Svenska livbolag har varit en av de större kapitalplacerarna på den svenska fastighetsmarknaden under de senaste fem åren. Livbolagen förvaltar kapital åt sina försäkringstagare som förväntar sig få utbetalningar antingen genom en traditionell försäkring, där livbolagen utlovar en bestämd avkastning per år eller genom att erbjuda fondförsäkringar. Den traditionella livförsäkringen inbringar stora summor premier som måste investeras i olika tillgångsslag. Placeringstillgångarna kommer att bli underställda det nya Solvens II direktivet som innebär att livbolagen måste anpassa sina tillgångar efter sina åtaganden. Syftet med den här rapporten är att utreda vilka effekter Solvens II direktivet kan tänkas ha på de svenska livbolagen och hur livbolagen kan komma att förändra sina portföljeallokeringar till följd av det nya regelverket. Rapporten avgränsas till livbolagens fastighetsrelaterade tillgångar och kommer primärt behandla effekten av ett riskbaserat kapitalkrav på olika fastighetsexponeringarna. Avslutningsvis diskuteras ifall livbolagens agerande till följd av direktivet kan komma att påverka fastighetsmarknaden. Utredningen kring förslaget har pågått sedan 2006 och implementeringen förväntas ske kring 2016. Dock så har både Europaparlamentet och Finansinspektionen gett indikationer på att implementeringen kan komma att förskjutas ytterligare. Utöver kapitalkravet kommer Solvens II leda till en mer betungande rapportering samt strukturella förändringar inom livbolagens ledning. Uppsatsen kommer fram till att ingen fastighetsinvestering kommer att premieras för samtliga livbolag men att de kan premieras en fastighetsinvestering för enskilda livbolag beroende på vad de har i sin befintliga portfölj och hur investeringen kan komma att påverka diversifieringseffekten. Eftersom livbolagens portföljer är relativt olika kommer Solvens II inte att påverka den svenska fastighetsmarknaden och om den så var fallet skulle detta redan ha skett eftersom direktivet har varit på agendan sedan 2006. / The Swedish life insurance companies have been one of the major capital investors in the Swedish real estate market in the past five years. The life insurance companies manages capital for its policyholders who expect to get payments either through a traditional insurance where the life insurance companies promise a fixed return per year or by providing a unit-linked insurance. The traditional life insurance brings in huge amounts of premiums that must be invested in different assets. The allocation of the assets will be subjected to the new Solvency II directive, which means that life insurance companies must adapt their assets according to their commitments. The purpose of this report is to investigate the effects the Solvency II directive could have on the Swedish life insurance companies and how life insurance companies may change their allocation of their portfolio as result of these new regulations. The report is limited to the life insurance companies' real estate-related assets and will primarily deal with the impact of risk-based capital requirements for various real estate exposures. Finally, we discuss if the life insurance companies' behavior may affect the Swedish real estate market as a result. The investigation about the proposal has been ongoing since 2006 and implementation is expected to occur around 2016. However, the European Parliament and the Swedish Financial Supervisory Authority have given indications that the implementation could be postponed. In addition to capital requirements, Solvency II will lead to a more stringent reporting and structural changes in the life insurance companies' management. The main findings in this report are that none of the real estate asset classes will be preferred for all life insurances companies, however some asset classes may be preferred from the individual companies perspective with regard of what their present portfolio contains and how the inclusion that asset may affect the diversifying effect. Since every life insurance company portfolio contains a different mix of assets the Solvency II directive will not affect the Swedish real estate market and if that were the case it would already have happened because the directive have been on the agenda since 2006.

