目前國際上已對於保險業的清償能力、會計原理、監理制度及風險管 理等相關領域投入許多的努力。而歐盟國家所發展的Solvency II 即是未來 保險監理制度的主要趨勢。本研究整理相關的文獻以及研究報告書，以歐 盟CEIOPS機構所提出的量化影響研究（QIS）和瑞士FOPI機構的清償能力 測試（SST）為主，簡述Solvency II 的相關內容。 且依據Solvency II 量化的方式以及公平價值的概念，而利用附最低保 證的GMDB與GMMB商品而作範例說明。分別在風險中立測度下，衡量最 適估計（Best Estimate）、風險邊際（Risk Margin）以及清償資本額要求 （SCR）。至於風險邊際，則是使用百分位數法與資金成本法而作比較。 主要研究結果如下： 一、 附保證商品在低利率的經濟環境時，會迫使保險公司計提較多 的資本要求。 二、 利率在固定假設下，所計提的資本額度高於利率為隨機的假 設。主要原因在於本文所選定的利率模型為CIR Model，造成 利率具有回歸到歷史平均水準的特性，也因此讓保單持有人所 擁有的「賣權」成為價外（Out of the Money）選擇權。 三、 資金成本法計提較多負債項目的風險邊際，而減少股東權益項 目的清償資本額的要求。原因在於較能保護保單持有人，讓原 保險公司能夠順利被接管（Take Over）而保障業務的持續性 （Ongoing Basis）

This master thesis will investigate one solution to the problem issues with nested stochastic simulation arising when the future value of a portfolio need to be calculated. The solution investigated is the Least-squares Monte-Carlo method, where regression is used to obtain a proxy function for the given portfolio value. We will further investigate how to generate an optimal regression function that minimizes the number of terms in the regression function and reduces the risk of overtting the regression.

This thesis deals with credit risk and selected methods of its evalua- tion. It is focused on assumptions, calculation methods, results and specifics of the CreditMetrics and the CreditRisk+ models. The CreditRisk+ model analytically determines the portfolio credit losses distribution that is caused by defaults of counterparties. In the CreditMetrics model, the credit migration risk is addition- ally considered and the future portfolio value distribution is calculated using the Monte Carlo simulation. The third approach covered in this thesis is the Solvency II, the set of requirements proposed by the European Union for determination of regulatory capital for insurance companies. In the practical part the three ap- proaches are applied on a set of three portfolios of different credit quality. Their results, particularly the determined level of capital required to cover the risk of unexpected credit losses, are analyzed and compared.

This thesis deals with credit risk and selected methods of its evalua- tion. It is focused on assumptions, calculation methods, results and specifics of the CreditMetrics and the CreditRisk+ models. The CreditRisk+ model analytically determines the portfolio credit losses distribution that is caused by defaults of counterparties. In the CreditMetrics model, the credit migration risk is addition- ally considered and the future portfolio value distribution is calculated using the Monte Carlo simulation. The third approach covered in this thesis is the Solvency II, the set of requirements proposed by the European Union for determination of regulatory capital for insurance companies. In the practical part the three ap- proaches are applied on a set of three portfolios of different credit quality. Their results, particularly the determined level of capital required to cover the risk of unexpected credit losses, are analyzed and compared.

In this thesis we deal with the longevity risk originating from the uncertain future evolution of mortality at adult-old ages. It may emerge in particular because of an unanticipated reduction in mortality rates. That risk is significant for annuity and pension providers. We consider a model portfolio represented by one cohort of recipients of immediate life annuities. We introduce possibilities for assessing the risk of such portfolio. A comparison of the impact of longevity risk is made with random deviations in mortality rates. We also deal with the question of solvency of the insurer by investigating the solvency capital requirement for longevity risk.

The goal of this thesis is to measure the concentration risk of a portfolio as a part of a investment risk considered from the view of insurance companies by various methods and also to compare achieved results. Concentration risk in credit portfolios originates in uneven distribution of invested funds to individual obligors and it is important to manage it. In the theoretical part there are two methods presented - one is being used in practice CreditMetrics), the other one, the EU Directive, will be put into effect in the near future (Solvency II). In the practical part the methods are applied on model portfolios and the results are compared in order to decide how the methods reflect the concentration risk.

This thesis deals with credit risk and selected methods of its evalua- tion. It is focused on assumptions, calculation methods, results and specifics of the CreditMetrics and the CreditRisk+ models. The CreditRisk+ model analytically determines the portfolio credit losses distribution that is caused by defaults of counterparties. In the CreditMetrics model, the credit migration risk is addition- ally considered and the future portfolio value distribution is calculated using the Monte Carlo simulation. The third approach covered in this thesis is the Solvency II, the set of requirements proposed by the European Union for determination of regulatory capital for insurance companies. In the practical part the three ap- proaches are applied on a set of three portfolios of different credit quality. Their results, particularly the determined level of capital required to cover the risk of unexpected credit losses, are analyzed and compared.

