Thesis deals with the problems of life insurance. On the basis of comparison of life insurance products for children of chosen commercial insurance companies, it contains evaluation and proposals for improvement of insurance products for children of Generali pojišťovna, a. s.

This thesis focuses on the main characteristics of life insurance and its importance as a means of income at retirement age. The aim of this thesis is the evaluation of selected environmental insurance products according to preselected parameters on model examples. Best selected product will be further compared with the product of supplementary pension of a specific insurance subject. At the very end, I focus on evaluating the results and drawing appropriate recommendations for fictitious clients to dispose of a certainamount of retirement funds.

The aim of the thesis entitled "Proposal for a method of selecting a suitable non-life insurance product for the protection of a consumers against risk" is to suggest a method that readers can follow when choosing the right non-life insurance product to protect them against risks which could harm them the most, and to help set the most effective the sum insured. The part containing the survey is exposing consumer attitudes toward non-life insurance and their behavior when choosing an insurance product.

Le premier chapitre propose une théorie d'intermédiation financière, qui explique les raisons de la coexistence entre banques traditionnelles et banques de l'ombre ("shadow banks"). L'argument développé est que ces deux types de banques sont complémentaires, ce qui est dû leur interaction mutuellement bénéfique en temps de crise. Cet argument est cohérent avec certains faits stylisés de la crise financière que nous documentons. Le deuxième chapitre de cette thèse est constitué d’une exposition détaillée ainsi que d’une quantification des transferts entre différentes générations d'épargnants en assurance vie. Ces transferts donnent lieu à un partage de risque intergénérationnel, rendu possible par l'existence d'une friction de marché. Nous montrons que cette friction consiste en une compétition imparfaite entre assureurs vie. Le troisième chapitre de cette thèse expose les risques de liquidité auxquels sont sujettes les compagnies d'assurance vie en France, et étudie les décisions d'investissement qui en découlent. L'approche empirique basée sur les spécificités institutionnelles de l'assurance vie - les modalités de taxation des épargnants - met en évidence la causalité du risque de liquidité sur les choix d'investissement des assureurs vie. Le quatrième chapitre étudie les conditions sous lesquelles les entreprises choisissent d’entrer sur un nouveau marché via l'acquisition d'une entreprise existante (entrée externe) plutôt qu'en utilisant leurs ressources existantes (entrée interne). Nous montrons que les entreprises qui entrent sur un nouveau marché via une acquisition sont plutôt celles dont le capital humain est a priori inadapté pour ce marché. / The first chapter presents a theory of the coexistence of traditional and shadow banks. We propose that the two bank types are complementary, because in a crisis, they interact in a mutually beneficial way. Our model is consistent with several facts from the 2007 financial crisis that we document. Chapter two provides a detailed analysis and quantification of the transfers between different generations of life insurance investors. These transfers create intergenerational risk-sharing that is enabled by a market friction. We show that this friction consists in imperfect competition among life insurers. The first chapter presents a theory of the coexistence of traditional and shadow banks. We propose that the two bank types are complementary, because in a crisis, they interact in a mutually beneficial way. Our model is consistent with several facts from the 2007 financial crisis that we document. Chapter two provides a detailed analysis and quantification of the transfers between different generations of life insurance investors. These transfers create intergenerational risk-sharing that is enabled by a market friction. We show that this friction consists in imperfect competition among life insurers. The third chapter analyzes liquidity risks in the French life insurance sector. Using institutional details on life insurance taxation in France, our empirical approach establishes a causal link between liquidity risk on the liability side of life insurers and their investment choices on the asset side. Chapter four studies firms' entry in a new market and the conditions under which a firm enters a new market by building on its existing resources (internal entry) or by acquiring a company already operating in this market (external entry). We find that firms entering a new market externally tend to be those whose human capital is not adequate for the new market.

The purpose of this thesis is to examine the Swedish sustainable and responsible investment (SRI) market focusing on pension and life insurance companies. The purpose is to understand how the companies work with SRI and if there is a process in place to follow-up the investments and their possible impact. In the thesis a qualitative research method is conducted as the purpose is to understand the behaviour of the different companies relating to SRI. The empirical study consists of interviews with representatives from larger companies in the pension and life insurance space focusing on how they conduct their SRI work. The finding in this paper is that there are similarities regarding SRI strategies in place however the type of insurance being offered affects how they work. This thesis found that all companies follow-up their investments to ensure that they are sustainable. Further the process of measuring the impact of SRI is very much still in its early stage but there are initiatives taken to measure both soft and hard measurements. The future of the SRI market seems to be moving towards more transparency, both from possible legislation as well as initiatives. The other key area of focus when looking to the future of SRI in Sweden, is the sustainable development goals created by the UN.

