Utilize este identificador para referenciar este registo: http://hdl.handle.net/10400.5/6309
Título: Reserve risk : an application to ORSA
Autor: Elias, Vânia Isabel Ramos
Orientador: Silva, João Andrade e
Barata, João Candeias
Palavras-chave: Solvency II
ORSA
USP
Solvency Capital Requirement
Reserve Risk
Mack
Bootstrap
Munich Chain Ladder
Merz-Wüthrich
Data de Defesa: 2013
Editora: Instituto Superior de Economia e Gestão
Citação: Elias, Vânia Isabel Ramos. 2013. "Reserve risk : an application to ORSA". Dissertação de Mestrado. Universidade de Lisboa. Instituto Superior de Economia e Gestão.
Resumo: Under Solvency II, insurance undertakings must have, as part of their risk management system, a regular practice of assessing their overall solvency needs with a view to their specific risk profile, known as 'Own Risk and Solvency Assessment' (ORSA). ORSA aims to identify whether the particular risk profile of an undertaking deviates from the assumptions underlying the regulatory capital calculation (i.e. European Standard Formula). In this context, this work aims at estimating the undertaking specific parameters (USP) for reserve risk, for Motor Vehicle Liability and Motor Others. In a long term perspective, alternative models were applied to the estimation of the ultimate reserve risk. For Solvency Capital Requirements, a short-term perspective, it is necessary to estimate the one-year reserve risk factors, which was done by applying the three different methods presented and allowed by the European Insurance and Occupational Pensions Authority (EIOPA). The results for the different models and methods in both perspectives were compared and the impact of the USP was assessed in terms of capital gains.
Descrição: Mestrado em Ciências Actuariais
URI: http://hdl.handle.net/10400.5/6309
Aparece nas colecções:BISEG - Dissertações de Mestrado / Master Thesis
DM - Dissertações de Mestrado / Master Thesis

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