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Palátová, Helena. "Solvency II." Master's thesis, Vysoká škola ekonomická v Praze, 2008. http://www.nusl.cz/ntk/nusl-3607.

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Tato diplomová práce je zaměřená na problematiku nového regulatorního režimu pro oblast pojišťovnictví - Solvency II. Představuje shrnutí současného vývoje a aktuálních dokumentů k této problematice. Cílem práce je představit připravovaný režim a na příkladě se simulovanými daty ukázat rozdíl ve výpočtu solventnosti pro životní pojištění podle stávajícího režimu Solvency I a podle budoucího režimu Solvency II. Práce je rozčleněna do tří hlavních tematických bloků. V první části (druhá a třetí kapitola) je stručný přehled současné situace v oblasti regulace pojistných trhů. Druhá část popisuje
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Menclová, Petra. "Solvency II." Master's thesis, Vysoká škola ekonomická v Praze, 2009. http://www.nusl.cz/ntk/nusl-16501.

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This thesis focuses on the new regulatory regime for the insurance sector called Solvency II. The aim of this thesis is to introduce and explain the structure of the new regime with its advantages and further to provide an overview of the most important problems linked with the draft of the new directive and the implementation itself. The thesis is divided into five parts. The first two parts shortly survey the current situation in the regulation of insurance markets together with the risks typical for the insurance industry. The third part explains the current rules for solvency calculation a
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Oliveira, Patrícia Raquel Lopes. "Solvency basis : features and purposes of a solvency valuation of a pension scheme." Master's thesis, Instituto Superior de Economia e Gestão, 2019. http://hdl.handle.net/10400.5/19169.

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Mestrado em Actuarial Science<br>No Reino Unido há leis sólidas que tentam garantir que os fundos de pensões correspondentes aos planos de pensões de benefício definido terão condições para pagar todos os benefícios prometidos aos seus membros. Uma dessas leis requer que sejam feitas avaliações atuariais com uma periocidade mínima de 3 anos. O principal objetivo destas avaliações é verificar se o fundo tem ativos suficientes para cobrir todo o passivo. É obrigatório incluir nestas avaliações atuariais uma estimativa da solvência do plano, sendo esta uma das finalidades das avaliações de solvên
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Cercato, Gianluca <1992&gt. "Solvency II, il primo pilastro con applicazioni per il calcolo del Solvency Capital Requirement." Master's Degree Thesis, Università Ca' Foscari Venezia, 2021. http://hdl.handle.net/10579/18574.

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In questa tesi si trattano le tematiche tipiche di Solvency II. L'elaborato è suddiviso in 3 parti: la prima parte analizza il percorso storico verso Solvency II che comincia dai primi studi negli anni '50 del 1900 e arriva alla descrizione dell'attuale contesto normativo; la seconda parte presenta i vari Quantitative Impact Studies ed infine nella terza parte si procede al calcolo del Solvency Capital Requirement attraverso i dati forniti da un'importante compagnia di assicurazioni Italiana.
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Leurent, Eléonore, and Tobias Voigt. "BASEL II and SOLVENCY II." Thesis, Umeå University, Umeå School of Business, 2007. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-1256.

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<p>Financial crises, liberalization of financial markets, globalization and more and more sophisticated financial products necessitate appropriate regulations within the financial industry. Nowadays, ever-growing international trading is all the more linked to financial</p><p>institutions such as banks and insurance companies. But simultaneously, with the international operations, the range of relevant risks has increased enormously and the implementation of</p><p>new efficient regulations has become necessary. These regulations aim at improving risk management, in order to assure the solvabil
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Bignozzi, Valeria. "Contributions to solvency risk measurement." Thesis, City University London, 2012. http://openaccess.city.ac.uk/2037/.

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The thesis focuses on risk measures used to calculate solvency capital requirements. It consists of three independent papers. The first paper (Chapter 2) investigates time-consistency, the relation that should hold across risk measurements of the same financial position at different time points. Sufficient conditions are provided for coherent risk measures, in order to satisfy the requirements of acceptance-, rejection- and sequential consistency. It is shown that risk measures used in practice usually do not satisfy these requirements. Hence a method is provided to systematically construct se
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Knight, Allan Ray. "The solvency of 1,8-Cineole." Thesis, Knight, Allan Ray (1997) The solvency of 1,8-Cineole. Masters by Research thesis, Murdoch University, 1997. https://researchrepository.murdoch.edu.au/id/eprint/51657/.

