Sökning: "Insurer balance sheet"

Hittade 4 uppsatser innehållade orden Insurer balance sheet.

  1. 1. Navigating the Volatility Adjustment in Solvency II : Portfolio Optimization for Balance Sheet Stability

    Uppsats för yrkesexamina på avancerad nivå, Umeå universitet/Institutionen för matematik och matematisk statistik

    Författare :Max Thorendal; [2023]
    Nyckelord :;

    Sammanfattning : This thesis investigates volatility adjustment from the Solvency II regulation and portfolio allocation methods for pension- and life insurance companies aiming to maintain a stable balance sheet. The volatility adjustment is a component added to the risk-free rate for discounting the present value of future liabilities, and it is calculated monthly based on the spread levels in the fixed-income market. LÄS MER

  3. 2. On Lapse risk factors in Solvency II

    Master-uppsats, KTH/Matematisk statistik

    Författare :Daniel Boros; [2014]
    Nyckelord :;

    Sammanfattning : In the wake of the sub-prime crisis of 2008, the European Insurance and Occupational Pensions Authority issued the Solvency II directive, aiming at replacing the obsolete Solvency I framework by 2016. Among the quantitative requirements of Solvency II, a measure for an insurance firms solvency risk, the solvency risk capital, is found. LÄS MER

  4. 3. Dealing with the ORSA : A Dynamic Risk-Factor Based Approach for the Small, Swedish Non-Life Insurer

    Master-uppsats, KTH/Industriell Management

    Författare :Carl Sahlin; Carl-Johan Hugner; [2013]
    Nyckelord :Solvency II; ORSA; Capital requirement; DFA; Market Risk; Insurance Risk; Correlation; Concentration Risk; Qualitative Assessment; Quantitative Assessment; ERM; Factor model.;

    Sammanfattning : The Own Risk and Solvency Assessment, ORSA, is referred to as the heart of the regulation to be for European insurance companies - Solvency II. The aim of the ORSA process is to provide an overall and holistic view of the insurer’s risks by analyzing their current financial status and business strategy at hand. LÄS MER

  5. 4. Analysis and comparison of capital allocation techniques in an insurance context

    Master-uppsats, KTH/Matematisk statistik

    Författare :Héloïse de Sauvage Vercour; [2013]
    Nyckelord :Insurer balance sheet; Capital allocation; Surplus; Diversification; Value-at-Risk; Option pricing theory; Capital Asset Pricing Model; Marginal capital allocation; Default value.;

    Sammanfattning : Companiesissuing insurance cover, in return for insurance premiums, face the payments ofclaims occurring according to a loss distribution. Hence, capital must be heldby the companies so that they can guarantee the fulfilment of the claims ofeach line of insurance. LÄS MER