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Reserve risk : an application to ORSA
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Autores
Orientador(es)
Resumo(s)
Under Solvency II, insurance undertakings must have, as part of their risk
management system, a regular practice of assessing their overall solvency
needs with a view to their specific risk profile, known as 'Own Risk and
Solvency Assessment' (ORSA). ORSA aims to identify whether the particular
risk profile of an undertaking deviates from the assumptions underlying the
regulatory capital calculation (i.e. European Standard Formula).
In this context, this work aims at estimating the undertaking specific parameters
(USP) for reserve risk, for Motor Vehicle Liability and Motor Others. In a long
term perspective, alternative models were applied to the estimation of the
ultimate reserve risk. For Solvency Capital Requirements, a short-term
perspective, it is necessary to estimate the one-year reserve risk factors, which
was done by applying the three different methods presented and allowed by the
European Insurance and Occupational Pensions Authority (EIOPA). The results
for the different models and methods in both perspectives were compared and
the impact of the USP was assessed in terms of capital gains.
Descrição
Mestrado em Ciências Actuariais
Palavras-chave
Solvency II ORSA USP Solvency Capital Requirement Reserve Risk Mack Bootstrap Munich Chain Ladder Merz-Wüthrich
Contexto Educativo
Citação
Elias, Vânia Isabel Ramos. 2013. "Reserve risk : an application to ORSA". Dissertação de Mestrado. Universidade de Lisboa. Instituto Superior de Economia e Gestão.
Editora
Instituto Superior de Economia e Gestão