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Methods of estimation of the cohesion parameters for terpenoids, particularly 1,8-cineole from eucalyptus oil, have been reviewed. Both semi-empirical and group contribution methods have been examined. The calculated values have been compared with each other and with values determined from experimental measurements, in order to assess the relative reliability of estimation methods. The information is required for formulation of natural solvent blends to replace traditional hydrocarbon and chlorinated hydrocarbon solvents. A cohesion parameter of 16.2 MPa12 is the preferred value for 1,8-cineol
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Hayes, Genevieve Katherine, and genevieve hayes@anu edu au. "Stochastic Solvency Testing in Life Insurance." The Australian National University. School of Finance and Applied Statistics, 2009. http://thesis.anu.edu.au./public/adt-ANU20090226.084732.

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Stochastic solvency testing methods have existed for more than 20 years, yet there has been little research conducted in this area, particularly in Australia. This is for a number of reasons, the most pertinent of which being the lack of computing capabilities available in the past to implement more sophisticated techniques. However, recent advances in computing have made stochastic solvency testing possible in practice and have resulted in a trend towards this being done in advanced studies. ¶ The purpose of this thesis is to develop a realistic solvency testing model in a form that can be i
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Hirst, Natasha C. "Solvency effects on polymer-surfactant interactions." Thesis, Cardiff University, 2008. http://orca.cf.ac.uk/54690/.

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Surfactants and polymers have extensive uses and applications in day to day life as detergents, cosmetics, and paints, and in industry, medicine and pharmaceuticals. Gaining a comprehensive understanding of the properties and functions of surfactant and polymer systems in a range of solvents will support the continued development of new uses for these systems. Against this background, this study characterised the interaction of the anionic surfactant sodium dodecyl sulphate (SDS) with the nonionic polymer, poly(vinylpyrrolidone) (PVP) in ethanol/water mixtures. A wide range of techniques were
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Thomas, Jamie. "Financial Solvency of the American Government." Digital Commons @ East Tennessee State University, 2012. https://dc.etsu.edu/honors/28.

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The main topic of this paper is the financial solvency, or “the ability to pay all debts,” of the United States government (“solvency,” n.d.). The questions posed and analyzed are 1) is the American government solvent, 2) did Standard and Poor’s accurately downgrade the American debt, and 3) how does the national debt affect the solvency of the American government. To determine the solvency and effects of debt, analysis of financial information for America and nine other countries, grouped according to their credit rating is used. Solvency is determined by credit rating for this analysis; a
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Hayes, Genevieve Katherine. "Stochastic solvency testing in life insurance /." View theses entry in Australian Digital Theses Program, 2008. http://thesis.anu.edu.au/public/adt-ANU20090226.084732/index.html.

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Almonti, Giulia <1988&gt. "Solvency II e sistema di governance." Master's Degree Thesis, Università Ca' Foscari Venezia, 2015. http://hdl.handle.net/10579/7169.

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Nell'elaborato vengono analizzate le principali novità della Direttiva con particolare attenzione al sistema di governance. In particolare, con riferimento ad un campione di 10 gruppi assicurativi, vengono analizzate: la funzione attuariale e il suo collocamento organizzativo, la funzione risk management e nel caso specifico il risk appetite framework, nonchè i requisiti di idoneità alla carica e le relative policy redatte dalle compagnie.
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Andersson, Daniel. "A Risk and Capital Requirement Model for Life Insurance Portfolios." Thesis, Umeå universitet, Institutionen för matematik och matematisk statistik, 2008. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-51317.

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The capital requirements for insurance companies in the Solvency I framework are based on the premium and claim expenditure. This approach does not take the individual risk of the insurer into consideration and give policy holder little assur- ance. Therefore a framework called Solvency II is under development by EU and its members. The capital requirements in Solvency II are based on risk management and is related to the specific risks of the insurer. Moreover, the insurer must make disclosures both to the supervising authority and to the market. This puts pressure on the insurance companies
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Charpentier, Carl-Emil, and Somnell Erik Allenius. "Asset Allocation under Solvency II : The impact of Solvency II on the asset allocation of Swedish life insurance companies." Thesis, KTH, Industriell ekonomi och organisation (Inst.), 2012. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-98653.

