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Cálculo e análise do risco imobiliário do modelo interno de uma companhia de seguros
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This document describes the … for the master’s degree in Mathematics Applied to Economics and Management at the University of Sciences of the University of Lisbon. An insurance company needs to construct solvency models in order to properly identify and manage the risks to which it is exposed. The Solvency II directive has emerged to meet this objective. With the Solvency II directive, the concept of capital requirements also arises, in order to verify that commitments to policyholders are fulfilled. However, being an universal directive, it may not fully satisfy the insurance company. The construction of an internal model is aimed at verifying its adequacy. Among the various risks to which an insurer is exposed, the market risk is one of them, and within him, the real estate risk. The objective of this work will be to verify whether the rate used in the standard method (by Solvency II) is favorable or not to the insurer in question.
Descrição
Trabalho de Projeto de Mestrado, Matemática Aplicada à Economia e Gestão, 2025, Universidade de Lisboa, Faculdade de Ciências
Palavras-chave
Solvency Capital Requirement Market Risk Diversification Principal Components Analysis Logarithmic returns