The aim of this master thesis is to derive methods that assesses the impact the deductiblehas on the risk premium of an insurance contract. The additive structure of a deductiblenecessitates approaches beyond treating it as a regular covariate in a generalized linearmodel for predicting the risk premium. Using simulated data, three methods areimplemented to estimate a parameter, denoted as βd ∈ [0,1], which quantifies the proportionof the risk premium that remains after imposing a deductible d on the insurance contract.The three implemented methods involve: 1) Regularized generalized linear models, 2)Utilizing the cumulative density function of the insurance contract, and 3) Estimating adiscrete probability distribution with K-means clustering and a classifier. To compare theperformance of these methods, they are tested against each other through a competition.The results reveal that the method employing the fitting of a discrete distribution yieldedthe best performance. / I den här uppsatsen härleds tre olika metoder där syftet är att skapa en oberoendevariabel βd ∈ [0,1] som beskriver hur stor del av ett försäkringskontrakts riskpremiesom kvarstår, efter att en självrisk d ålagts på försäkringskontraktet. Självrisken kaninte användas som vilken oberoende variabel som helst på grund av den additivastruktur som självrisken innehar. De tre olika metoderna som har implementerats skiljersig åt genom att 1) använder sig av upprepade regulariserad GLM-modeller för olikasjälvrisknivåer, 2) nyttjar försäkringskontraktets fördelningsfunktion, och 3) skattar endiskret sannolikhetsfördelning med hjälp av klustring och en klassificerare. De tre olikametoderna testades sedan mot varandra i ett spel. Metod tre presterade bäst i spelet, dåden hade lägst procentuell avvikelse från den sanna riskpremien.

In recent years, new regulations and stronger competition have further increased the importance of stochastic asset-liability management (ALM) models for life insurance firms. However, the often complex nature of life insurance contracts makes modeling to a challenging task, and insurance firms often struggle with models quickly becoming too complicated and inefficient. There is therefore an interest in investigating if, in fact, certain traits of financial ratios could be exposed through a more efficient model. In this thesis, a discrete time stochastic model framework, for the simulation of simplified balance sheets of life insurance products, is proposed. The model is based on a two-factor stochastic capital market model, supports the most important product characteristics, and incorporates a reserve-dependent bonus declaration. Furthermore, a first approach to endogenously model customer transitions is proposed, where realized policy returns are used for assigning transition probabilities. The model's sensitivity to different input parameters, and ability to capture the most important behaviour patterns, are demonstrated by the use of scenario and sensitivity analyses. Furthermore, based on the findings from these analyses, suggestions for improvements and further research are also presented. / Införandet av nya regelverk och ökad konkurrens har medfört att stokastiska ALM-modeller blivit allt viktigare för livförsäkringsbolag. Den ofta komplexa strukturen hos försäkringsprodukter försvårar dock modelleringen, vilket gör att många modeller anses vara för komplicerade samt ineffektiva, av försäkringsbolagen. Det finns därför ett intresse i att utreda om egenskaper hos viktiga finansiella nyckeltal kan studeras utifrån en mer effektiv och mindre komplicerad modell. I detta arbete föreslås ett ramverk för stokastisk modellering av en förenklad version av balansräkningen hos typiska livförsäkringsbolag. Modellen baseras på en stokastisk kapitalmarknadsmodell, med vilken såväl aktiepriser som räntenivåer simuleras. Vidare så stödjer modellen simulering av de mest väsentliga produktegenskaperna, samt modellerar kundåterbäring som en funktion av den kollektiva konsolideringsgraden. Modellens förmåga att fånga de viktigaste egenskaperna hos balansräkningens ingående komponenter undersöks med hjälp av scenario- och känslighetsanalyser. Ytterligare undersöks även huruvida modellen är känslig för förändringar i olika indata, där fokus främst tillägnas de parametrar som kräver mer avancerade skattningsmetoder.

Thesis (Ed.D.)--Boston University.

This paper aims to introduce the reader to the premium setting of annuities within life insurance. This is done using a hypothetical annuity contract offered to 36-year-olds in Sweden. The contract provides an annual pension from age 65 until either the individual's death or age 90, after which payouts cease. The analysis employs life tables using real-life data to estimate mortality, discounting to decide present values, and calculates fair and risk-adjusted premia for lump sum and annual payment options using theory and simulations. Ultimately, we found that the method used was insufficient given the data. This is due to the last decades' rise in life expectancy, requiring us to use other methods to acquire accurate premia. / <p>Detta arbete omfattar 3,0 hp och är en del av kursen Matematisk kommunikation (MM7020), 7,5 hp.</p>

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