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This thesis investigates the impact of Solvency II on the asset side of Swedish mutual life insurers. With the help of a quantitative analysis and a qualitative examination of our results we find that there will be a significant change in demand for certain products. A substantial increase in demand for government bonds and interest rate swaps with long maturities should be expected. Furthermore, both corporate and covered bonds will be more attractive investments under the new regulatory framework. Another big impact is the lower risk-adjusted return for equity, which over time will lead to a
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Schrepfer, Thomas. "Swiss Solvency Test und Solvency II Theorie und Praxis in der Ausgestaltung von Solvabilitätsvorschriften für Lebensversicherungen in Europa /." St. Gallen, 2007. http://www.biblio.unisg.ch/org/biblio/edoc.nsf/wwwDisplayIdentifier/01653963002/$FILE/01653963002.pdf.

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Boros, Daniel. "On Lapse risk factors in Solvency II." Thesis, KTH, Matematisk statistik, 2014. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-146111.

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In the wake of the sub-prime crisis of 2008, the European Insurance and Occupational Pensions Authority issued the Solvency II directive, aiming at replacing the obsolete Solvency I framework by 2016. Among the quantitative requirements of Solvency II, a measure for an insurance firms solvency risk, the solvency risk capital, is found. It aims at establishing the amount of equity the company needs to hold to be able to meet its insurance obligations with a probability of 0.995 over the coming year. The SCR of a company is essentially built up by the SCR induced by a set of quantifiable risks.
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Hardy, Mary Rosalyn. "Stochastic simulation in life office solvency assessment." Thesis, Heriot-Watt University, 1994. http://hdl.handle.net/10399/1398.

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Petrova, I. "The approach to assesment solvency capital requirement." Thesis, Ukrainian Academy of Banking of the National Bank of Ukraine, 2009. http://essuir.sumdu.edu.ua/handle/123456789/61958.

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Kudrová, Michaela. "Příprava implementace Solvency II na český trh." Master's thesis, Vysoká škola ekonomická v Praze, 2011. http://www.nusl.cz/ntk/nusl-85328.

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This thesis is primarily focused on forthcoming regulatory concept Solvency II, which is valid for all member states of the European Union in insurance industry. In the first part of the work the term solvency is defined and actual mode of its reporting called Solvency I with its basic shortcomings are introduced. The second part describes the forthcoming new concept called Solvency II, its aims, three pillars on which it stands on and also the Lamfalussy Legislative Model according to which it is created. Then the fundamental risks endangering the insurance companies and the timetable of the
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Kadochová, Lucie. "Projektové řízení v prostředí požadavků Solvency II." Master's thesis, Vysoká škola ekonomická v Praze, 2012. http://www.nusl.cz/ntk/nusl-162544.

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This paper is focused on application and modification of PRINCE2 methodology for project management of regional project Solvency II. This paper also define environment which is determining for the project and define legislation which is connected with internal regulation system. Work shows practical examples of documents created solely for purpose of the project and specified points in project which should be in focus in case of any similar project will happen in future.
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Ehrlich, Kathleen. "Wertorientierte Steuerung von Versicherungsunternehmen mit Solvency II." Lohmar Köln Eul, 2009. http://d-nb.info/99931095X/04.

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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.

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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 al
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Maurová, Martina. "Specifika hospodaření pojišťovny se zřetelem k solventnosti pojišťovny." Master's thesis, Vysoká škola ekonomická v Praze, 2007. http://www.nusl.cz/ntk/nusl-846.

