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A Risk and Capital Requirement Model for Life Insurance Portfolios
Umeå universitet, Teknisk-naturvetenskapliga fakulteten, Institutionen för matematik och matematisk statistik.
2008 (engelsk)Independent thesis Advanced level (degree of Master (Two Years)), 20 poäng / 30 hpOppgave
Abstract [en]

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 to use better risk and capital management, which gives the policy holders better assurance.

In this thesis we present a stochastic model that describes the development of assets and liabilities. We consider the following risks: Stock market, bond market, interest rate and mortality intensity. These risks are modeled by stochastic processes that are aggregated to describe the change in the insurers Risk Bearing Capital. The capital requirement, Solvency Capital Requirement, is calculated using Conditional Value-at-Risk at a 99% confidence level and Monte Carlo simulation. The results from this model is compared to the Swiss Solvency Test model for three different types of life insurance policies. We can conclude that for large portfolios, the model presented in this thesis gives a lower solvency capital requirement than the Swiss model for all three policies. For small portfolios, the capital requirement is larger due to the stochastic mortality risk which is not included in the Swiss model. 

sted, utgiver, år, opplag, sider
2008.
Emneord [en]
Solvency II, Solvency Capital Requirement, life insurance.
HSV kategori
Identifikatorer
URN: urn:nbn:se:umu:diva-51317OAI: oai:DiVA.org:umu-51317DiVA, id: diva2:479005
Uppsök
Physics, Chemistry, Mathematics
Veileder
Examiner
Tilgjengelig fra: 2012-03-01 Laget: 2012-01-17 Sist oppdatert: 2012-04-18bibliografisk kontrollert

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