財務再保險係屬於新興的風險移轉方式之一，除了可以移轉傳統再保險之核保風險外，更可以將保險公司有很多無法以傳統再保險獲得分散的風險，如時間風險、投資風險等財務風險移轉出去。財務再保險可以增加保險公司的盈餘及提升經理人的績效，同時能減少潛在的危險暴露，避免準備金提存不足的問題，並且可以增加保險公司的承保能量，資助新契約的成長，兼具風險管理與財務規劃的新興工具。 相對的，財務再保險的實施，也延伸出相關的問題，如財務再保險係為融資借貸關係，而非實質危險轉移；因為準備金提存不足，無法支付未來重大的損失；為了掩飾盈虧，而誤導投資大眾。HIH與AIG集團涉及以財務再保險契約粉飾財務報表的行為，顯示財務再保險契約所造成的監理漏洞，另一方面，保險公司若不注重其企業本身營運的風險管理，而是以財務再保險契約尋求穩定公司收益的財務揭露，對於保險公司的長期經營並不是一件好事，同時對於投資人、監理機關的管理亦影響甚鉅。 除了監理機關對於財務再保險應加以規範外，保險公司內部之內部控制與內部稽核在企業中亦扮演重要角色。本研究就HIH與AIG集團兩個案之財務再保險問題，收集截至2005年HIH相關人員被澳洲保險監理機關起訴之起訴理由，與AIG被美國監理機關起訴人員的相關資料，分析這些被起訴原因之內部控制缺失，強調財務再保險內部控制與內部稽核的重要性，最後，針對保險公司實施財務再保險提出建議，同時對保險監理機關監管財務再保險也提出建議，希望對國內保險業者實施財務再保險有所助益，同時，也作為保險監理機關監管財務再保險的參考。 / Financial reinsurance is one of the alternative risk transfer arrangements. Unlike the traditional reinsurance arrangement where only the underwriting risk is transferred, other risks such as time risk and investment risk may also be transferred through such arrangement. Financial reinsurance increases an insurance company’s earning and the managers’ performance, and hence decreases the exposures of reserve inadequacy. Additionally, it is also a new tool for risk management and financial planning for its positive impact on new business growth through the enhancement on the company’s underwriting capability. On the other side, the use of financial reinsurance also leads to some problems. Specifically, when it is structured as a financial lease without any physical transfer of risks and used to window-dress poor financial performance in order to mislead the investors. Two international insurance companies, namely HIH (Health International Holdings) and AIG (American International Group), have tried to use the financial reinsurance arrangements to window-dress their financial statements in order to deceive the regulators. From a long term perspective, financial reinsurance arrangements used for stabilizing the financial results instead of enhancing risk management would certainly be detrimental to investors and insurance regulators. Besides the regulators who need to set up the regulations on financial reinsurance, the internal controls and internal auditing functions within insurance company also play an important role in terms of supervision. This thesis focused on two real life cases related to HIH and AIG by studying their problems with financial reinsurance and colleting the people being prosecuted by Australia regulator (APRA) and SEC as of the end of 2005, the internal control weaknesses caused by them and finally emphasizing the important of internal controls and internal audit function. Lastly, after studies these two cases, recommendations are made to insurance companies and local regulator on how to manage the use of financial reinsurance. Hopefully these suggestions would be helpful to them.

