germany, UK and France during the past decades, which in turn indicates support for the assumption of a perfect tail correlation between listed equity in the Solvency II standard formula.
6
Dahamani, Sabani. "Trilemma analysis in a P&C insurance company (assets & liabilities, equity and risk)." Master's thesis, Instituto Superior de Economia e Gestão, 2016. http://hdl.handle.net/10400.5/12809.
Full textAbstract:
Mestrado em Ciências Actuariais<br>Este projeto constitui uma componente de uma análise mais vasta e muito relevante no âmbito do estudo de uma companhia de seguros Não Vida, relativamente à situação financeira, gestão de ativos e passivos, bem como aos possíveis riscos no âmbito do regime prudencial Solvência II. Para além destes pontos, são ainda relevantes as implicações deste novo regime nos interesses dos principais stakeholders.
Tendo em conta as informações disponíveis, trata-se do primeiro projeto que faz uso de um modelo Dynamic Financial Analysis (DFA) para o cálculo do Requisito de Capital de Solvência (SCR) baseado na fórmula padrão, definida pela European Insurance and Occupational Pensions Authority (EIOPA).
A ideia fundamental neste trabalho é estabelecer para companhias do setor Não Vida as indicações sobre a utilização de modelos DFA numa análise integrada, tendo em conta a avaliação de Ativos e Passivos, Capital Próprio, Risco, assim como as estimativas atuariais, segundo o regime Solvência II.
O propósito fundamental deste projeto, através da utilização de uma ferramenta como o DFA, centra-se em estabelecer uma metodologia que permita um compromisso entre a gestão financeira de uma companhia de seguros Não Vida (por exemplo, rendimentos, resultados, dividendos, etc), a gestão dos ativos e passivos da companhia (assegurando que os passivos da companhia estão devidamente financiados por um portfolio de ativos), e o impacto desta gestão no SCR da companhia, em linha com as orientações de Solvência II.
Para responder à necessidade de elaborar projeções financeiras e integrar as diferentes perspetivas, foi proposto um modelo DFA.<br>This project forms part of a wider and vibrant conversation pertaining to the analysis of a Property and Casualty (P&C) insurance company´s finances, assets & liabilities, and the possible risks in the company in relation to the legislative parameters of the Solvency II Regime, and the wider implication of this for the core stakeholders of interest. To the best of my knowledge, it is the first project that deploys the use of a Dynamic Financial Analysis (DFA) model for the calculations of the Solvency Capital Requirement (SCR) based on the SCR standard given by European Insurance and Occupational Pensions Authority (EIOPA)
The fundamental idea here is to provide perspectives into how the use of DFA models could be integrated into the valuation of Assets & Liabilities, Equity and Risk into providing empirical actuarial credence to companies whose business concerns spins around property and casualty, under the legal framework Solvency II Regime, under European Union (EU) and EIOPA guidelines.
The main purpose of this thesis is to find an equilibrium for managing a P&C insurance company's finances (for example, earnings, returns, dividends, etc.) under a regime very demanding of capital, management of the company's assets and liabilities (ensuring that the company's liabilities are properly funded by a portfolio of assets), and the impact of these managements on the SCR of the company in line with Solvency II directives. In order to properly manage and make financial projections of the company, a DFA model was thus proposed.<br>N/A
7
Bachmann, Manuel. "The Impact of Ex Ante Regulations and Ex Post Interventions on Bank Lending and Solvency." WU Vienna University of Economics and Business, 2018. http://epub.wu.ac.at/6453/1/WP269.pdf.