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Ve světě plném rizik má své nezastupitelné místo pojišťovna, která obchoduje s pojistným rizikem. V rámci své hospodářské činnosti na sebe přebírá, oceňuje, řídí a diverzifikuje rizika ostatních ekonomických subjektů. V zájmu ochrany vynaložených finančních prostředků na pojistnou ochranu a důvěry ekonomických subjektů podléhá pojišťovna regulaci ze strany státního dozoru, kdy jedna z důležitých činností je sledování její solventnosti. Současná metodika solventnosti neodráží dostatečně situaci měnícícho se tržního prostředí, a proto se pracuje na nové metodice pod názvem Solvency II.
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Ahlin, Filip. "Internal model for spread risk under Solvency II." Thesis, KTH, Matematisk statistik, 2017. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-215340.

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In May 2009 the European Commission decided on new regulations regarding solvency among insurance firms, the Solvency II Directive. The directive aims to strengthen the connection between the requirement of solvency and risks for insurance firms. The directive partly consists of a market risk module, in which a credit spread risk is a sub category. In this thesis a model for credit spread risk is implemented. The model is an extended version of the Jarrow, Lando and Turnbull model (A Markov Model for theTerm Structure of Credit Risk Spreads, 1997) as proposed by Dubrana (A Stochastic Model for
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Jedlička, Tomáš. "Solvency II a její dopad na české pojistitele." Master's thesis, Vysoká škola ekonomická v Praze, 2007. http://www.nusl.cz/ntk/nusl-1657.

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Práce analyzuje dopady zavedení nového principu řízení solventnosti pojistného trhu - Solvency II. Zohledněn je historický vývoj pojišťovnictví, aktuální stav regulace v této oblasti a pozitiva resp. negativa současného přístupu. Samotný koncept Solvency II je rozdělen do několika částí. V teoretické části jsou analyzovány procedury přijetí evropské směrnice a taky principy samotného přístupu. V závěru se analyzují kvantitativní výsledky kvantitativních studií a jejich pravděpodobný dopad na samotné pojišťovny po zavedení Solvency II s důrazem na oblast České republiky.
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Černá, Eva. "Metodika Solvency II a dopady na hospodaření pojišťovny." Master's thesis, Vysoká škola ekonomická v Praze, 2008. http://www.nusl.cz/ntk/nusl-10519.

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This diploma paper is concerned with new rules of regulation of insurance system. Their name is Solvency II. The aim of work is view of structure of new regime of insurance system and impacts of new rules on economy of insurance company. The work is divided into three parts, the first part is concerned with historical progress of regulation in the czech area and an activity of supervision. In the second part there is comparison of current rules for calculation of solvency with suggested methodology. There are contained structural elements of new metodology. The concept of Solvency II is inspir
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Beržinskaitė, Lina. "Draudimo kompanijų mokumo įvertinimas." Master's thesis, Lithuanian Academic Libraries Network (LABT), 2007. http://vddb.library.lt/obj/LT-eLABa-0001:E.02~2007~D_20070816_142249-45423.

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Pastaruoju metu labai svarbus draudimo įmonių finansinės padėties stabilumo klausimas, kuris aktualus ne tik pačioms įmonėms ar jas kontroliuojančioms institucijoms, bet ir mums – pavieniams draudėjams. Šio darbo tyrimo tikslas – ne gyvybės draudimo kompanijų mokumo įvertinimas. Lietuvos draudimo įmonių mokumas vertinamas taikant modelį, pagal kurį draudimo kompanijos finansinė padėtis laikoma stabilia, jei apskaičiuota turima mokumo atsarga yra didesnė už būtiną mokumo atsargą. Tokį mokumo atsargų palyginimą atliksime kelioms ne gyvybės draudimo kompanijoms. Tačiau kyla klausimas, ar toks Lie
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Hoppendorff, Henrik. "Solvency II: The Change of Insurance Regulation and Its Projected Impact on the Social Welfare." Thesis, Uppsala universitet, Nationalekonomiska institutionen, 2011. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-168920.

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Haller, Hans-Peter. "IFRS und Solvency II als Herausforderungen in der Versicherungsbranche." St. Gallen, 2006. http://www.biblio.unisg.ch/org/biblio/edoc.nsf/wwwDisplayIdentifier/01650621002/$FILE/01650621002.pdf.

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Affolter, Ines. "Solvency regulation and contract pricing in the insurance industry /." [S.l.] : [s.n.], 2009. http://www.biblio.unisg.ch/www/edis.nsf/wwwDisplayIdentifier/3601.