<p>Insurance companies and banks are of great importance to the economy, which is why their stability must be ensured. In order to prevent bankruptcies in the financial sector, these companies are subject to strict regulations, which set standards for risk management and the amount of reserve capital required. Such capital reserves act as safety buffers to protect the customers from extraordinary events. In the insurance industry, the reserve capital is referred to as the solvency margin.</p><p>Solvency II is new set of insurance regulations that aims to set a common standard regarding solvency capital and risk management for insurance companies within the European Union. The potential costs and benefits of the regulations are of importance not only to insurance companies but also to those firms that offer services and products to the insurance industry in the field of risk management. Solvency II is often compared to the Basel II accord for banks, which had a strong business case in the way that banks could significantly lower their reserve capital and use it for other purposes. The question is, however, whether insurance companies can expect similar benefits from Solvency II.</p><p>The purpose of this study is therefore to explain how the Solvency II regulations will affect risk management in the Swedish non-life insurance industry, and whether these changes can result in opportunities for insurance companies. This is achieved by studying the new regulations and conducting a number of interviews with insurance company representatives as well as industry experts. Four potential effects of Solvency II have been investigated: capital levels, insurance pricing, credit ratings and reinsurance.</p><p>The findings of the study indicate that no obvious benefits related to the potential effects above can be realised by complying with Solvency II. The future capital requirements will come close to those already enforced by supervisors today, resulting in a minor change that can go both ways. Neither credit ratings nor reinsurance covers seem to become notably affected by Solvency II. As for insurance pricing, an increasingly sophisticated risk-based allocation of the cost of solvency capital provides the most notable opportunity of Solvency II, but at present, no conclusions can be drawn regarding the effects of such changes. On the other hand, Solvency II will put pressure on improving systems to ensure the quality and traceability of data.</p><p>Thus, the actual changes in risk management practices are not expected to be substantial among Swedish non-life insurance companies, and it therefore seems unlikely that insurance companies would be willing to invest as heavily in reaching Solvency II compliance as banks have done in Basel II.</p>

The life insurance business is currently going through a lot of changes. The turmoil in stock markets during the last years has made regulators realize that there is a greater need for risk management and solvency supervision in the business. Denmark was one of the first countries in Europe to react to this and in 2001 the Danish FSA implemented a stress test called the Traffic Lights System. This is a tool to measure various risks in different scenarios for financial institutions. The purpose of this thesis is to analyze the effects of imposing a Danish style stress test on the Swedish life insurance market. In order to analyze the various effects of this stress test a theoretical framework consisting of fixed income securities and interest rate theory have been applied, since one of the largest risk a life insurer faces is the interest rate risk. Due to the fact that the Danish stress test is not fully applicable on the Swedish market, the authors created a model based on the Danish test to analyze Swedish life insurers. The model estimates the financial risks a life insurer faces. Analyzing the results based on the model, the authors found that three out of seven life insurers in the sample had solvency problems to various extend. The authors conclude that a great part of financial risks within life insurers can be reduced by reallocating equity holding to bonds and by duration matching between assets and liabilities. The authors also conclude that Swedish life insurers are in better financial shape today than their Danish counterparts were in 2001, which is why less dramatic effect is to be expected on the Swedish financial markets as a result of imposing the stress test.

Insurance companies and banks are of great importance to the economy, which is why their stability must be ensured. In order to prevent bankruptcies in the financial sector, these companies are subject to strict regulations, which set standards for risk management and the amount of reserve capital required. Such capital reserves act as safety buffers to protect the customers from extraordinary events. In the insurance industry, the reserve capital is referred to as the solvency margin. Solvency II is new set of insurance regulations that aims to set a common standard regarding solvency capital and risk management for insurance companies within the European Union. The potential costs and benefits of the regulations are of importance not only to insurance companies but also to those firms that offer services and products to the insurance industry in the field of risk management. Solvency II is often compared to the Basel II accord for banks, which had a strong business case in the way that banks could significantly lower their reserve capital and use it for other purposes. The question is, however, whether insurance companies can expect similar benefits from Solvency II. The purpose of this study is therefore to explain how the Solvency II regulations will affect risk management in the Swedish non-life insurance industry, and whether these changes can result in opportunities for insurance companies. This is achieved by studying the new regulations and conducting a number of interviews with insurance company representatives as well as industry experts. Four potential effects of Solvency II have been investigated: capital levels, insurance pricing, credit ratings and reinsurance. The findings of the study indicate that no obvious benefits related to the potential effects above can be realised by complying with Solvency II. The future capital requirements will come close to those already enforced by supervisors today, resulting in a minor change that can go both ways. Neither credit ratings nor reinsurance covers seem to become notably affected by Solvency II. As for insurance pricing, an increasingly sophisticated risk-based allocation of the cost of solvency capital provides the most notable opportunity of Solvency II, but at present, no conclusions can be drawn regarding the effects of such changes. On the other hand, Solvency II will put pressure on improving systems to ensure the quality and traceability of data. Thus, the actual changes in risk management practices are not expected to be substantial among Swedish non-life insurance companies, and it therefore seems unlikely that insurance companies would be willing to invest as heavily in reaching Solvency II compliance as banks have done in Basel II.