Full textAbstract:
In this paper, I examine the impact of direct equity injections and troubled asset purchases on bank lending and solvency and analyze how ex ante tighter caps on leverage affect ex post decisions between both interventions. Extending the model of Bachmann (2018) by adding the government as a liquidity supplier, illiquid banks can either sell troubled assets at fire sale prices to collateralized financed liquid banks or to the government. If illiquid banks are forced to sell all troubled assets in order to meet premature withdrawals and the government is left with excess liquidity compared to direct equity injections, they can use these funds to bid up prices. Higher prices reduce future returns on buying illiquid assets and motivate liquid banks´ incentive to lend by crowding out their speculative motive for liquidity hoarding. As a result, troubled asset purchases weakly dominate direct equity injections in terms of lending and solvency, directly amplified by a drop in collateral liquidity. Additionally, regulating illiquid banks ex ante by tighter caps on leverage affects the government's decisions about ex post interventions to effectively stabilize lending and solvency conditions, as the self-reinforcing downward spiral between fire sale prices and collateral liquidity is mitigated. Hence, I find that there exists an inherent nexus between ex ante regulations and ex post interventions.<br>Series: Department of Economics Working Paper Series
8
Ludwig, Alexander [Verfasser], Alexander [Akademischer Betreuer] Karmann, and Alexander [Akademischer Betreuer] Kemnitz. "The new regulatory regime for European insurers - expected impact on insurers’ investment decisions and a critical assessment of its solvency capital requirements / Alexander Ludwig. Gutachter: Alexander Karmann ; Alexander Kemnitz. Betreuer: Alexander Karmann." Dresden : Saechsische Landesbibliothek- Staats- und Universitaetsbibliothek Dresden, 2015. http://d-nb.info/1073207099/34.
Full text
9
Almeida, Pedro Gonçalo Silva. "Basileia III : estudo sobre buffer de capital anticíclico : aplicação a Portugal." Master's thesis, Instituto Superior de Economia e Gestão, 2011. http://hdl.handle.net/10400.5/10212.
Full textAbstract:
Mestrado em Finanças<br>A implementação do Acordo de Basileia III, no período que medeia entre 01/01/2013 e 01/01/2019, corresponde a uma profunda mudança do quadro de referência que rege as Instituições Financeiras. Daí resultam mudanças significativas relacionadas com o papel das entidades reguladoras, o acréscimo das exigências de capital e a promoção de novos vectores de gestão e mensuração dos riscos (entre os quais se destacam o rácio de alavancagem sem considerar a ponderação do risco e a criação de requisitos mínimos associados à liquidez). Uma das novas medidas inseridas neste quadro é a criação de mecanismos que restrinjam a ciclicidade dos requisitos de capital, ou seja, vão-se procurar soluções que elevem os níveis de solvência em períodos expansionistas do ciclo económico e que os reduzam em períodos recessivos. No decurso desta dissertação é explorada a metodologia para a criação de reservas de capital anti-cíclicas promovida pelo Comité de Basileia, sendo a mesma aplicada à realidade portuguesa testando a sua eficácia e identificando eventuais lacunas. Para além dessa metodologia são identificadas metodologias alternativas que possam levar à concretização do objectivo pretendido.<br>The implementation of the Basel III reforms, between 01/01/2013 and 01/01/2019, corresponds to a deep change within the scenario and reference frame that manages the Financial Institutions, from which results some significant changes related to the role of the regulators. Namely: the addition of capital buffers and the promotion of new management guidelines and risk measurement (amongst which stands out the leverage ratio without considering the risk evaluation and the creation of minimum requirements related to liquidity). One of these new measures is the creation of mechanisms that restrict the cyclicity of the bank capital requirements, ie, the search for solutions that may increase solvency levels during this economical cycle expansionary periods and the search for solutions that may decrease those same levels during recessions. During this dissertation I'll explore the methodology used to create anti-cyclical bank reserves promoted by the Basel Committee. The idea is to apply these measurements to the Portuguese scenario by testing its effectiveness and identifying any gaps. Besides that, herein lie some alternative methodologies that may lead to the achievement of the intended goal.
10
Almeida, Pedro Gonçalo da Silva. "Basileia III : estudo sobre buffer de capital anticíclico : aplicação a Portugal." Master's thesis, Instituto Superior de Economia e Gestão, 2011. http://hdl.handle.net/10400.5/4592.