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Macdonald, Angus S. "A stochastic evaluation of solvency valuations for life offices." Thesis, Heriot-Watt University, 1995. http://hdl.handle.net/10399/1348.

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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.

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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 dec
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Kravar, Jan. "Risk management pojišťovny v souvislosti s metodikou Solvency II." Master's thesis, Vysoká škola ekonomická v Praze, 2011. http://www.nusl.cz/ntk/nusl-124922.

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This final thesis deals with the risk management of the insurance company within the establishment of the new concept Solvency II valid for the each European Union member states in insurance industry. In first part, there are defined risks of the insurance company. Lamfalussy's legislative process used for concept Solvency II establishment is described in second part. New concept Solvency II, their objectives, three props, implementation time schedule as well as analysis of five quantitative impact studies is determined in third part. Final part of this thesis is focused on Risk management of
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Hradecký, Ondřej. "Některé aspekty kaklulace solventnosti pojišťoven podle principů Solvency II." Master's thesis, Vysoká škola ekonomická v Praze, 2012. http://www.nusl.cz/ntk/nusl-165341.

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The diploma thesis focuses on the topic of the future regulatory regime of the insurance and reinsurance market of the European Union called Solvency II. Currently the most discussed issue without a final structure is an extensive set of legislative and technical changes not only in the area of solvency treatment. Primarily, the work focuses on the standard formula calculation of capital requirements that reflect the solvency position of companies on the market. The first part deals with the theoretical description of the calculating methods of the required capital levels under current and fut
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Pastrňáková, Alena. "Varianty řízení datové kvality v rámci regulace Solvency II." Master's thesis, Vysoká škola ekonomická v Praze, 2014. http://www.nusl.cz/ntk/nusl-204079.

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The diploma thesis deals with data quality in connection with legal requirements of the Solvency II regulation, which must be met by insurance companies in order to keep their licences. The aim of this thesis is to consider opportunities and impacts of implementing data quality for Solvency II. All data quality requirements of the regulation were specified and supplemented with possibilities how to meet them. Related data quality areas were also described. Sample variants of manual, partially automated and fully automated solutions with regard to expenditure of costs and time were compared bas
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Bumbera, Mario. "Řízení rizik pojišťoven v návaznosti na metodiku Solvency II." Master's thesis, Vysoká škola ekonomická v Praze, 2015. http://www.nusl.cz/ntk/nusl-207000.

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The subject of the Master Thesis is risk and risk management within the new regulatory framework in the field of insurance Solvency II. The thesis especially deals with the Solvency II directive that has been used as an instrument for the insurance market regulation within the European Union since 1st January 2016. Besides the risk classification, risk management and an example of its application in an insurance company, the thesis also mentions the global financial crisis (its causes and consequences) on the background of the banking sector. Another important part of the thesis describes the
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Hellberg, Evelina, and Ulrika Nilsson. "Sju kommuners soliditetsutveckling under år 2006 till 2010." Thesis, Mälardalens högskola, Akademin för hållbar samhälls- och teknikutveckling, 2012. http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-14199.

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Syftet med denna studie är att beskriva och analysera sju kommuners soliditetsutveckling under 2006 till 2010 samt analysera om ett samband finns mellan låg soliditet och genuin sårbarhet. I uppsatsen används en blandning av kvantitativ och kvalitativ metod för att få en djupare förståelse kring kommuners soliditet och dess soliditetsutveckling. Insamlad sekundärdata kommer från böcker, artiklar, uppsatser och lagar. Primärdata samlades in vid en intervju samt genom sju kommuners årsredovisningar. Ett lågt antal invånare i en kommun behöver inte resultera i en låg soliditet. En befolkningsmins
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38

Bondesson, Isak. "Suitability assessment procedures inSolvency II : Outlining suitable processes for own assessment of article 42’s fit and proper requirements." Thesis, Umeå universitet, Juridiska institutionen, 2012. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-58099.

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39

Koďousek, Libor. "Nové přístupy ke sledování solventnosti pojišťoven." Master's thesis, Vysoká škola ekonomická v Praze, 2007. http://www.nusl.cz/ntk/nusl-888.

