<p>Ett av de flygplan som flögs in i World Trade Center i New York, USA, den 11 september 2001 lyfte från Bostons flygplats. Säkerheten på flygplatsen var Globe, ett bolag i Securitaskoncernen, ansvarigt för. Securitaskoncernen, däribland Globe, ville med anledning av att ett antal skadeståndsanspråk, som följde efter attacken den 11 september 2001, ha försäkringsskydd ur det globala försäkringsprogram som Securitaskoncernen tecknat hos If Skadeförsäkring AB. Ett skiljeförfarande inleddes mellan If och Securitas på grund av att If ansåg att försäkringen inte gällde Globe, medan Securitaskoncernen ansåg att den gjorde det. I uppsatsen granskas tvisten och skiljedomen mellan If och Securitas kritiskt. Uppsatsens fokus ligger på de yrkanden i tvisten som gällde försäkringsavtalstecknande och jämkning av försäkringsersättningen. Även tillämpligheten av krigsundantaget i försäkringsvillkoren behandlas. Försäkringsmäklarens roll och premie-pro-ratas storlek skulle ha kunnat leda till en annan utgång i målet varför även dessa aspekter tas upp i uppsatsen i samband att talans upplägg behandlas. Hur premie-pro-rata kan beräknas i globala ansvarsförsäkringsprogram tas upp liksom förslag lämnas på hur pro-ratans storlek i det aktuella målet skulle ha kunnat fastställas. I uppsatsen lämnas vissa förslag på vad underwriters bör beakta i sitt arbete. Förslagen har arbetats fram utifrån den skiljedom som fastslogs mellan parterna, exempelvis vad gäller försäkringsvillkor.</p>

<p>Syftet med uppsatsen är att utreda vilka förutsättningar som ligger till grund för att företag ska välja att bära kostnaden för användandet av en garant i samband med en nyemission. Genom en kvantitativ och en kvalitativ studie utreds när företag använder garanter, hur garantiåtagandet utformas och vilka kostnader och effekter detta leder till.</p><p>Till den kvantitativa studien som baseras på utförda företrädesemissioner under perioden 2005-2009 ställs två hypoteser rörande när garanter används. Resultatet av den första hypotesen visar inget tydligt samband mellan användandet av garanter och motivet att tillföra rörelsekapital. Testet av hypotes två som söker ett samband mellan användandet av garanter och lågkonjunktur visade ett visst stöd för hypotesen. Efter storleksuppdelning visades ett starkt stöd för att större företag använder garanter mer vid både lågkonjunktur och för att få in rörelsekapital, medan samma studie inte ger något resultat för de mindre bolagen. Den kvalitativa studien som baseras på intervjuer med fyra värdepappersinstitut redogör för marknadens syn på garanter och används för att besvara hur garantiåtagandena utformas och vilka kostnader som följer av användandet. I spåren av finanskrisen som varit är det viktigt att garanter inte etableras som en norm vid nyemissioner där det automatiskt ses som negativt att inte använda ett garantiåtagande. Garanter fyller ett syfte men måste i varje fall tas i relation till företagets faktiska behov av dem.</p>

Syftet med uppsatsen är att utreda vilka förutsättningar som ligger till grund för att företag ska välja att bära kostnaden för användandet av en garant i samband med en nyemission. Genom en kvantitativ och en kvalitativ studie utreds när företag använder garanter, hur garantiåtagandet utformas och vilka kostnader och effekter detta leder till. Till den kvantitativa studien som baseras på utförda företrädesemissioner under perioden 2005-2009 ställs två hypoteser rörande när garanter används. Resultatet av den första hypotesen visar inget tydligt samband mellan användandet av garanter och motivet att tillföra rörelsekapital. Testet av hypotes två som söker ett samband mellan användandet av garanter och lågkonjunktur visade ett visst stöd för hypotesen. Efter storleksuppdelning visades ett starkt stöd för att större företag använder garanter mer vid både lågkonjunktur och för att få in rörelsekapital, medan samma studie inte ger något resultat för de mindre bolagen. Den kvalitativa studien som baseras på intervjuer med fyra värdepappersinstitut redogör för marknadens syn på garanter och används för att besvara hur garantiåtagandena utformas och vilka kostnader som följer av användandet. I spåren av finanskrisen som varit är det viktigt att garanter inte etableras som en norm vid nyemissioner där det automatiskt ses som negativt att inte använda ett garantiåtagande. Garanter fyller ett syfte men måste i varje fall tas i relation till företagets faktiska behov av dem.