Full textAbstract:
Mestrado em Finanças<br>A implementação do Acordo de Basileia III, no período que medeia entre 01/01/2013 e 01/01/2019, corresponde a uma profunda mudança do quadro de referência que rege as Instituições Financeiras. Daí resultam mudanças significativas relacionadas com o papel das entidades reguladoras, o acréscimo das exigências de capital e a promoção de novos vectores de gestão e mensuração dos riscos (entre os quais se destacam o rácio de alavancagem sem considerar a ponderação do risco e a criação de requisitos mínimos associados à liquidez). Uma das novas medidas inseridas neste quadro é a criação de mecanismos que restrinjam a ciclicidade dos requisitos de capital, ou seja, vão-se procurar soluções que elevem os níveis de solvência em períodos expansionistas do ciclo económico e que os reduzam em períodos recessivos. No decurso desta dissertação é explorada a metodologia para a criação de reservas de capital anti-cíclicas promovida pelo Comité de Basileia, sendo a mesma aplicada à realidade portuguesa testando a sua eficácia e identificando eventuais lacunas. Para além dessa metodologia são identificadas metodologias alternativas que possam levar à concretização do objectivo pretendido.<br>The implementation of the Basel III reforms, between 01/01/2013 and 01/01/2019, corresponds to a deep change within the scenario and reference frame that manages the Financial Institutions, from which results some significant changes related to the role of the regulators. Namely: the addition of capital buffers and the promotion of new management guidelines and risk measurement (amongst which stands out the leverage ratio without considering the risk evaluation and the creation of minimum requirements related to liquidity). One of these new measures is the creation of mechanisms that restrict the cyclicity of the bank capital requirements, ie, the search for solutions that may increase solvency levels during this economical cycle expansionary periods and the search for solutions that may decrease those same levels during recessions. During this dissertation I'll explore the methodology used to create anti-cyclical bank reserves promoted by the Basel Committee. The idea is to apply these measurements to the Portuguese scenario by testing its effectiveness and identifying any gaps. Besides that, herein lie some alternative methodologies that may lead to the achievement of the intended goal.
11
Santos, Jordanno Brunno Nicoletta dos. "Desenvolvimento de métodos alternativos para avaliação de riscos segundo o conceito de supervisão baseada em riscos." Universidade de São Paulo, 2011. http://www.teses.usp.br/teses/disponiveis/3/3142/tde-03042012-080226/.
Full textAbstract:
O sistema de fundos de pensão possui papel fundamental na constituição de poupança e desenvolvimento do mercado financeiro e de capitais de um país. As incertezas de sustentabilidade do equilíbrio financeiro no longo prazo direcionam a exigência de uma supervisão robusta sobre os diversos riscos incorridos, não se restringindo apenas ao seu estado de solvência. A presente dissertação procura apresentar modelos baseados na avaliação dos riscos de um fundo de pensão, passando pela situação atuarial, as características dos planos, bem como pelos parâmetros relacionados ao mercado de capitais e formas de gestão dos investimentos. Os modelos propostos nos ajudam a visualizar o risco atuarial justificado pelo aumento da expectativa de vida, o risco de mercado através do reinvestimento e o risco de mercado em função do nível das taxas de juros. Ainda, tendo em conta estes riscos quantificáveis, é efetuada uma aplicação prática com o objetivo de determinação do requisito de capital de um determinado fundo de pensão para a cobertura destes riscos, tendo por base o modelo do projeto europeu de Solvência II, desenvolvido no âmbito da atividade seguradora.<br>The system of pension funds has a primary role in the formation of savings and financial market development and capital of a country. The uncertainties of financial balance sustainability in the long term drive the requirement for a robust supervision on the various risks involved, not restricted only to its state of solvency. This dissertation seeks to present models based on risk assessment of a pension fund, through the actuarial situation, the characteristics of the plans, as well as the parameters related to capital markets and ways of managing investments. The proposed models help us to see the actuarial risk justified by the increase in life expectancy, market risk through reinvestment and market risk based on the level of interest rates. Still, considering these risks quantifiable, a practical application is made for the purpose of determining the capital requirement of a particular pension fund to cover these risks, based on the model of the European Solvency II project, developed within the ambit of insurance activity.