保險業承擔社會大眾轉嫁之風險，其自身亦需要透過風險之分散，以避免危險過度集中，而危及永續經營之能力。而保險市場之專業保險人間，常透過彼此技術之結合運用，達風險分散之目的。其中保險聯營，即為典型聯合數保險人之能量，合力承受特殊危險，協助個別保險人分散風險之方式，亦是目前各國或特定區域之保險業所偏好使用之制度之一。 保險聯營於我國已行之多年，保險業多利用其消納分散巨災或高度風險，抑或配合政府保險政策設立組織，對於我國保險市場而言，具有不可或缺之重要性。然而，保險聯營制度因為譯名與共同保險類似，導致實務對於此兩種同為保險人風險分散之制度產生觀念性之混淆，因無法確切了解其區別，所以產生立法上之錯誤及運作上之爭議。 本文以「保險聯營制度之研究-兼論保險業之風險分散方式」為題，試圖透過深入探討保險聯營制度，並比較其他類似方式，包括共同保險、再保險及交換業務等，以釐清各制度之差異，了解其功能、運作及契約當事人之法律關係；其次則介紹國內風險分散機制，以分析其本質，並就我國保險聯營實務問題為探究與建議。 本文研究結果發現，共同保險、再保險、交換業務及保險聯營制度，即便外觀及功能上多有重疊，但實際上係屬不同之機制。而國內風險分散機制，多數依其運作方式雖得歸類於保險聯營組織，惟究其與會員間之約定，得發現其混合其他風險分散機制之性質，因此不能單純以單一制度視之。關於保險聯營制度之實務問題探討，我國實務因對於「共保」兩字概念涵括範圍定義不一，造成保險法第一百四十四條之一之立法用字有所爭議，本文以為立法條文應儘量以明確用字，降低法律適用模糊的可能性；而聯營組織之型態，應以其功能性區別之，即組織本身若直接承接危險者或有其他對外代表性者，則應成立法人組織，使其享有法人權利，並履行法人義務；最後於公平法限制競爭之探討上，考量到保險聯營設立之特殊性，公平會之審查權限應受限縮，倘聯營組織之設立具備合理性及必要性，且其成效對於社會有顯著正面價值，應可排除公平法之適用。

Hedging has been one of the most important topics in finance. How to effectively hedge the exposed risk draws significant interest from both academicians and practitioners. In a complete financial market, every contingent claim can be hedged perfectly. In an incomplete market, the investor can eliminate his risk exposure by superhedging. However, both perfect hedging and superhedging usually call for a high cost. In some situations, the investor does not have enough capital or is not willing to spend that much to achieve a zero risk position. This brings us to the topic of partial hedging. In this thesis, we establish the risk measure based partial hedging model and study the optimal partial hedging strategies under various criteria. First, we consider two of the most common risk measures known as Value-at-Risk (VaR) and Conditional Value-at-Risk (CVaR). We derive the analytical forms of optimal partial hedging strategies under the criterion of minimizing VaR of the investor's total risk exposure. The knock-out call hedging strategy and the bull call spread hedging strategy are shown to be optimal among two admissible sets of hedging strategies. Since VaR risk measure has some undesired properties, we consider the CVaR risk measure and show that bull call spread hedging strategy is optimal under the criterion of minimizing CVaR of the investor's total risk exposure. The comparison between our proposed partial hedging strategies and some other partial hedging strategies, including the well-known quantile hedging strategy, is provided and the advantages of our proposed partial hedging strategies are highlighted. Then we apply the similar approaches in the context of reinsurance. The VaR-based optimal reinsurance strategies are derived under various constraints. Then we study the optimal partial hedging strategies under general risk measures. We provide the necessary and sufficient optimality conditions and use these conditions to study some specific hedging strategies. The robustness of our proposed CVaR-based optimal partial hedging strategy is also discussed in this part. Last but not least, we propose a new method, simulation-based approach, to formulate the optimal partial hedging models. By using the simulation-based approach, we can numerically obtain the optimal partial hedging strategy under various constraints and criteria. The numerical results in the examples in this part coincide with the theoretical results.