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Cílem této diplomové práce je popsat a zhodnotit různé přístupy používané ke sledování solventnosti pojišťoven. V úvodní části jsou vysvětleny základní pojmy z oblasti pojišťovnictví jako riziko, risk management, pojištění a také jsou zde uvedeny specifika hospodaření pojišťoven a možná rizika působící na pojišťovny. V dalších kapitolách jsou přiblíženy principy jednotlivých přístupů, kterými jsou klasický přístup přes míru solventnosti, RBC přístup a dále z moderních přístupů to jsou simulační modely prezentované metodami DFA a scenario testing. V poslední kapitole jsou popsány připravované p
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40

Бойко, Антон Олександрович, Антон Александрович Бойко та Anton Oleksandrovych Boiko. "Перестрахування як необхідний фактор забезпечення платоспроможності страхової компанії". Thesis, Дніпропетровський державний аграрний університет, 2009. http://essuir.sumdu.edu.ua/handle/123456789/60693.

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41

Rippel, Marina. "Die Risikoberichterstattung von Versicherungsunternehmen nach HGB, IFRS und Solvency II /." Karlsruhe : VVW, 2006. http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&doc_number=016259827&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA.

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42

Němcová, Denisa. "Řízení rizik pojišťoven v souvislosti s aplikací metodiky Solvency II." Master's thesis, Vysoká škola ekonomická v Praze, 2009. http://www.nusl.cz/ntk/nusl-18834.

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The content of this diploma paper is a view of the process of risk management in an insurance company in relation to applying the new concept of Solvency II. This paper is divided into three main parts. The opening part focuses on a risk profile of an insurance company, giving an overview and clasification of risks threatening an insurance company. The aim of this paper is to focus on method of Solvency II and especially on the consequences for insurance companies applying this method, which is contained in the second part of this paper. This paper also provides a complex view on the risk mana
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43

Höppner, Malte. "Kapitaladäquanz und Kapitalallokation im Kompositversicherungsunternehmen auf Basis eines „internen Modells“ vor dem Hintergrund aufsichtsrechtlicher Anforderungen und interner Steuerungszwecke." Doctoral thesis, Universitätsbibliothek Leipzig, 2011. http://nbn-resolving.de/urn:nbn:de:bsz:15-qucosa-69889.

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Die vorliegende Arbeit untersucht die neuen Kapitalanforderungen im Rahmen von Solvency II. Zunächst werden dazu die aktuellen aufsichtsrechtlichen Anforderungen diskutiert. Hieraus leitet sich die Notwendigkeit der Überarbeitung der Solvabilitätsanforderungen ab. Die künftigen aufsichtsrechtlichen Anforderungen werden hinsichtlich des Aufgreifens der Problemstellen der bisherigen Solvabilitätsanforderungen erörtert. Der Schwerpunkt liegt auf der Behandlung der Ermittlung der Kapitalanforderung mittels eines internen Modells. Hierfür wird auf Basis eines Beispiel-Versicherungsunternehmen, der
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44

Buben, Ondřej. "Solventnostní rozvaha komerčních pojišťoven." Master's thesis, Vysoká škola ekonomická v Praze, 2015. http://www.nusl.cz/ntk/nusl-264415.

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The thesis deals with a valuation of solvency balance sheet according to rules set in directive Solvency II, which should have been implemented as of January 1st, and compares the solvency balance sheet with valuation of insurance companies balance sheet according to current Czech legislation and international financial reporting standards IFRS. The thesis defines the concept of insurance contracts both in Czech law and standard IFRS 4 and reporting of liabilities related to those contracts in balance sheet. The result of thesis is illustrated sample of solvency balance sheet including descrip
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45

Lorent, Benjamin. "Treatment of Market Risks under Solvency II and its Market Implications." Doctoral thesis, Universite Libre de Bruxelles, 2016. http://hdl.handle.net/2013/ULB-DIPOT:oai:dipot.ulb.ac.be:2013/231942.