12
Ventura, Ana Cristina Alves. "Tratamento dos mecanismos de mitigação de risco através da transferência de riscos de seguros para o mercado financeiro." Master's thesis, Instituto Superior de Economia e Gestão, 2010. http://hdl.handle.net/10400.5/2234.
Full textAbstract:
Mestrado em Ciências Actuariais<br>O presente trabalho tem como principal objectivo fornecer um contributo ao nível dos estudos realizados sobre o regime Solvência II, que visa implementar um novo sistema de solvência para as empresas de seguros e resseguros na União Europeia. Pretende-se apresentar uma avaliação do impacto da utilização de mecanismos de mitigação do risco (securitização) através da transferência de alguns riscos técnicos de seguros, mais concretamente do ramo Vida, para o mercado financeiro, analisando o seu impacto nas provisões técnicas, nos requisitos de capital e no processo de supervisão. Assim, serão criados dois produtos que pretendem transferir para os mercados financeiros os riscos técnicos de seguros, mais concretamente os riscos de longevidade e de mortalidade, realizando-se uma avaliação em ambiente de Solvência 2 através do cálculo das provisões técnicas e dos requisitos de capital. Posteriormente um deles será avaliado numa óptica de investidor, utilizando duas metodologias distintas: a Transformada de Wang e uma abordagem neutra face ao risco.<br>The major goal of this dissertation is to make a contribution to the current studies about
Solvency II which aims to implement a new solvency system for the insurance and reinsurance companies in the European Union. It is intended to evaluate the impact of some risk mitigation mechanisms (securitization), through a transfer of some technical insurance risks (Life Risks) into the financial markets, with the consequent analysis of its impact in technical provisions, capital requirements and supervision processes. As a means to further evaluate risk mitigation mechanisms in context to Solvency 2, two unique products were derived that transferred the technical insurance risks, such as longevity and mortality, into the financial markets. Ultimately, one of the products was priced accordingly with investor's sentiment, using two different methodologies, namely Wang Transform and a risk neutral valuation.
13
Kožár, Martin. "Kapitálové požadavky kladené na pojišťovny v Solvency II a jejich kvantifikace." Master's thesis, 2011. http://www.nusl.cz/ntk/nusl-296588.
Full textAbstract:
This thesis studies project Solvency II, which is focused on the integrated regulation of insurance market in the European Union. It presents basic division and capital requirements arising from it. It describes division of the project into the three areas, refered to as pillars in practice. The thesis summarizes the basic methods for measuring the risk (Value at Risk, Tail Value at Risk), necessary in the calculation of the solvency capital requirements. The thesis studies the method of calculation of the solvency capital requirement SCR and the minimum capital requirement MCR. The calculation of the SCR is focused mainly on the method of the calculation of the capital requirement using the standard formula. Lastly, capital requirements are calculated using concrete data set.
14
Čupák, Matúš. "Ekonomický kapitál a cena rizika penzijního fondu." Master's thesis, 2011. http://www.nusl.cz/ntk/nusl-297911.
Full textAbstract:
In the present work we study the economic capital of pension funds and their possible extension into the new concept of Solvency II. The main task is to examine the risks that are characteristic for pension fund activity. We use several modified stress simulations, which we model using a virtual model of pension fund. Primarily we focus on changes in net asset value (NAV) which is used in standard formula for calculation of the solvency capital requirement (SCR). In conclusion, we evaluate the possible impact of applications Solvency II to pension funds, the resulting economic capital and solvency of modeled pension fund.