Solvens II är ett nytt regelverk för försäkringsbolag inom EU som ska träda i kraft 2016. Tidigare forskning har diskuterat effekterna av det nya regelverket och förutspår att det kommer att påverka försäkringsbolagens tillgångsallokering. Syftet med denna studie är att studera optimala tillgångsallokeringar för livbolag, både med avseende på interna krav på risk och avkastning och externa kapitalkrav i Solvens II. En fallstudie utförs på ett svenskt livbolag för att ta fram en modell för optimala tillgångsallokeringar, som även tar hänsyn till livbolagets framtida utbetalningar. En optimal allokering tas fram med hjälp av kvadratisk optimering på risk och kapitalkrav givet en viss förväntad avkastning och den nuvarande allokeringen jämförs med olika optimala portföljer. Resultaten visar att det är möjligt att optimera allokeringen både ur ett risk- och avkastningsperspektiv samt  apitalkravsperspektiv, men att de optimala tillgångsportföljerna skiljer sig åt markant. Detta arbete påvisar att det finns en betydande skillnad på risk, mätt genom antingen historisk volatilitet eller kapitalkrav. Ett exempel är tillgångsklassen hedgefonder som har en låg historisk volatilitet men har ett högt kapitalkrav i Solvens II. Denna studie bidrar till befintlig forskning genom att utveckla ett ramverk för investeringar för ett livbolag i Solvens II som tar hänsyn till kapitalkrav för olika tillgångar. / Solvency II is a new regulatory framework concerning insurance companies in the European Union, to be introduced in 2016. The effects of the regulation have been discussed and previous literature believes it will have a significant effect on insurance companies’ asset allocation. The aim of this thesis is to investigate the optimal asset allocation for a life insurer with respect to internal risk-return requirements and external capital requirements imposed by Solvency II. The thesis performs a case study on a Swedish life insurer for the purpose of developing and evaluating an asset allocation model which incorporates future liabilities of the life insurer. Through quadratic optimization, the asset allocation is optimized for portfolios associated with a certain expected return and the current allocation is compared to optimal portfolios. The results show that it is possible to optimize the asset allocation from both a risk-return and capital requirement perspective. However, they are subject to large shifts in asset allocation. The thesis also shows that there is a large discrepancy of risk from a standard deviation standpoint and regulatory capital charges. One example are hedge funds which have shown a low historical volatility but are classified as an asset with high risk in Solvency II. This study contributes to theory by providing an investment decision framework for life insurers that includes capital charges for asset allocation.

金融服務業的跨業經營讓保險業監理制度面臨新變革，而2008年金融海嘯重創國際金融以及全球經濟更讓金融服務業監理出現更多未可知的變數，歐盟在體解現行保險業清償能力制度（Solvency I）不足下著手於新清償能力制度（Solvency II）之建立，惟透過風險的角度作全面制度的基礎著眼點是否真能適切反映監理需求、達到保護保單持有人的最終目標，並成為帶領保險業駛離本次金融海嘯的諾亞方舟？ 本文從歐盟現行保險業清償能力制度談起，逐步進入Solvency II計畫的實質內涵，兼論該制度設計可能存在的問題，並對於新制在未來趨勢上對國際保險業監理所可能造成之影響作初步探討。最後，從歐盟Solvency II計畫的角度出發、反視臺灣現行保險業清償能力監理架構，從而對於未來制度之設計給予相關之建議，並期盼本文能以投石問路之姿，在全球金融籠罩在一片動盪不安的此時，就臺灣保險業清償能力監理制度這一塊，提供另一種可能的思維方向。

O sistema de fundos de pensão possui papel fundamental na constituição de poupança e desenvolvimento do mercado financeiro e de capitais de um país. As incertezas de sustentabilidade do equilíbrio financeiro no longo prazo direcionam a exigência de uma supervisão robusta sobre os diversos riscos incorridos, não se restringindo apenas ao seu estado de solvência. A presente dissertação procura apresentar modelos baseados na avaliação dos riscos de um fundo de pensão, passando pela situação atuarial, as características dos planos, bem como pelos parâmetros relacionados ao mercado de capitais e formas de gestão dos investimentos. Os modelos propostos nos ajudam a visualizar o risco atuarial justificado pelo aumento da expectativa de vida, o risco de mercado através do reinvestimento e o risco de mercado em função do nível das taxas de juros. Ainda, tendo em conta estes riscos quantificáveis, é efetuada uma aplicação prática com o objetivo de determinação do requisito de capital de um determinado fundo de pensão para a cobertura destes riscos, tendo por base o modelo do projeto europeu de Solvência II, desenvolvido no âmbito da atividade seguradora. / The system of pension funds has a primary role in the formation of savings and financial market development and capital of a country. The uncertainties of financial balance sustainability in the long term drive the requirement for a robust supervision on the various risks involved, not restricted only to its state of solvency. This dissertation seeks to present models based on risk assessment of a pension fund, through the actuarial situation, the characteristics of the plans, as well as the parameters related to capital markets and ways of managing investments. The proposed models help us to see the actuarial risk justified by the increase in life expectancy, market risk through reinvestment and market risk based on the level of interest rates. Still, considering these risks quantifiable, a practical application is made for the purpose of determining the capital requirement of a particular pension fund to cover these risks, based on the model of the European Solvency II project, developed within the ambit of insurance activity.

