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Authors
Abstract(s)
A questão da determinação do requisito de solvência das empresas de seguros assume uma importância primordial dada a natureza da actividade seguradora, a sua importância para a economia e o papel das seguradoras como investidores institucionais.
A presente dissertação pretende evidenciar que é possível formular um modelo de solvência que, através da medida de risco Tail Conditional Expectation, determine o requisito de solvência de uma empresa de seguros, que explore o Ramo Automóvel e que mantenha a sua actual estrutura de activos e responsabilidades, para o horizonte temporal de um ano.
O requisito de capital será calculado a partir da função de distribuição dos possíveis resultados futuros, que será gerada com recurso a simulação dos principais factores de risco que afectam a actividade seguradora, através da técnica de Monte Carlo, e que são susceptíveis de influenciarem as rubricas que determinam o valor de uma empresa de seguros.
Assim, é apresentada a medida de risco Tail Conditional Expectation e formulado o modelo de solvência, sendo para tal definidos os diversos factores de risco considerados, estudada a sua modelação individual e conjunta e apresentados os respectivos mecanismos de simulação. O modelo proposto é aplicado a uma seguradora não vida, calculando-se o seu requisito de capital e comparando-se este resultado com o capital próprio existente.
Setting the solvency requirement of an insurance company is a major question, due to the nature of the insurance activity, its importance in the economy and the role played by insurance companies as institutional investors. The present dissertation intends to emphasize that is possible to formulate a solvency model that calculates, applying the Tail Conditional Expectation risk measure, the solvency requirement of an insurance company that operates solely in the Automobile Branch, given that its present structure of assets and liabilities remains unchanged, for a one year time horizon. The solvency requirement is calculated from the distribution of possible future values generated through Monte Carlo simulation of the main risk factors that affect the insurance activity and influence the assets and liabilities that determine the value of an insurance company. First, we present the Tail Conditional Expectation risk measure. Second, formulate the solvency model, namely trough the definition of risk factors involved, the explanation of the individual and joint behaviour risk factors modelling and the description of the simulation mechanisms considered. The proposed model is tested in a general insurance company, in particular, we calculate the capital requirement and compare the equity values.
Setting the solvency requirement of an insurance company is a major question, due to the nature of the insurance activity, its importance in the economy and the role played by insurance companies as institutional investors. The present dissertation intends to emphasize that is possible to formulate a solvency model that calculates, applying the Tail Conditional Expectation risk measure, the solvency requirement of an insurance company that operates solely in the Automobile Branch, given that its present structure of assets and liabilities remains unchanged, for a one year time horizon. The solvency requirement is calculated from the distribution of possible future values generated through Monte Carlo simulation of the main risk factors that affect the insurance activity and influence the assets and liabilities that determine the value of an insurance company. First, we present the Tail Conditional Expectation risk measure. Second, formulate the solvency model, namely trough the definition of risk factors involved, the explanation of the individual and joint behaviour risk factors modelling and the description of the simulation mechanisms considered. The proposed model is tested in a general insurance company, in particular, we calculate the capital requirement and compare the equity values.
Description
Mestrado em Ciências Actuariais
Keywords
Modelo de solvência Tail conditional expectation Value-at-risk Factores de risco Simulação de Monte Carlo Distribuição dos resultados futuros Solvency model Risk factors Monte Carlo simulation Future profit and loss distribution
Pedagogical Context
Citation
Garcia, Ricardo Bruno Rogado (2004). "Aplicação do Tail Conditional Expectation à determinação do requisito de capital de uma Empresa de Seguros Não Vida ". Dissertação de Mestrado, Universidade de Lisboa. Instituto Superior de Economia e Gestão.
Publisher
Instituto Superior de Economia e Gestão