15
Facote, Rute Sofia Monteiro, and Sara Braga Felizardo. "Managing marginal capital requirements in solvency II: analysis of a real insurance portfolio." Master's thesis, 2015. http://hdl.handle.net/10362/15456.
Full textAbstract:
This thesis provides a complete analysis of the Standard Capital Requirements given by Solvency II
for a real insurance portfolio. We analyze the investment portfolio of BPI Vida e Pensões, an insurance
company affiliated with a Portuguese bank BPI, both at security, sub-portfolio and asset class levels.
By using the Standard Formula from EIOPA, Total SCR amounts to 239M€. This value is mostly
explained by Market and Default Risk whereas the former is driven by Spread and Concentration
Risks.
Following the methodology of Leblanc (2011), we examine the Marginal Contribution of an asset
to the SCR which allows for the evaluation of the risks of each security given its characteristics
and interactions in the portfolio. The top contributors to the SCR are Corporate Bonds and Term
Deposits. By exploring further the composition of the portfolio, our results show that slight changes
in allocation of Term and Cash Deposits have severe impacts on the total Concentration and Default
Risks, respectively. Also, diversification effects are very relevant by representing savings of 122M€.
Finally, Solvency II represents an opportunity for the portfolio optimization. By constructing
efficient frontiers, we find that as the target expected return increases, a shift from Term Deposits/
Commercial Papers to Eurozone/Peripheral and finally Equities occurs.
16
Lin, Cheng Kuo, and 林正國. "A study on the solvency capital requirements of the life insurance companies in Taiwan-estimated in Solcency II QIS5 principles." Thesis, 2011. http://ndltd.ncl.edu.tw/handle/32850868367519249224.
Full textAbstract:
碩士<br>國立政治大學<br>風險管理與保險研究所<br>99<br>After the completion of the Fifth Quantitative Impact Study (QIS5) for the new insurance industrial regulation framework- Solvency II, European Union planned to implement the project in few years. No matter that the regulatory system of insurance industry in Taiwan will follow the trend or will not, it is a must that we should estimate the impacts on the whole industry before making the decisions.
This study have an aim to estimate the Solvency Capital Requirements of 4 life insurance companies in Taiwan in the same principles with QIS5, which were took place in August 2010 by CEIOPS. In order to calculate the SCR, we made a lot of hypotheses and then estimated the fair value of the company assets and liabilities, including the fair value of technical provision. By means of the calculating helpers provided by CEIOPS used in QIS5, we found out the SCRs of these companies when they were on 31 December 2009. Then we performed the sensitivity analysis by the different interest rate which is based on the data on 31 December 2007, and recalculated the SCRs of the companies.
This study had conclusions that the technical provisions were not sufficient to fulfill the obligations in aspect of the economic value. The surplus of companies were exhausted, because the technical provisions increased by fair valuation. Also, the heavy loadings of risk margins as 12.4% to 30.2% of the best estimates were the important reason of the negative own fund.
We found that the capital requirements of interest risk and currency risk took great percentages of total SCRs. And the SCRs will not reduce in great amount caused by technical provisions reduced in the situation that interest rate come back to the level in 2007. It showed that the SCRs had great sensitivity to the interest risk and insurance companies should prepare sufficient own fund to prevent financial crisis caused by interest rate shock.
17
Ludwig, Alexander. "The new regulatory regime for European insurers - expected impact on insurers’ investment decisions and a critical assessment of its solvency capital requirements." Doctoral thesis, 2014. https://tud.qucosa.de/id/qucosa%3A28782.
Full textAbstract:
Under the current regulatory regime for insurance undertakings, Solvency I, the required capital margin does not depend on the allocation of investments, i.e. it is not sensitive to market risk arising from the volatility of market prices for e.g. equity, bond or real estate investments.