Submitted by Ricardo Silva (ferraro@fgvmail.br) on 2010-08-31T20:34:18Z No. of bitstreams: 1 Temperatura_e_Precificacao_EPGE_20100831.pdf: 599402 bytes, checksum: 336c51d082aaaefb1c0545911d46d3f1 (MD5) / Approved for entry into archive by Vitor Souza(vitor.souza@fgv.br) on 2010-09-02T13:53:36Z (GMT) No. of bitstreams: 1 Temperatura_e_Precificacao_EPGE_20100831.pdf: 599402 bytes, checksum: 336c51d082aaaefb1c0545911d46d3f1 (MD5) / Made available in DSpace on 2010-09-02T17:54:20Z (GMT). No. of bitstreams: 1 Temperatura_e_Precificacao_EPGE_20100831.pdf: 599402 bytes, checksum: 336c51d082aaaefb1c0545911d46d3f1 (MD5) Previous issue date: 2010-05-28 / We examinate the relationship between temperature anomalies and direct insurance claims from brazilian insurance market, as well as their effect on a consumption asset pricing model. To accomplish this, we have studied the effect of the claims and temperature anomalies in the opportunities of future investments. We tested a consumption asset pricing model using brazilian time series. Two consumption, two direct insurance claims and four temperature anomalies series were used in these tests. All series belongs to the interval between september 1996 and december 2007, in a quarterly frequency, two years after the beginning of Real plan and one year before the beggining of the credit crisis of 2008. In some cases we used monthly series. We observed positive and significative correlation between direct claims and temperature anomalies. Two models were better than CCAPM. The first with the growth rate of direct claims and the second with the temperature anomalies series elaborated by Goddard Institute of Space Sciences (GISS/NASA). As a result we observed that GISS temperature anomaly series elaborated by GISS is able to affect the future investment opportunities in brazilian capital market / Examinamos a relação entre anomalias de temperatura e séries de sinistros diretos do mercado segurador brasileiro, bem como seu efeito sobre um modelo de precificação de ativos de consumo. Nossa metodologia consistiu na análise da correlação das anomalias de temperatura com a série de sinistros e no efeito dessas séries nas oportunidades futuras de investimento. Testamos um modelo de precificação de ativos de consumo (CCAPM) condicional com as séries temporais brasileiras. Duas séries de consumo, duas séries de sinistros diretos e quatro séries de anomalias de temperatura foram utilizadas na realização dos testes. Todas as séries pertenceram ao período de setembro de 1996 a dezembro de 2007, com freqüência trimestral, dois anos posteriores ao início do plano Real e um ano antes da crise de crédito de 2008. Em alguns casos utilizamos séries mensais. Observamos a existência de correlação positiva e significativa entre as séries de sinistro direto e as anomalias de temperatura. Dois modelos se apresentaram melhores que o CCAPM clássico. O primeiro com a taxa de crescimento da série de sinistros, com pontos que poderíamos considerar como outliers, e o segundo com a série de anomalias de temperatura do hemisfério sul elaborada pelo Goddard Institute of Space Sciences (GISS/NASA). Como resultado observamos que a série de anomalias de temperatura elaborada pelo GISS é capaz de afetar as oportunidades futuras de investimento no mercado de capitais brasileiro.

Les travaux présentés s’inscrivent dans le cadre des études menées par la Caisse centrale de réassurance (CCR) pour modéliser les événements catastrophes naturelles et en particulier le péril sécheresse. La sécheresse est le nom utilisé couramment pour désigner les dommages aux bâtiments causés par le phénomène de retrait-gonflement des argiles. Les recherches effectuées sont en lien avec un modèle d’estimation du coût annuel d’un événement sécheresse conçu en interne à CCR. Celui-ci croise des données assurantielles et des données d’humidité du sol pour estimer le coût d’un événement survenu. CCR souhaite faire évoluer ce modèle vers une version probabiliste qui consiste à concevoir un générateur d’événements fictifs, non nécessairement survenus mais possibles d’un point de vue physique. Ce générateur doit permettre notamment d’estimer la distribution de probabilité du coût d’une sécheresse potentielle. Afin de concevoir un générateur d’événements fictifs pour le modèle sécheresse de CCR, nous avons étudié puis mis en oeuvre différents outils mathématiques permettant de modéliser la dépendance de variables aléatoires spatio-temporelles. La méthode choisie consiste à étudier et modéliser séparément la dépendance spatiale et la dépendance temporelle. Pour modéliser la dépendance temporelle, les modèles retenus sont des modèles classiques utilisés pour les séries temporelles. Nous décomposons les séries temporelles des observations en identifiant tendance et saisonnalité puis en ajustant