Solvency Models

Objectives

Know the importance of the concepts of Enterprise Risk Management, Economic Capital and Regulatory Capital. Know and explain the risks associated with the Banking and Insurance business. Be able to measure risks associated with Banking and Insurance. To know and explain the European institutional architecture in the supervision of the financial system. Know the main aspects of the European solvency regime of the insurance sector (Solvency II).

General characterization

Code

12462

Credits

6.0

Responsible teacher

Pedro Alexandre da Rosa Corte Real

Hours

Weekly - 3

Total - 62

Teaching language

Português

Prerequisites

Mathematical Analysis I and II. Probability and Statistics at universitary medium level. Life and Non Life actuarial theory at the level of premiums and technical reserves valuation.

Bibliography

DIRECTIVE 2009/138/EC OF THE EUROPEAN PARLIAMENT AND OF THE COUNCIL of 25 November 2009 on the taking-up and pursuit of the business of Insurance and Reinsurance (Solvency II), available at https://eur-lex.europa.eu/legal-content/EN/TXT/PDF/?uri=CELEX:02009L0138-20170112&from=EN

Commission Delegated Regulation (EU) 2015/35 of 10 October 2014 supplementing Directive 2009/138/EC on the taking-up and pursuit of the business of Insurance and Reinsurance (Solvency II), available at https://eur-lex.europa.eu/legal-content/EN/TXT/?qid=1524003723002&uri=CELEX:02015R0035-20170915

Basel III: A global regulatory framework for more resilient banks and banking systems (2011), available at https://www.bis.org/publ/bcbs189.pdf

Value at Risk: The New Benchmark for Managing Financial Risk. Philippe Jorion.

Handbook of Solvency for Actuaries and Risk Managers: Theory and Practice

Arne Sandström

Teaching method

In the theoretical and practical lectures, it will be explained and discussed the successive topics of the course program. The topics are introduced by the teacher, consolidated using as much as possible with real examples drawn from the insurance industry, followed by a brief discussion and use of computational means to support problem solving.

Evaluation method

Two tests, to be carried out during the academic period and exam (s) according to the academic calendar.

Each of the tests has a weight of 50% for the calculation of the final grade, being exempt from examination the student who has a weighted average greater than or equal to 9.5, with both tests graded at least 7.5 values.

Subject matter

1. Specificities of the insurance sector versus the banking sector.
2. Solvency II and insurance risk management.
3. European Solvency II and how the solvency of an insurance undertaking is handled with the three pillars of Solvency II. Comparison of prudential supervision in Basel III.
4. The three pillars of Solvency II:
4.1. Quantitative requirements (Pillar I): Solvency Capital Requirement (SCR) and Minimum Capital Requirement (MCR).
4.2. Qualitative requirements and Supervisory process (Pillar II).
4.3. Transparency and dissemination of information (Pillar III).
5. Capital requirements: models and evaluation:
5.1. Market risk
5.2. Credit risk
5.3. Operational Risk
5.4. Liquidity Risk
5.5. Subscription Risk

Programs

Programs where the course is taught: