Please use this identifier to cite or link to this item:
Title: Matching Premium. New approach to calculate technical provisions life insurance companies
Author: Carrasco, Maria
Director/Tutor: Portugal Curso, Luis
Keywords: Reassegurances
Capital de risc
Gestió d'actius i passius
Tesis de màster
Venture capital
Asset-liability management
Masters theses
Issue Date: 2012
Series/Report no: 148
Abstract: Since the new regulatory framework requires us to value the assets and liabilities of the entities at market value; Why the present value of liabilities should upgrade to a riskfree rate, without considering the result which represents the different typology of risk management of the assigned assets to policies that differently assumes each entity? Solvency II, Level 2 specifically, includes the concept of Matching Premium in calculating liability obligations of insurance companies, as a positive spread rewards good liquidity risk management, allowing it to update the value of the future obligations of the entities to a higher discount rate which means a lower amount provisioned. Including the matching premium will prevent exposure to fluctuations in daily bond market as a result of insurers remain, a priori, their assets until maturity. This is what some euro zone countries such as Spain, have discussed following the publication of the Directive. The aim of the thesis is disaggregate their calculation, as well as the impact and the conclusions for/against the new calculation model.
Note: Màster de Direcció d'Entitats Asseguradores i Financeres, Universitat de Barcelona, Facultat d'Economia i Empresa, Curs: 2011-2012, Tutor: Luis Portugal
Appears in Collections:Màster - Direcció d'Entitats Asseguradores i Financeres (DEAF)

Files in This Item:
File Description SizeFormat 
TFM-DEAF-148_Carrasco.pdf1.03 MBAdobe PDFView/Open

Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.