L’implémentation de Solvabilité II constitue une révolution pour les sociétés d’assurance car elle entraine d’importants changements dans leurs pratiques de gestion. Plusieurs inquiétudes ont été soulevées quant aux impacts de la calibration de la formule standard sur les investissements des assureurs et l’économie en général. A cela s’ajoutent les exigences sur la gouvernance et la gestion des risques qui vont modifier la culture de risques des entreprises et qui vont encourager l’adoption d’une approche ERM. Cette thèse a donc pour objectif d’analyser les impacts des exigences de Solvabilité II et de l’ERM sur la gestion d’actifs et la gestion des risques des assureurs.Une première partie traite des effets potentiels de Solvabilité II sur les investissements obligataires. Nous analysons la pertinence du SCR obligataire et le comportement du couple rendement-SCR. Les résultats montrent que la mesure de risque réglementaire est globalement satisfaisante pour les obligations à faible risque mais qu’elle est surestimée (sous-estimée) en période d’absence de crise (en période de crise) pour les obligations à risque élevé. Nous montrons également que la calibration de Solvabilité II favorise les obligations à faible duration et notamment, les obligations high yield. Une deuxième partie porte sur les facteurs déterminants de l’état d’avancement de l’ERM et ses bénéfices. Notre principale contribution est la construction d’un indice continu sur l’ERM qui permet de déterminer l’état d’avancement de l’ERM pour les assureurs. Nos résultats montrent que le statut de mutuelle, la taille de l’assureur et sa localisation géographique influencent l’état d’avancement de l’ERM, et qu’une relation positive et significative existe entre l’état d’avancement de l’ERM et la rentabilité des assureurs. / Solvency II implementation constitutes a revolution for insurance companies because it leads to major changes their management practices. Solvency II propositions have thus become a major concern for the insurance sector, especially regarding the potential impact of the standard formula on insurers’ investments and on the economy. Aditionnally, Solvency II governance and risk management principles will modify insurers’ risk management culture and will encourage them to adopt ERM practices. This thesis analyses the impact of Solvency II requirements and ERM on insurer’s management practices.A first analysis focuses on the effects of Solvency II calibration on insurance companies’ bond investments. We analyse the adequacy of bond SCR and the behaviour of the return-SCR couple. The results show that the regulatory risk measure for low risk bonds is overall adequate, but that it is overestimated (underestimated) for high risk bonds in non-crisis periods (in crisis periods). We also show that Solvency II calibration encourages investments in low duration bonds and especially high yield bonds. A second analysis focuses on understanding the determinants of ERM adoption and its benefits. Our main contribution is the creation of a continuous ERM index that measures the level of development of insurance companies’ ERM program. We conclude that insurers’ mutual status, size, and geographical location are determinants of ERM state of progress and that there is a positive and significant relationship between ERM state of progress and companies’ profitability.

O sistema de fundos de pensão possui papel fundamental na constituição de poupança e desenvolvimento do mercado financeiro e de capitais de um país. As incertezas de sustentabilidade do equilíbrio financeiro no longo prazo direcionam a exigência de uma supervisão robusta sobre os diversos riscos incorridos, não se restringindo apenas ao seu estado de solvência. A presente dissertação procura apresentar modelos baseados na avaliação dos riscos de um fundo de pensão, passando pela situação atuarial, as características dos planos, bem como pelos parâmetros relacionados ao mercado de capitais e formas de gestão dos investimentos. Os modelos propostos nos ajudam a visualizar o risco atuarial justificado pelo aumento da expectativa de vida, o risco de mercado através do reinvestimento e o risco de mercado em função do nível das taxas de juros. Ainda, tendo em conta estes riscos quantificáveis, é efetuada uma aplicação prática com o objetivo de determinação do requisito de capital de um determinado fundo de pensão para a cobertura destes riscos, tendo por base o modelo do projeto europeu de Solvência II, desenvolvido no âmbito da atividade seguradora. / The system of pension funds has a primary role in the formation of savings and financial market development and capital of a country. The uncertainties of financial balance sustainability in the long term drive the requirement for a robust supervision on the various risks involved, not restricted only to its state of solvency. This dissertation seeks to present models based on risk assessment of a pension fund, through the actuarial situation, the characteristics of the plans, as well as the parameters related to capital markets and ways of managing investments. The proposed models help us to see the actuarial risk justified by the increase in life expectancy, market risk through reinvestment and market risk based on the level of interest rates. Still, considering these risks quantifiable, a practical application is made for the purpose of determining the capital requirement of a particular pension fund to cover these risks, based on the model of the European Solvency II project, developed within the ambit of insurance activity.

