Vremenska struktura bezrizičnih kamatnih stopa

professional thesis

• Author: Matea Nosse Marušić
• Mentor: Damir Bakić (mentor)
• Granter: University of Zagreb; Faculty of Science; (Department of Mathematics); Zagreb
• Defense date and country: 2020-02-06, Croatia
• Scientific / art field, discipline and subdiscipline: NATURAL SCIENCES; Mathematics

Abstract

U radu je opisana Smith-Wilsonova metoda dobivanja vremenske strukture bezrizičnih kamatnih stopa koju društva za osiguranje koriste prilikom izračuna tehničkih pričuva u okviru regulative Solventnost II. Metoda se temelji na informacijama o stopama razmjene ili državnim obveznicama s dubokih, likvidnih i transparentnih financijskih tržišta, a za početne parametre koristi krajnju terminsku stopu te parametar koji određuje brzinu konvergencije prema krajnjoj terminskoj stopi. Cilj metode je definirati funkciju sadašnje vrijednosti za svaku godinu dospijeća, iz čega proizlaze spot kamatne stope odnosno pripadni diskontni faktori. Navedenom se metodom provodi i interpolacija bezrizičnih kamatnih stopa, koje u praksi nisu dostupne za svaku godinu dospijeća do posljednje likvidne točke, i ekstrapolacija bezrizičnih kamatnih stopa nakon posljednje likvidne točke. Uz krivulju bezrizičnih kamatnih stopa društva za osiguranje prilikom izračuna tehničkih pričuva prema Solventnosti II koriste i mnoge druge pretpostavke temeljene na iskustvu, a sve u svrhu što realnije procjene osigurateljnih pričuva. Neovisno o regulativi Solventnost II, društva za osiguranje su i dalje u zakonskoj obvezi računati tehničke pričuve prema računovodstvenim propisima za potrebe financijskog izvještavanja, a ove pričuve ujedno predstavljaju zakonske pričuve za čije pokriće društva moraju imati odgovarajuću imovinu.

Abstract (english)

This paper describes Smith-Wilson method for obtaining risk-free interest rate term structure which insurance companies use in calculation of technical provisions regarding Solvency II regulation. The method is based on information on swap rates or government bonds from deep, liquid and transparent financial markets, and it uses ultimate forward rate and the speed of convergence towards ultimate forward rate for input parameters. Method’s goal is to define the present value function for each maturity year, from which spot interest rates and associated discount factors can easily be calculated. This method is used both for interpolation of risk-free rates when rates are unavailable for certain maturities before last liquid point, as well as for extrapolation of risk-free rates after the last liquid point. Together with risk-free interest rate curve, insurance companies, when calculating Solvency II technical provisions, use a number of different assumptions based on experience, all for the purpose of a more realistic assessment of insurance provisions. Regardless of Solvency II regulation, insurance companies are still legally obliged to calculate technical provisions according to accounting principles for financial reporting, and these provisions are also legal provisions for which companies are obliged to hold appropriate assets.

• Keywords: Solventnost II; tehničke pričuve; bezrizične kamatne stope; Smith-Wilsonova metoda; posljednja likvidna točka; krajnja terminska stopa; brzina konvergencije
• Keywords (english): Solvency II; technical provisions; risk-free interest rates; SmithWilson method; last liquid point; ultimate forward rate; convergence speed
• Language: croatian
• URN:NBN: urn:nbn:hr:217:497125
• Study programme: Title: Actuarial Mathematics; Study programme type: university; Study level: postgraduate specialist; Academic / professional title: sveučilišni/a specijalist/ specijalistica aktuarske matematike (sveučilišni/a specijalist/ specijalistica aktuarske matematike)
• Type of resource: Text
• File origin: Born digital
• Access conditions: Open access
• Created on: 2020-02-11 12:29:30