Upravljanje rizikom solventnosti životnih osiguravača

Abstract

Sveobuhvatno sagledavanje rizika koji utiču na poslovanje kompanije za osiguranje je neophodno da bi se mogla oceniti sposobnost kompanije da dugoročno ispunjava obaveze po ugovorima o osiguranju. Predmet istraživanja doktorske disertacije je merenje rizika životnog osiguranja i analiza njihovog uticaja na solventnost osiguravajućih kompanija. Merenje rizika omogućava određivanje nivoa kapitala koji je potreban za apsorpciju potencijalnih gubitaka osiguravača, kao odgovarajućeg iznosa koji garantuje solventnost kompanije. U režimu Solventnost II za određivanje zahtevanog kapitala za obezbeđenje solventnosti može da se koristi standardna formula, interni model i parcijalni interni model. Standardna formula za merenje rizika odgovara prosečnoj evropskoj kompaniji, dok je precizno određivanje zahtevanog kapitala za obezbeđenje solventnosti konkretne osiguravajuće kompanije moguće razvojem odgovarajućeg internog ili parcijalnog internog dinamičkog modela. Cilj disertacije je razvoj parcijalnog internog modela za određivanje zahtevanog kapitala za pokriće rizika životnih osiguranja, uvažavajući profil rizika konkretnog osiguravača koji posluje na srpskom tržištu životnog osiguranja, što je postignuto modeliranjem rizika smrtnosti, dugovečnosti i prekida ugovora. Za konkretnu osiguravajuću kompaniju izmeren je zahtevani kapital za obezbeđenje solventnosti u režimu Solventnost I, zahtevani kapital za rizik životnog osiguranja prema standardnoj formuli u režimu Solventnost II i prema predloženom parcijalnom modelu uz uvažavanje i bez uvažavanja polne strukture osiguranika. Dobijeni rezultati pokazuju da će uvođenje režima Solventnost II dovesti do rasta zahtevanog kapitala za obezbeđenje solventnosti kod domaćih osiguravača u odnosu na režim Solventnost I, dok će primena parcijalnog internog modela, zasnovanog na rizičnom profilu konkretne osiguravajuće kompanije, dovesti do smanjenja zahtevanog kapitala u odnosu na primenu standardne formule. Takođe, dokazano je da je adekvatna procena matematičke rezerve važan preduslov za obezbeđenje solventnosti životnih osiguravača.

A comprehensive assessment of the risks that affect the business operations of an insurance company is essential to evaluate the company's ability to meet its long-term obligations under insurance contracts. The subject of the doctoral dissertation is the measurement of life insurance risks and the analysis of their impact on the solvency of insurance companies. Risk measurement enables the determination of the level of capital needed to absorb potential insurer losses, as an appropriate amount that guarantees the company's solvency. Under the Solvency II regime, the solvency capital requirement can be determined using a standard formula, an internal model, and a partial internal model. The standard risk measurement formula corresponds to an average European company, while precise determination of the solvency capital requirement of a specific insurance company is possible by developing an appropriate internal or partial internal dynamic model. The objective of the dissertation is to develop a partial internal model for determining the required capital to cover the solvency of life insurance risks, taking into account the risk profile of a specific insurer operating in the Serbian life insurance market, which has been achieved by modeling mortality risks, longevity, and contract lapses. For a specific insurance company, the solvency capital requirement under the Solvency I regime, the required capital for life insurance risk according to the standard formula under the Solvency II regime, and according to the proposed partial model, taking into account and without taking into account the gender structure of the insured, were measured. The obtained results show that the introduction of the Solvency II regime will lead to an increase in the solvency capital requirement among domestic insurers compared to the Solvency I regime, while the application of a partial internal model, based on the risk profile of a specific insurance company, will lead to a reduction in the required capital compared to the application of the standard formula. Also, it has been proven that an adequate assessment of mathematical reserves is an important prerequisite for ensuring the solvency of life insurers.