Wise investments in Information Technology have become increasingly important in staying competitive in today's environment. Massive amounts of people and IT-systems are involved in the process of input becoming output. As these employees and IT-systems must be harmonized, it becomes relevant to study how employees’ routines and habits are related to the usage and embeddedness of these systems. Therefore, the purpose of this paper is to investigate how embedded IT can lead to improved business processes. This is done through exploring how embedded IT is used in workflows as well as to examine what support and hindrance IT can offer. Therefore, extensive theoretical research was conducted within the fields of habits and routines, business processes and embedded IT, developing a framework for analysis. Then, a case study was conducted where a specific process within insurance claims was thoroughly analyzed through interviews and work shadowing. This facilitated a within-case analysis. The results of the study showed the interdependency between the pillars of this study. Workflow habits and routines influences IT usage, whereas IT aims to support through automatization and informatization. However, to enable this and achieve a significant improvement, the processes it aims to support needs to be fully known.

The author analyzes the European concept of ‘Large Risk’, a subject which has been misunderstood in Latin America. He defend the Peruvian alternative that prefer the Judicial Review instead of the amount limits; and criticize the Project presented in the Peruvian Congress which pretends the second one, following the Chilean law that has deformed –in his opinion– the original (European) idea. / El autor analiza el concepto de ‘grandes riesgos’, de origen europeo que ha sido y pretende ser mal utilizado en Latinoamérica. Defiende la alternativa legislativa por la que se optó en la ley de contrato de seguro de Perú, donde se estableció una especie de control difuso en vez del establecimiento de montos que delimiten la barrera. Critica el Proyecto de ley presentado en el Congreso peruano que pretende imitar el camino chileno.

La directive Solvabilité II, soumise par la Commission Européenne en 2009, est rentrée en application en janvier 2016. Elle se base sur trois piliers. Le premier pilier traite des obligations quantitatives liées au calcul du capital de solvabilité requis. Le second pilier traite de la gouvernance des risques. Le troisième pilier concerne les documents et informations requis, la discipline de marché. Pour l’assurance vie, les obligations quantitatives (pilier I et une partie du pilier II) introduisent un haut niveau de complexité. En effet, pour créer un dispositif adapté aux spécificités des entreprises, la directive a introduit un cadre de valorisation du bilan des assureurs très délicat à comprendre et utiliser, la valorisation économique. Du fait de cette complexité, la plupart des assureurs vie européens ont, durant leurs premières années passées à implémenter la directive, choisi de se focaliser sur le pilier I en sachant que le calcul de l’exigence en capital serait une part essentielle du dispositif. Dans cette thèse, j’ai choisi de concentrer mon travail sur le second pilier de la directive et plus précisément sur le processus Own Risk and Solvency Assessment (ORSA). Cet outil réglementaire est en fait la seconde source de complexité majeure de Solvabilité II. C’est un processus de gestion des risques totalement intégré à l’entreprise dont l’objectif est de mener les assureurs à une meilleure compréhension de leurs risques. Au cours de mon travail, j’ai cherché à conceptualiser et à proposer des mises en œuvre opérationnelles pour répondre aux problématiques induites par l’ORSA (calcul du Besoin Global de Solvabilité et Conformité Permanente). Enfin, au travers d’un travail commun avec N. El Karoui, S. Loisel et J.-L. Prigent, nous avons analysé et exemplifié certains des dangers majeurs induits par la valorisation économique / The Solvency II directive issued in 2009 by the European Commission has been put into action in January 2016. It is based on three pillars. The first pillar addresses the quantitative requirements to assess the Solvency capital needs. The second pillar, more qualitative, addresses the risks governance. The third pillar addresses the required disclosures. For life insurance, the quantitative requirements (pillar I and a part of pillar II) have introduced a high level of complexity. Indeed, to create an entity-adapted scheme, the directive has developed a very specific process to evaluate the insurance balance sheets, namely the economic valuation. Considering this complexity, most European life insurances have chosen to focus on pillar I, at the beginning of the implementation of the directive, the regulatory capital assessment being an essential part of the solvency scheme. In this thesis I focus my work on the second pillar of the directive and more precisely on the Own Risk and Solvency Assessment (ORSA) process. This regulatory tool is the second major source of complexity when implementing the directive. It is a completely undertaking-embedded risk management process which aims to deepen the insurance knowledge of its risks. In my work I have tried to conceptualize and propose operational implementations to answer the ORSA issues (Overall Solvency Needs assessment and continuous compliance). Finally, through a joint work with N. El Karoui, S. Loisel and J.-L. Prigent, we have underlined, analyzed and exemplified some of the major hazard sources induced by the economic valuation

The impact of our membership of European Union on Czech insurance market - EU Law Directions and their consequences for insurance market including changes in compulsory Road Traffic Act Insurance, experience tables, rating, IFRS 4 and Solvency II