un modèle autorégressif aux résidus. Pour modéliser la dépendance spatiale, notre choix s’est porté sur le krigeage et sur la théorie des copules. Les copules permettent de générer du bruit spatial pour ensuite lui appliquer les modèles de séries temporelles univariées. Le krigeage nous sert à interpoler spatialement les données générées dans le cas où une sélection de sites a été effectuée pour diminuer la dimension spatiale du problème. L’exploitation du générateur, pour laquelle nous donnons quelques résultats, va servir à CCR pour ses politiques de provisionnement et de tarification, et s’intègre également dans l’estimation de la charge deux-centennale liée aux catastrophes naturelles dans le cadre de la directive européenne Solvabilité II. / This work was performed at CCR, a French reinsurance company, within the studies that are conducted to model natural disasters, and particularly the drought hazard. Drought is the word used to denote the shrink-swell clay phenomenon that damages individual houses. These researches are related to an internal model that estimates the annual cost of a drought. This model crosses insurance data and soil moisture data to evaluate the cost of a occured event. CCR wants this model to be improved towards a probabilistic version by conceiving a generator of drought events that have to be realistic, although they are fictive. This generator will allow the estimation of the probability distribution of the drought cost. In order to conceive a fictive event generator for CCR’s drought model, mathematical tools have been used to model dependence between spatio-temporal random variables. The chosen method consists of studying and modeling separately spatial dependence and temporal dependence. Temporal dependence is modelized with time series models such as classical decomposition and autoregressive processes. Spatial dependence is modelized with kriging and copula theory. Spatial random noise is generated with a copula and then time series models are applied to rebuild original process. Kriging is used when generated data need to be interpolated, for example when data are generated only on a subset of the main grid. Results of the generator exploitation are given. They will be used by CCR for provisionning and pricing. These results will also be used for the estimation of the two-hundred-year cost of natural disasters within the new European Solvency II Directive.

Thesis shows progression of catastrophic events and their influence on insurance market. Insurance and reinsurance are connected to conception of catastrophes and therefore it is necessary that this thesis firstly presents key features and classification of notion catastrophe itself. For understanding of the notion is important to differentiate between nature and manmade disasters. Next part summarizes large-scale events in 2008, significant events in the past and disasters in Czech Republic. Catastrophic events are analyzed from various angles, but the most important one seems to be insured losses volume. The core of the thesis is concerned with explanation of the disaster trend and its consequences. Key problem of disaster insurance is connected to the question, how to cover catastrophic losses for both, individuals and insurance companies.

This thesis is focused on insurance business in Vietnam, life insurance and nonlife insurance market within the frame of past and present development. Important part of this thesis is also description of insurance intermediaries and reinsurance companies that are significant subjects in insurance market. Macroeconomic and sociodemographic conditions, in which insurance market operates, are described in first chapter. Vietnam insurance market is underdeveloped in comparison to European countries. On the other hand this sector is progressively developing and has large potential; especially in case government reforms will continue and will lead to international openness and free market economy in Vietnam.

This thesis deals with actuarial methods that are used for life insurance and reinsurance, for traditional insurance products (whole life, term insurance, pure endowment, endowment, whole life annuity, temporary annuity). The main goal of this thesis is to outline the actuarial methods used for life insurance premium and reinsurance premium. The work is focused on the comparison of the unisex rates, gender specific rates and legislation changes for both sides, insurance company and policyholder. The model examples for each combination of insurance type and gender specific rates (male, female and unisex) are presented.In the last part of the thesis, the time series of the written premium for the Czech Republic market are analyzed for years from 2006 to 2013. The regression model is used to predict the development in next two years.