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The three chapters all address solvency regulation issues, with a focus on market risks under the Solvency II framework. Chapter 1 deals with “high-level” aspects of Solvency II as main principles and the general structure. Chapters 2 and 3 will be devoted to quantitative issues. Chapter 1 describes the main evolutions that led to the development of Solvency II. The insurance sector has dramatically evolved during the last two decades. Among others developments, we stress the new risks faced by the sector as natural catastrophes, changing demographics or market risks. Insurers become internati
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46

Ferreira, Mariana da Costa. "Investment strategies of a non-life insurance company under Solvency II." Master's thesis, Instituto Superior de Economia e Gestão, 2016. http://hdl.handle.net/10400.5/13078.

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Mestrado em Ciências Actuariais<br>Neste trabalho é feita a otimização da carteira de uma empresa de seguros não vida, que utiliza a fórmula standard definida no regime de Solvência II para calcular os requisitos de capital, com o objetivo de encontrar a alocação dos ativos financeiros que minimizam o risco de mercado e, simultaneamente, maximizam o retorno da carteira. A solução é obtida a partir de um processo de otimização multi-objetivo. Para analisar o desempenho da carteira e o risco do capital investido, calculamos a rentabilidade ajustada ao risco (RoRAC), que é o rácio entre o retorn
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47

Ungaro, Ricardo. "Evaluation of technical provisions and solvency capital requirement for life insurance." Master's thesis, Instituto Superior de Economia e Gestão, 2016. http://hdl.handle.net/10400.5/13083.

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Mestrado em Ciências Actuariais<br>Na prossecução do objetivo de garantir a solidez financeira de uma empresa de seguros, é um passo fundamental assegurar que as Provisões Técnicas e o Requisito de Capital de Solvência calculados pela seguradora correspondem adequadamente às suas obrigações e riscos a que se encontra exposta. O novo regime Europeu de solvência, Solvência II, trouxe novos desafios e implicou uma análise profunda aos valores detidos pelas seguradoras. Este relatório decorre de um estágio na Autoridade de Supervisão de Seguros e Fundos de Pensões cujo objetivo principal foi a c
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48

Gonçalves, Sofia Maria Lima Fernandes. "The impact of liquidity and solvency constraints in European banks’ efficiency." Master's thesis, Instituto Superior de Economia e Gestão, 2017. http://hdl.handle.net/10400.5/14794.

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Mestrado em Finanças<br>O objetivo deste estudo é analisar a relação entre a eficiência bancária e algumas das medidas regulatórias do Basileia III. É feita uma apresentação e discussão da eficácia das normas globais de liquidez e capital, recentemente impostas pelo Comité de Supervisão Bancária do Basileia (BCBS - Basel Committee on Banking Supervision). A nossa análise empírica baseia-se em duas metodologias distintas: (i) regressões lineares múltiplas; (ii) um método não paramétrico designado de Análise de Dados em Envelope (DEA - Data Envelopment Analysis). A eficiência no setor bancári
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49

Martins, Ana Rita Batista. "Capital charges of a line of business in Solvency II environment." Master's thesis, Instituto Superior de Economia e Gestão, 2016. http://hdl.handle.net/10400.5/13107.

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Mestrado em Ciências Actuariais<br>O regime Solvência II entrou em vigor a 1 de janeiro de 2016. Várias regras estão a ser implementadas no sector dos seguros, com o intuito de alcançar a harmonização dos procedimentos e técnicas utilizadas pelas empresas, desenvolvendo ao mesmo tempo uma cultura baseada no risco. Todas as empresas devem calcular requisitos de capital correspondente aos riscos a que estão expostas através da utilização da fórmula padrão que, como o nome sugere, é comum a todas as companhias de seguros no mercado. No entanto, esta fórmula nem sempre reflete o real perfil de ri
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50

Olofsson, Richard. "Unsuperised Anomaly Detection : Methods and Application on Solvency 2 Technical Provisions." Thesis, Umeå universitet, Institutionen för matematik och matematisk statistik, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-172704.

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This thesis work examines anomaly detection methods on large data sets related to insurance funds. Starting from requirements of low time complexity, ease of implementation and thorough definitions of contextual- and collective anomalies, different modelling frameworks are examined. Twelve time series models and a replicator neural network are presented in detail, while other modelling methods that are considered promising are mentioned more briefly. It is shown that a very simple time series-model can be widely applied to detect collective anomalies. It is also shown that a relatively simple
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