Ett av de flygplan som flögs in i World Trade Center i New York, USA, den 11 september 2001 lyfte från Bostons flygplats. Säkerheten på flygplatsen var Globe, ett bolag i Securitaskoncernen, ansvarigt för. Securitaskoncernen, däribland Globe, ville med anledning av att ett antal skadeståndsanspråk, som följde efter attacken den 11 september 2001, ha försäkringsskydd ur det globala försäkringsprogram som Securitaskoncernen tecknat hos If Skadeförsäkring AB. Ett skiljeförfarande inleddes mellan If och Securitas på grund av att If ansåg att försäkringen inte gällde Globe, medan Securitaskoncernen ansåg att den gjorde det. I uppsatsen granskas tvisten och skiljedomen mellan If och Securitas kritiskt. Uppsatsens fokus ligger på de yrkanden i tvisten som gällde försäkringsavtalstecknande och jämkning av försäkringsersättningen. Även tillämpligheten av krigsundantaget i försäkringsvillkoren behandlas. Försäkringsmäklarens roll och premie-pro-ratas storlek skulle ha kunnat leda till en annan utgång i målet varför även dessa aspekter tas upp i uppsatsen i samband att talans upplägg behandlas. Hur premie-pro-rata kan beräknas i globala ansvarsförsäkringsprogram tas upp liksom förslag lämnas på hur pro-ratans storlek i det aktuella målet skulle ha kunnat fastställas. I uppsatsen lämnas vissa förslag på vad underwriters bör beakta i sitt arbete. Förslagen har arbetats fram utifrån den skiljedom som fastslogs mellan parterna, exempelvis vad gäller försäkringsvillkor.

The subject of the study for this dissertation is the relationship between pricing and reserving risks for property-casualty insurance companies. Since the risk characteristics of insurers differ based on their structure, objectives and incentives, segmenting the insurers into subgroups would allow for a better understanding of group-specific risks. Based on this approach to analyzing insurer financial risks, we find that, in a given accident year, the pricing and reserving errors are positively correlated, especially in long-tailed lines of business. Large insurers, stock insurers, and multi-state insurers, in general, exhibit a strong correlation between accident-year price and reserve errors. However, only size of insurers appears to be a factor that influences the interaction between price changes and the calendar year loss reserve adjustments. Furthermore, we find that the pricing risk and reserving risk are marginally more homogenous within a market segment when size, type and number of states are employed as criteria for market segmentation, hence insurance regulators should consider the refined market segments for the RBC formula. The empirical results also indicate that, in general, Chain-Ladder reserving method likely contributes to loss reserve errors when there is a change in the loss development pattern and the magnitude of the errors is worse for large insurers. Finally, we find that our proposed measurement method for the product diversification benefit provides support for the notion that the diversification benefit on the incurred losses increases with the number of lines in the portfolio. Yet, the diminishing returns tend to decrease the diversification benefit on the incurred losses for insurers that write the business in more than six of the selected lines. To the contrary, our proposed measure does not provide clear evidence that writing business in many product lines increases the product diversification benefit with respect to adverse loss development. We do find that the diversification benefit for both incurred losses and loss development is higher for larger insurers. Hence, for risk management and regulatory purposes, a stronger case can be made for considering firm size than product diversification.

Abstract In these years, Value at Risk (VaR) has been an important tool of risk management in the bank industry. In the past, property and casualty insurance industry does not have many correlation research in this aspect, especially in the key of the underwriting risk application may be collection difficulty in data , the domestic correlation research literature were actually few. In this paper, we use TEJ data bank to study the statistical data which needs for the research , the research sample total has 9 property insurance companies, By using the public information of TEJ data bank, it obtains the yearly and quarterly data, and uses the ¡§Fuzzy Distance Weighting Method¡¨ to change the quarterly data into monthly data , calculates loss ratio of the yearly, quarterly, monthly, then use the idea of VaR to compare the different of loss ratio-at-risk in yearly, quarterly, monthly¡CMoreover this study discusses the underwriting risk influence factor of domestic property and casualty insurance industry .This research discovers that yearly data will underestimate the actual of loss ratio at risk . In addition using regression analysis, the underwriting loss ratio-at- risk is influenced by free cash flow , leverage ratio , and firm size. According to the result of this paper, it could provide the reference rule when property and casualty insurance industry or supervisory authority set up the risk management rule. Keywords: Value at risk, Loss ratio, Loss ratio-at-risk, Underwriting risk