The recent entry of new reinsurers, besides the traditional/state/monopolist, changed the domestic insurance market, changing in profound ways how insurance companies work with reinsurance transactions. The relationship between the reinsurance level and solvency ratios, taxes and determinants was a subject analyzed by international and national studies, the latter researched the market during the pre-opening period (until 2007). In this context, this study ana- lyzes, through a pooled linear regression model, if the use of reinsurance by the Brazilian insurance companies, between 2011 and 2013, was influenced by the solvency and taxes, profitability and size of these companies. According to the international studies, there was no statistical significance for solvency variables. The “size” showed that smaller insurers are risk- averse and thus need higher levels of reinsurance. The proxy taxes had a positive significance, suggesting that national insurers use reinsurance as a tax management tool. The profitability variable was effective to explain the use of reinsurance by national insurance companies. The most profitable insurance companies tend to invest more in managing their risks by making greater use of reinsurance for its less profitable operations. This study found evidence that reinsurance is used by Brazilian insurance companies, not only as a risk management tool, but also for managing taxes and results. / La reciente entrada de nuevos reaseguradores, además del tradicional/estatal/monopolista, han creado una nueva faceta en el mercado nacional de seguros, cambiando drásticamente las características de los reaseguros contratados por las compañías de seguros. La relación del reaseguro con los índices de solvencia, tributos y los factores determinantes de este fue el blanco de muchas investigaciones internacionales y nacionales, estas últimas se realizaron en el período previo a la apertura del mercado (hasta el 2007). En este contexto, el presente estudio analiza, a través de un modelo de regresión lineal con datos pooled, si el uso del reaseguro por parte de las aseguradoras brasileñas durante el período 2011- 2013 fue influenciado por los niveles de solvencia, los tributos, la rentabilidad y el tamaño. Según las investigaciones internacionales, no hay un resultado estadísticamente significativo para las variables de solvencia. El determinante “tamaño” indicó que las aseguradoras más pequeñas tienen mayor rechazo al riesgo y por lo tanto el nivel de reaseguro es más alto. El proxy de tributos presentó significancia positiva, lo que sugiere que las aseguradoras nacionales utilizan el reaseguro como herramienta de gestión tributaria. El proxy de rentabilidad fue eficaz, lo que explica su relación con el nivel de reaseguro utilizado por las compañías de seguros nacionales; esto indica que las compañías de seguros nacionales más rentables tienden a invertir más en la gestión de sus riesgos al usar más el reaseguro en sus operaciones menos rentables. El presente estudio encontró indicios de que el reaseguro es utilizado por las compañías de seguros de Brasil,no solo como una herramienta de gestión de riesgos, sino también en la gestión tributaria y de resultados. / A recente entrada de novos resseguradores, além do tradicional/estatal/monopolista, deu nova cara ao mercado de seguros nacional, modificando de modo profundo as características das operações de resseguros contratadas pelas seguradoras. A relação do nível de resseguro com índices de solvência, de tributos e com determinantes deste, foi alvo de pesquisas internacionais e nacionais, sendo as últimas apenas no período pré-abertura do mercado (até 2007). Neste contexto, este estudo analisa, por meio de modelo de regressão linear com dados pooled, se o uso do resseguro pelas seguradoras brasileiras, no período de 2011 a 2013, foi influenciado pelos níveis de olvência, tributos, rentabilidade e tamanho. Em consonância com as pesquisas internacionais, não foi encontrada significância estatística para as variáveis de solvência. O determinante «Tamanho» indicou que seguradoras menores possuem maior aversão ao risco e, assim, níveis mais elevados de resseguro. A proxy de tributos apresentou significância positiva, sugerindo que as seguradoras nacionais utilizam o resseguro como ferramenta de gestão tributária. A proxy de rentabilidade mostrou-se eficaz para explicar o relacionamento com o nível de resseguro utilizado pelas seguradoras nacionais, indicando que as seguradoras nacionais mais rentáveis tendem a investir mais no gerenciamento de seus riscos fazendo maior uso do resseguro em suas operações que as menos rentáveis. O presente estudo encontrou indícios de que o resseguro é utilizado pelas seguradoras brasileiras, não só como uma ferramenta de gestão de riscos, mas também na gestão tributária e de resultados.

