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Evaluation of technical provisions and solvency capital requirement for life insurance
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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 criação de uma ferramenta capaz de calcular o valor das Provisões Técnicas e do Requisito de Capital de Solvência correspondente aos produtos do ramo Vida mais relevantes. Os tipos de produtos escolhidos foram as anuidades, os seguros de vida inteira e temporários e ainda os capitais diferidos. Os estudos de base necessários para cada um dos referidos tipos foram feitos. Um caso relevante é o estudo efetuado para os produtos com participação de resultados. Dada a sua inerente relação com os investimentos da seguradora e portanto com o mercado financeiro, foram simulados cenários financeiros na tentativa de reproduzir o possível comportamento dos referidos investimentos. Um modelo híbrido Heston-Gaussian dois fatores foi utilizado para reproduzir o comportamento da taxa de juro e de um índice acionista.
In the pursuit of assuring the financial soundness of an insurance undertaking, a fundamental step is to make sure that the Technical Provisions and Solvency Capital Requirement calculated by the undertaking correspond properly to the obligations and risks it is subjected to. The new European solvency regime, Solvency II, brought new challenges and implied a deep analysis to the values hold by the undertakings. This report follows an internship at the Portuguese Insurance and Pension Funds Supervisory Authority whose main objective was to create a tool capable of calculating the amount of Technical Provisions and Solvency Capital Requirement related to the most representative types of Life insurance products. The chosen types are annuity contracts, whole life and term insurance and finally endowment policies. The necessary background studies for each one were made. Noteworthy is the study made for endowment contracts including profit-sharing clauses. Given its inherent relationship with the undertaking's investments and thus with the financial market, economic scenarios were simulated to reproduce the possible behaviour of such investments. A hybrid Heston-Gaussian two-factor model was used to reproduce the behaviour of the interest rate and a stock index.
In the pursuit of assuring the financial soundness of an insurance undertaking, a fundamental step is to make sure that the Technical Provisions and Solvency Capital Requirement calculated by the undertaking correspond properly to the obligations and risks it is subjected to. The new European solvency regime, Solvency II, brought new challenges and implied a deep analysis to the values hold by the undertakings. This report follows an internship at the Portuguese Insurance and Pension Funds Supervisory Authority whose main objective was to create a tool capable of calculating the amount of Technical Provisions and Solvency Capital Requirement related to the most representative types of Life insurance products. The chosen types are annuity contracts, whole life and term insurance and finally endowment policies. The necessary background studies for each one were made. Noteworthy is the study made for endowment contracts including profit-sharing clauses. Given its inherent relationship with the undertaking's investments and thus with the financial market, economic scenarios were simulated to reproduce the possible behaviour of such investments. A hybrid Heston-Gaussian two-factor model was used to reproduce the behaviour of the interest rate and a stock index.
Descrição
Mestrado em Ciências Actuariais
Palavras-chave
Provisões Técnicas Solvência II Vida Requisito de Capital Cenários Económicos Technical Provisions Solvency II Life Insurance Solvency Capital Requirement Economic Scenario
Contexto Educativo
Citação
Ungaro, Ricardo (2016). "Evaluation of technical provisions and solvency capital requirement for life insurance". Dissertação de Mestrado, Universidade de Lisboa. Instituto Superior de Economia e Gestão.
Editora
Instituto Superior de Economia e Gestão