Rizik neispunjenja obveza reosiguratelja

professional thesis

• Author: Martina Popovčić
• Mentor: Damir Bakić (mentor)
• Granter: University of Zagreb; Faculty of Science; (Department of Mathematics); Zagreb
• Defense date and country: 2021-02-01, Croatia
• Scientific / art field, discipline and subdiscipline: NATURAL SCIENCES; Mathematics

Abstract

Nova regulativa solventnosti u europskom sektoru osiguranja, nazvana Solventnost II, u potpunosti transformira sustav procjene kapitalnih zahtjeva. Cilj ovog rada je analiza primjerenosti kalibracije kreditnog rizika druge ugovorne strane, odnosno rizika neplaćanja obveza druge ugovorne strane, prema modelima predloženim u kvantitativnim studijama utjecaja, detaljnije trećoj i četvrtoj te usporedba sa petom. Da bismo to učinili, uspoređujemo kapitalne zahtjeve alternativnih pristupa, naspram onih definiranih standardnim pristupom navedenim u QIS specifikacijama. Rezultati pokazuju da uporaba vjerojatnosti koja se temelji na metodologiji Vasicek-ovog pristupa u modeliranju kreditnog rizika te određivanju koeficijenta korelacije koristeći Herfindal-Hirschman indeks u usporedbi s onima temeljenim na CvaR mjeri, rezultira znatno višim kapitalnim zahtjevima. Osim toga, model predložen u QIS4 temeljen na Vasicek-ovoj distribuciji nije prikladan kada se smanji broj ugovornih strana, što je uobičajena situacija u europskom sektoru osiguranja. Novi je prijedlog (QIS5 ili Ter Berg model) prikladniji od prethodnog, ali zahtijeva daljnja istraživanja kako bi se poboljšala hipoteza o kalibraciji i, na taj način, bolje približile procjene stvarno pretpostavljenom riziku.

Abstract (english)

The new solvency regulation in the European insurance sector, denominated Solvency II, has been completely transforming the system of capital requirements estimation. The aim of this paper is to analyze the adequacy of the calibration of the counterparty default risk by the models proposed in quantitative impact studies, the third and forth and comparison to the fifth impact study. To do this, the capital requirements obtained by the Vasicek credit methodology and Herfindal-Hirschman correlation index has been compared against the model based on the standard approach in respective QIS. The results show that the usage of probabilities based on the methodology of Vasicek compared to those based on CVaR measure result in higher capital requirements. In addition, the model proposed in QIS4 based on Vasicek distribution is not appropriate when the number of counterparties is reduced, a common situation in the European insurance sector. Moreover, the new proposal (QIS5 or Ter Berg model) is more suitable than its predecessor but requires further research in order to improve the calibration hypothesis and, thus, to better approximate estimates to the risk actually assumed.

• Keywords: solventnost; kreditni rizik; kapitalni zahtjevi; Herfindal-Hirschman indeks
• Keywords (english): solvency; credit risk; capital requirements; Herfindal-Hirschman correlation index
• Language: croatian
• URN:NBN: urn:nbn:hr:217:953958
• 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: 2021-02-19 12:00:33