Nos últimos anos, o mercado segurador brasileiro tem apresentado forte expansão, a qual foi impulsionada pela estabilização econômica e o conseqüente aumento do consumo. No entanto, mediante um crescimento acelerado dos prêmios, eventuais desvios nas premissas adotadas na precificação podem expor as seguradoras a riscos pouco suportáveis no longo prazo. Este é um dos componentes do risco de subscrição, sendo o objeto do presente estudo. No âmbito regulatório, frente ao aumento das complexidades dos serviços financeiros e aos escândalos envolvendo grandes corporações, fez-se necessário o Novo Acordo da Basiléia, o qual introduziu metodologias de apuração da necessidade mínima de capital mais sensível a risco, beneficiando instituições melhor administradas na medida em que requer menor alocação de capital. Nessa mesma linha, no mercado segurador dos países membros da União Européia, segue o projeto Solvência II. Acompanhando a tendência mundial, no Brasil, foram promulgadas novas regras de solvência para o mercado segurador, sendo estabelecidas, num primeiro momento, regras de alocação de capital para cobertura do risco de subscrição, sendo os demais tipos de risco a serem tratados na seqüência. É importante esclarecer que, diferentemente do setor bancário, no mercado segurador brasileiro não é permitida a utilização do próprio modelo interno ou dos parâmetros deste para determinação do capital mínimo requerido regulatório, mas apenas a aplicação de fatores mais suavizados para tal fim. Assim, como este não observa o risco mensurado internamente, o capital regulatório passa a representar um potencial custo imposto às seguradoras, o qual pode impactar diretamente na rentabilidade das linhas de negócio. Nesse sentido, o presente estudo buscou investigar, sob a ótica e limitação de usuário externo das demonstrações contábeis, a existência de indícios que levam a supor que a nova regulamentação sobre o capital mínimo para cobertura do risco de subscrição penalizou as seguradoras de menor porte, tendo-se em vista o seu valor em risco para o nível de confiança de 99,5%. Para tanto, foi necessário: (a) apurar o capital mínimo regulatório, seja com ou sem modelo interno, (b) estimar o valor em risco de cada seguradora para o nível de confiança de 99,5% e (c) distinguir as seguradoras por porte, o qual foi determinado pela técnica de Análise de Conglomerados. O maior desafio foi determinar, para cada seguradora, o item (b), o qual consistiu na estimação das distribuições marginais das perdas por categoria de negócio e a agregação dessas pela aplicação da teoria de cópulas. Depois, calculou-se a razão entre (i) a somatória do grau de provisionamento com a alocação do capital regulatório (abordagens com e sem modelo interno) e (ii) o valor em risco ao nível de confiança de 99,5%. Em seguida, aplicou-se o teste de Mann-Whitney para comparar médias em função do porte. A partir da análise desenvolvida, observou-se que modelo regulatório se mostrou mais coerente quando aplicado às seguradoras médias e grandes, tendo-se em vista que apresentou menor dispersão no parâmetro calculado, cuja mediana estava em torno de 1. Ou seja, para essas, tal resultado sugere que o grau de provisionamento juntamente com o capital regulatório retrata, aproximadamente, o nível de confiança de 99,5%, em consonância com o Projeto Solvência II. A dispersão para as seguradoras pequenas é bem maior e a mediana está próximo a 1,5, o que indica que a abordagem regulatória requer em torno de 50% a mais de recursos que o nível de confiança de 99,5% exige. Esse resultado indica uma desvantagem competitiva se comparada às seguradoras de médio e grande porte. Portanto, os resultados dos testes sugerem que as novas regras de alocação de capital para o mercado segurador brasileiro penalizou as seguradoras de menor porte, impactando na rentabilidade, na precificação e na competitividade se comparada às médias e grandes, o que, por sua vez, tende a favorecer a concentração do setor. / In recent years, the Brazilian insurance market has shown strong growth, which was driven by economic stabilization and the consequent increase in consumption. However, on an environment accelerated growth of premiums, any deviations in the pricing assumptions may expose insurers to unbearable risks in the long term. This is one of the components of the underwriting risk which is the object of this study. In a regulatory side, increased complexities of the financial services and scandals involving large corporations resulted in the creation of the New Basel Accord, which introduced new methodologies to analyze the minimum capital required, considering the risk based capital approach, benefiting the better managed institutions as they require less capital allocation. In a similar vein, countries of the European Union follow the Solvency II project for their insurance market. Following the global trend, new solvency rules for the insurance market were approved in Brazil, being established in the first instance, rules of capital allocation to cover the underwriting risk. Other risk types will be addressed later by the government. It is important to clarify that, unlike the banking sector, the Brazilian insurance market is not allowed to use its own internal model or the parameters of this model to determine the minimum regulatory capital required, but only the application softened factors for this purpose. Thus, as it does not observe the risk internally measured, the regulatory capital becomes a potential cost imposed on the insurers, which can impact directly the profitability of the business lines. Therefore, from the point of view and limitation of external user of financial statements, the present study investigated the existence of signs that could lead to suppose that the new regulations on minimum capital to cover the underwriting risk have penalized the smaller insurance companies, when keeping in view their value at risk for the confidence level of 99,5%. To this end, it was necessary: (a) to determine the minimum regulatory capital, either approaches with or without internal model; (b) to estimate the value at risk of each insurer for the confidence level of 99,5%; and (c) to distinguish insurers by size, according to the cluster analysis technique. The biggest challenge was to determine, for each insurer, the item (b), which consisted in the estimation of marginal distributions of losses and aggregation of these by applying the theory of copulas. Then we calculated the ratio of (i) the sum of the degree of provisioning with the allocation of regulatory capital (approaches with and without internal model) and (ii) the value at risk at the level of confidence 99,5%. Next, we applied the Mann-Whitney Test to compare means of the insurers by size. From the developed analysis, it was observed that the regulatory model was more consistent on medium and large insures as they have shown a lower dispersion in the parameter of interest, presenting a median around 1. That is, for them, the result suggests that the level of provisioning along with the regulatory capital has approximately reflected the confidence level of 99,5%, which is in line with the Solvency II project. Small insurers have shown much higher dispersion and their median is close to 1,5. This indicates that the regulatory approach requires around 50% more resources than the confidence level of 99,5% requires. This represents a disadvantaged competition, if compared with large and medium sized companies. Therefore, the test results suggest that the new rules of capital allocation for the Brazilian insurance market has penalized the smaller insurers, impacting their profitability and competitive pricing when compared with the medium and large ones, which, in turn, tend to favor an industry concentration.

