Tid: 27 mars 2013 kl 14.15-15.00.Seminarierummet 3721, Institutionen för matematik, KTH, Lindstedts väg 25, plan 7. Karta!
Föredragshållare: Heloise de Sauvage
Titel: Analysis and comparison of capital allocation techniques in an insurance context (Examensarbete - Master thesis)
Companies issuing insurance cover, in return for insurance premiums, face the payments
of claims occurring according to a loss distribution. Hence, capital must be held by
the companies so that they can guarantee the fulfilment of the claims of each line
of insurance. The increased incidence of insurance insolvency motivates the birth of
new legislations as the European Solvency II Directive. Companies have to determine
the required amount of capital and the optimal capital allocation across the different
lines of insurance in order to keep the risk of insolvency at an adequate level. The
capital allocation problem may be treated in different ways, starting from the insurance
company balance sheet. Here, the running process and efficiency of four methods are
evaluated and compared so as to point out the characteristics of each of the methods.
The Value-at-Risk technique is straightforward and can be easily generated for any
loss distribution. The insolvency put option principle is easily implementable and is
sensitive to the degree of default. The capital asset pricing model is one of the oldest
reliable methods and still provides very helpful intermediate results. The Myers and
Read marginal capital allocation approach encourages diversification and introduces
the concept of default value. Applications of the four methods to some fictive and real
insurance companies are provided. The thesis further analyses the sensitivity of those
methods to changes in the economic context and comments how insurance companies
can anticipate those changes.
|Sidansvarig: Filip Lindskog