Les travaux de cette thèse se situent dans le cadre de l'élargissement du périmètre des impacts estimés par le modèle inondation de la Caisse Centrale de Réassurance (CCR). Le premier chapitre nous a permis de comprendre les différents impacts d'une inondation, leurs interdépendances et d'en conclure une classification des impacts. A partir de cela, nous proposons un modèle global construit par chaînage de modélisation des impacts où les outputs des différents modèles servent d'inputs pour les modèles suivants. Cette démarche permettra d'avoir une répartition des impacts par poste et une compréhension des effets en cascade des dommages directs vers les effets macro-économiques. Le chapitre 2 s'intéresse à la modélisation des dommages aux véhicules sous le cahier des charges de CCR. Les différentes conditions à respecter sont : la modélisation pour le péril inondation seul et du risque automobile seul, la modélisation pour un événement particulier et pour la charge totale annuelle. L'étude de ce risque, nous a permis de décrire, d'implémenter, d'identifier les problèmes et possibles améliorations de différentes approches de modélisation, à savoir : - une régression linéaire, la méthodologie aujourd'hui utilisée par CCR, - une modélisation fréquence x sévérité associée à la théorie des valeurs extrêmes, très utilisée dans le monde de l'assurance, - une modélisation physique sur exposition, démarche déjà adoptée à CCR pour les dommages au bâti. Nous nous sommes donc appuyés sur le modèle d'aléa inondation CCR et avons développé les modules de vulnérabilité et de dommages propres à ce risque. CCR étant chargée de la gestion comptable et financière du Fonds National de Gestion des Risques en Agriculture pour le compte de l'Etat, les travaux se sont poursuivi, dans le chapitre 3, par la modélisation du risque agricole. A partir d'un état de l'art sur la modélisation des conséquences agricoles des inondations, une modélisation de ce risque est proposée et implémentée. Le modèle s'intègre dans la démarche de modélisation physique sur exposition développée à CCR. Le travail a porté sur le développement des modules de vulnérabilité et de dommages spécifiques à l'agriculture. Le modèle de vulnérabilité a été développé à partir du registre parcellaire graphique et le module de dommages a été développé à partir des courbes de dommages à l'agriculture développées par le groupe de travail national Analyse Multi-Critères inondation à travers les travaux de l'IRSTEA. Le modèle d'aléa utilisé est le modèle développé par CCR depuis 2003. Le dernier chapitre est pensé comme une base technique pour CCR afin de pouvoir continuer les travaux d'élargissement du périmètre des impacts modélisés. Tout d'abord, un état des lieux des travaux réalisés (risques automobile et agricole) et en cours (pertes d'exploitations consécutives à un dommage direct) est réalisé et replacé dans le contexte de la modélisation globale des impacts proposée à CCR. Pour les impacts non traités, nous présenterons les problématiques de modélisation, un court état de l'art et les conclusions que nous en avons tirées en terme de modé / This research was conducted within the framework of the Caisse Centrale de Réassurance's (CCR) R&D objective - to widen the scope of impacts estimated by its flood impact model. In chapter one, we study the various impacts of a flood and their interdependencies in order to create a classification of impacts. This classification allows us to design the architecture of a global impact model built from linking specific impacts models where the outputs of one model are the inputs of the following one. This approach generates an estimation with a breakdown by type of impact. It also allows us to understand the domino effects from the direct damage to the macroeconomic impacts. In chapter two, we study models for car damages according to CCR's specifications. The requirements are: the model should be independent from other natural catastrophes and impacts estimations and it should be able to model both a specific event and the total annual load. Through this work we describe, implement, and identify issues with possible improvements of three modelling approaches: - a simple linear regression, CCR's presently used method, - a frequency x severity model associated to the extreme value theory, widely used in the insurance business sector, - a model that pairs a physical model with exposure through damage curves. CCR already uses this approach to estimate damage to buildings. Hence, we are using CCR's flood hazard model and develop an exposure model and a damage model specific to cars. CCR is in charge of the accounting management of the Agricultural National Risk Management Fund on behalf of the State. Hence, chapter three contains state of the art modeling solutions for this risk and description of the designed model and its implementation. A vulnerability model and a damage model specific to the agricultural risk are developed and paired with CCR's flood hazard model. The vulnerability model uses the Graphic Parcel Register database. The damage model is based on the damage curves developed by IRSTEA for the national think tank on flood cost-benefit analysis. Chapter four is a technical document that will allow CCR to continue the development of the global model. It presents a situational analysis of what has been done (cars and agricultural risks) and of ongoing works (business interruption due to direct damage). For the remaining impacts, it presents the modeling issues, a short research review and the conclusions reached in terms of modeling