A new revised prudential regulatory regime for insurers will be introduced in order to align the South African insurance industry with international standards. This regime, called Solvency Assessment and Management, is based on its European counterpart, which is known as Solvency II. This study starts off by investigating and comparing Solvency II, to be implemented in the United Kingdom, with Solvency Assessment and Management, to be implemented in South Africa, identifying a number of similarities between the regimes. The taxation of long-term insurers in both jurisdictions is then investigated, but no similarities are identified. The above prepares the ground for the main purpose of the study, which is to identify the impact of Solvency Assessment and Management on the taxation of long-term insurers in South Africa. This study identified the impact as effecting a change in the current basis used for the valuation of policyholder liabilities, which will cause a decrease in the value of liabilities, and consequently an increase in underwriting profit. The impact of this change is illustrated, and there are clear indications that there is a need to amend current income tax legislation or the directive used to determine the value of liabilities. Two options for amendments are identified but no changes to legislation are expected before 2015. / Dissertation (MCom)--University of Pretoria, 2013. / lmchunu2014 / Taxation / unrestricted

This thesis investigates the difficulty in making accurate forecasts on opportunistic commercial real estate investments. The purpose is to quantify the differences between unlevered cash flows from underwriting estimates and actual outcomes, analyse them and arrive at conclusions about the difficulty in producing forecasts on opportunistic investments. The data used in this thesis comes from two opportunistic real estate portfolios previously owned by the private equity firm Niam. Both portfolios comprised Swedish office properties. The results from analysing Niam’s investments shows that operating cash flows on individual properties are most difficult to forecast since the strategy for the assets constantly needs to be updated in order to adjust for current events like for example change in demand of office properties. This can have great impact on the profit allocation between property cash flows and exit cash flows in comparison to underwriting. Furthermore the results show of an increased need of diversification for opportunistic investments, since individual investments have high volatility. Also, analysing investments on unlevered level has limitations. On an unlevered level an investment can have actual outcomes worse than in the underwriting, but when adding effects from financial leverage and currency movements the same asset can outperform the underwriting.

This thesis investigates the difficulty in making accurate forecasts on opportunistic commercial real estate investments. The purpose is to quantify the differences between unlevered cash flows from underwriting estimates and actual outcomes, analyse them and arrive at conclusions about the difficulty in producing forecasts on opportunistic investments. The data used in this thesis comes from two opportunistic real estate portfolios previously owned by the private equity firm Niam. Both portfolios comprised Swedish office properties. The results from analysing Niam’s investments shows that operating cash flows on individual properties are most difficult to forecast since the strategy for the assets constantly needs to be updated in order to adjust for current events like for example change in demand of office properties. This can have great impact on the profit allocation between property cash flows and exit cash flows in comparison to underwriting. Furthermore the results show of an increased need of diversification for opportunistic investments, since individual investments have high volatility. Also, analysing investments on unlevered level has limitations. On an unlevered level an investment can have actual outcomes worse than in the underwriting, but when adding effects from financial leverage and currency movements the same asset can outperform the underwriting.