Essays about: "life insurers"

Showing result 1 - 5 of 9 essays containing the words life insurers.

  1. 1. Navigating the Volatility Adjustment in Solvency II : Portfolio Optimization for Balance Sheet Stability

    University essay from Umeå universitet/Institutionen för matematik och matematisk statistik

    Author : Max Thorendal; [2023]
    Keywords : ;

    Abstract : This thesis investigates volatility adjustment from the Solvency II regulation and portfolio allocation methods for pension- and life insurance companies aiming to maintain a stable balance sheet. The volatility adjustment is a component added to the risk-free rate for discounting the present value of future liabilities, and it is calculated monthly based on the spread levels in the fixed-income market. READ MORE

  3. 2. Using Gradient Boosting to Identify Pricing Errors in GLM-Based Tariffs for Non-life Insurance

    University essay from KTH/Matematik (Avd.)

    Author : Felix Greberg; Andreas Rylander; [2022]
    Keywords : GLM; Gradient Boosting; XGBoost; Non-life insurance; Property Casualty; Rate making; Insurance Tariff; MTPL insurance; Machine learning; Regression trees; Tweedie regression; Credit risk; GLM; Gradient Boosting; XGBoost; Skadeförsäkring; Prissättning; Försäkringstariff; Trafikförsäkring; Regressionsträd; Maskininlärning; Tweedie-regression; Kreditrisk;

    Abstract : Most non-life insurers and many creditors use regressions, more specifically Generalized Linear Models (GLM), to price their liabilities. One limitation with GLMs is that interactions between predictors are handled manually, which makes finding interactions a tedious and time-consuming task. READ MORE

  4. 3. How to Differentiate the Difference - A quantitative study on the determinants of discrepancies between expected and actual credit ratings in insurance companies

    University essay from Göteborgs universitet/Graduate School

    Author : Gustav Hellman; Henrik Walldén Persson; [2020-07-01]
    Keywords : Expected ratings; credit ratings; financial strength; discrepancy; earnings management; embedded value; IFRS; life insurers;

    Abstract : We study the determinants of discrepancies between expected and actual credit ratings among insurance companies. We analyze 124 public insurance companies with an assigned credit rating, and model discrepancies as the difference between expected and actual credit ratings. READ MORE

  5. 4. Asset allocation under Solvency II : Adjusting investments for capital efficiency

    University essay from KTH/Entreprenörskap och Innovation

    Author : ERIK HELLGREN; FREDRIK UGGLA; [2015]
    Keywords : Solvency II; capital requirements; life insurance; market risk; portfolio; Solvens II; kapitalkrav; livförsäkring; marknadsrisk; portföljoptimering;

    Abstract : 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. READ MORE

  6. 5. Dealing with the ORSA : A Dynamic Risk-Factor Based Approach for the Small, Swedish Non-Life Insurer

    University essay from KTH/Industriell Management

    Author : Carl Sahlin; Carl-Johan Hugner; [2013]
    Keywords : Solvency II; ORSA; Capital requirement; DFA; Market Risk; Insurance Risk; Correlation; Concentration Risk; Qualitative Assessment; Quantitative Assessment; ERM; Factor model.;

    Abstract : The Own Risk and Solvency Assessment, ORSA, is referred to as the heart of the regulation to be for European insurance companies - Solvency II. The aim of the ORSA process is to provide an overall and holistic view of the insurer’s risks by analyzing their current financial status and business strategy at hand. READ MORE