Evaluation of Solvency Capital Requirement on Equity Risk

Bowen Tong

Diplomová práce

Anotace:

Solvency is a basic indicator that must be considered when measuring the financial situation of an insurance company. Solvency is the ability of an insurer to pay off debts. The minimum solvency of an insurance company is the solvency requirement that the insurance company must meet, that is, the difference between the recognized assets of the insurance company and the recognized liabilities that must be met by the insurance company as stipulated by the insurance regulations. The main goal of this diploma is to calculate the solvency capital requirement (SCR) of a virtual company and determine the amount of total potential loss that the company should cover within one year. In this diploma, it is decided to analyze and intend to invest in the European stock index cac40. The monthly closing price from March 2014 to March 2019 was selected as the data base of this diploma. Despite the introduction and conclusion, the paper mainly includes three parts, description, mathematical analysis and application part. The second chapter is the description section. It mainly introduces and describes the SCR and MCR under the Solvency II specification.

Abstract:

Solvency is a basic indicator that must be considered when measuring the financial situation of an insurance company. Solvency is the ability of an insurer to pay off debts. The minimum solvency of an insurance company is the solvency requirement that the insurance company must meet, that is, the difference between the recognized assets of the insurance company and the recognized liabilities that must be met by the insurance company as stipulated by the insurance regulations. The main goal of this diploma is to calculate the solvency capital requirement (SCR) of a virtual company and determine the amount of total potential loss that the company should cover within one year. In this diploma, it is decided to analyze and intend to invest in the European stock index cac40. The monthly closing price from March 2014 to March 2019 was selected as the data base of this diploma. Despite the introduction and conclusion, the paper mainly includes three parts, description, mathematical analysis and application part. The second chapter is the description section. It mainly introduces and describes the SCR and MCR under the Solvency II specification.

Klíčová slova

Solvency II；Value at risk, Solvency Capital Requirement, ARMA model, Simulation, Minimum Capital Requirement, White noise, Heteroskedasticity test.

Keywords

Solvency II；Value at risk, Solvency Capital Requirement, ARMA model, Simulation, Minimum Capital Requirement, White noise, Heteroskedasticity test.

Jazyk práce: angličtina

Datum vytvoření / odevzdání či podání práce: 26. 4. 2019

Obhajoba závěrečné práce

• Obhajoba proběhla 28. 5. 2019
• Vedoucí: Jiří Valecký
• Oponent: Ingrid Petrová

VŠB - Technická univerzita Ostrava

Ekonomická fakulta

Magisterský studijní program / obor:
Hospodářská politika a správa / Finance