To improve the protection of policyholders and create a unified regulatory regime in all countries of the European Economic Area (EEA), a risk-sensitive, forward-looking and principle-based regulatory accord for insurance undertakings called Solvency II will replace the current regime by 01.01.2016. Unlike Solvency I, Solvency II requires the backing up of any investment in risky assets with risk capital rather than imposing investment limits. Own funds eligible to cover the solvency capital requirements under Solvency II shall be based on the difference of market-consistently valuated assets and liabilities in the Solvency II balance sheet.
In this thesis, I first summarize academic contributions as well as opinions from industry representatives on the expected consequences of the current calibration of the Solvency II standard formula. The accuracy of the calibration itself is another focal point of this work.
This work contains four scientific papers. The first paper examines the presence of contagion effects between Eurozone countries in the period 2008-2012. In a market-consistent valuation approach like Solvency II contagion effects intensify the volatility of own funds and therefore of the solvency ratio of insurers. The intensity of contagion peaked in 2010 and first half of 2011 but decreased subsequently which is likely to be a consequence of bailout measures by the EU and the IMF and ECB interventions.
The second and third paper address the zero risk charge for sovereign debt issued by EU member states assumed under the Solvency II standard formula. If one accepts German bond yields to be a risk-free asset, using modern cointegration techniques I showed that bonds of only one third of EU member countries can be perceived as risk-free as well. The fourth paper provides evidence for convergence in the shock-response-behavior of the stock indices of Germany, UK and France during the past decades, which in turn indicates support for the assumption of a perfect tail correlation between listed equity in the Solvency II standard formula.
18
Van, Huyssteen Johan. "The impact of solvency assessment and management on the short-term insurance industry in South Africa." Diss., 2014. http://hdl.handle.net/10500/18367.
Full textAbstract:
The financial stability of the insurers is important to fulfil its role as a risk transfer mechanism and to protect the purchasers of their products. The European Union is introducing the Solvency II to modernise the current Solvency I regime and to harmonise the different insurance legislation of the members of the European Union. Solvency II introduces an architecture consisting of three pillars, with Pillar I setting the solvency capital requirements, Pillar II the governance and risk management requirements and Pillar III the reporting requirements. The South African Regulator initiated Solvency Assessment and Management for implementation in 2016 to align the South African prudential regulatory framework to meet the Solvency II requirements for third country equivalence. The problem that this study addressed is the possible effect that the introduction of Solvency Assessment and Management may have on the sustainability of short-term insurers in South Africa. The results of a empirical component of the study indicated that small and medium short-term insurers may be negatively impacted due to the costs incurred to implement and comply with the requirements of the new regulatory framework. The effect on the South African short-term industry can be that cover is concentrated among a few large short-term insurers.<br>Business Management<br>M. Com. (Business Management)
19
Almeida, Sara João de Sousa Teixeira de. "Cálculo dos requisitos de capital em solvência II. Aplicação a uma companhia de seguros de saúde." Master's thesis, 2010. http://hdl.handle.net/10400.5/13679.
Full textAbstract:
Mestrado em Finanças<br>A Solvência II vai mudar de forma considerável a gestão, a regulamentação e a
supervisão do sector segurador na União Europeia. Este projecto representa para a
União Europeia e para Portugal um grande desafio, sendo por isso um dos temas
actualmente mais debatidos na área Seguradora.
A Solvência II baseia-se na identificação e avaliação dos riscos e na respectiva
capacidade de gestão e controlo, requerendo por isso, da parte de todos os intervenientes
do mercado, um esforço adicional. Este verificar-se-á através do reforço das estruturas e
mecanismos de governação, pela necessidade de utilização de metodologias sofisticadas
e também pelos processos de gestão e supervisão com maior enfoque no risco.
Proponho-me nesta dissertação, calcular e analisar criticamente os requisitos de capital
obtidos de acordo com os princípios estabelecidos no actual sistema em vigor,
Solvência I, e no futuro sistema, Solvência II, para uma Companhia de Seguros de
Saúde a operar em Portugal.<br>The Solvency II will significantly change the management, regulation and supervision
of the insurance sector in the EU. This project represents both for the European Union
and Portugal, an important challenge, as such it is one of the most highly debated topics
in Insurance.
The Solvency II is based on the identification and the assessment of risks and their
respective capacities of management and control, and thus requiring an additional effort
from all market participants. This can be achieved or ascertained via the strengthening
of structures and governance mechanisms, with a need to use sophisticated
methodologies as well as through processes of management and supervision with a
greater emphasis on risk.
During this thesis I calculate and analyze the capital requirements gotten in accordance
with the principles established in the current system, Solvency I, and the future system,
Solvency II, for a Portuguese Health Insurance company.<br>N/A
20
Macedo, Luís Pedro Dias da Silva Amorim de. "Justo valor, previsões, requisitos de capital e solvência II: aplicação a uma companhia de seguros do ramo não-vida." Master's thesis, 2015. http://hdl.handle.net/10071/11345.
Full textAbstract:
Classificação JEL: G17 – Financial Forecasting and Simulation; G22 – Insurance; Insurance Companies<br>O projeto Solvência II constitui uma oportunidade para melhorar a regulamentação e a supervisão das companhias de seguros, mas mais do que uma nova abordagem às regras de cálculo de solvência deve representar uma evolução histórica na abordagem ao risco e à inclusão de novas práticas de gestão.
Este estudo foca-se no quadro regulamentar específico Solvência II da União Europeia, e pretende analisar o impacto no corporate governance. Para isso procedeu-se à avaliação dos resultados portugueses obtidos no último Estudo de Impacto Quantitativo (QIS), ocorrido em 2014, baseados nas demonstrações financeiras com referência a 2013. É projetada a evolução do requisito de capital de solvência (SCR) no período de 2014-2019, de acordo com a última especificação técnica aprovada, para o caso específico da companhia de seguros do ramo não-vida ABC1.
A avaliação das companhias de seguros, utilizando conceitos de matemática financeira normalmente referidos como Fair ou Risk Neutral Valuation, tem aumentado entre os praticantes. Tendo por base a fórmula padrão da Solvência II, o modelo de discounted cash flows e o recurso a opções reais, é proposto nesta dissertação proceder à avaliação de uma companhia de seguros do ramo não-vida sediada em Portugal que atua em diversos países. Nesse sentido serão adaptados os métodos de previsão/orçamentação de prémios e os custos com sinistros através de uma simulação de Monte Carlo, os investimentos serão projetados com recurso a um modelo baseado em opções reais, e com isso, pretende-se potenciar a inclusão de medidas de volatilidade e risco no processo de previsão/orçamento.<br>The Solvency II project is an opportunity to improve regulation and supervision of insurance companies, but more than a new approach to the Solvency calculation rules it must represent a historical evolution in the approach to risk and the inclusion of new management practices.
This study focus on the European Union specific regulatory framework Solvency II, and aims to analyze the impact in corporate governance. For that we have evaluated the Portuguese results for the last Quantitative Impact Study (QIS), occur in 2014, based in 2013 financial statements. It is projected the evolution of the Solvency Capital Requirement (SCR) in the period of 2014 to 2019, according with the last technical specification approved, for the specific business case of the non-life insurance company ABC1.
The valuation of insurance companies using concepts from financial mathematics usually referred to as Fair or Risk Neutral Valuation, have increased among the practitioners. Based on the standard formula of the Solvency II, the model of discounted cash flows and the use of real option, is proposed in this paper to develop a valuation of a non-life insurance company based in Portugal but acting in several countries. For that we have adapt forecasting/budgeting method based in a Monte Carlo simulation among the premiums and claims, as for the investments are forecasted with a model based in real options, therefore, we intend to include volatility and risk measures in the forecast/budgeting.