Modelización estocástica de flujos de caja bajo la normativa de solvencia II para un seguro de vida de larga duración
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2018
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09/06/2017
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Universidad Complutense de Madrid
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Abstract
Los contratos de larga duración son interesantes tanto para el asegurado como para las entidades aseguradoras. Desde la perspectiva de asegurado, las características más atractivas de los contratos de larga duración son: garantía de renovación, garantía de prima, un coste total del seguro más bajo, y finalmente la posibilidad de adquirir un seguro más complejo que combina varias coberturas a un coste más económico. Los contratos de larga duración, al contrario que los contratos de corta duración, permiten a las compañías aseguradoras formar carteras más amplias y estables, con menor volatilidad de pagos por mortalidad o morbilidad y menor necesidad de reaseguro gracias a la posibilidad de diversificación de riesgo de seguro dentro de la cartera. Además, permiten reducir el total de los gastos de adquisición del contrato tales como remuneración de intermediarios, pruebas médicas, coste de diseño de nuevos productos o lanzamiento. Se relacionan también con un negocio más estable por lo que permiten mejor planificación de los gastos e inversiones, lo que se puede transferir a un incremento de calidad y a un menor riesgo operativo. Por último, los contratos de larga duración se suelen asociar con el beneficio medido por un embedded value más alto (en nivel de póliza) que en el caso de los contratos de duración corta. Sin embargo, los contratos de larga duración incluyen riesgos que representan amenazas para la solvencia más acusadas que en los casos de contratos cortos. Nos referimos sobre todo al riesgo financiero relacionado con la gestión de activos y pasivos, el riesgo relacionado con el nivel de gastos futuros, las variaciones de la cartera debidas a los rescates, el riesgo biométrico y todas aquellas garantías del contrato que se convierten en obligaciones a largo plazo...
Long term insurance contracts might be beneficial both for the insured and for the insurance company. From the insured’s perspective, some characteristics of long term insurance contracts which make them attractive might be: guarantee of renewability, premium guarantee, lower overall insurance cost, possibility of purchasing a product with more complex cover and lower cost. Long term insurance contracts in relation to short term contracts allow insurance companies to build wider and more stable portfolios of contracts, which are exposed to lower variability of mortality or morbidity payments and as a consequence – reinsurance need is lower thanks to diversification of risk insider of the portfolio. Moreover, long term insurance contracts allow to reduce the overall acquisition costs related with intermediaries remuneration, medical underwriting, cost of design, pricing, implementation and launching of new products. They are also related to a more stable business and allow for better investment planning, which can transfer into overall increase of quality and lower operational risk. Last of all, long term insurance contracts are likely to allow for higher embedded value defined at single policy level. On the other hand, long term insurance contracts include several risks which might impact to solvency in stronger manner that in case of short term contracts. This refers mainly to financial risks related with management of assets and liabilities, risk related with level of future expenses, lapse risk, biometric risks and value of all long- term guarantees which such contracts are likely to include. The general solvency principle results in interest of both insured and insurance company. In this meaning, the Solvency II directive aims to value uncertainty and risk related with insurance contract by assigning it a cost of required capital, which can be easily transferred into the final insurance premium...
Long term insurance contracts might be beneficial both for the insured and for the insurance company. From the insured’s perspective, some characteristics of long term insurance contracts which make them attractive might be: guarantee of renewability, premium guarantee, lower overall insurance cost, possibility of purchasing a product with more complex cover and lower cost. Long term insurance contracts in relation to short term contracts allow insurance companies to build wider and more stable portfolios of contracts, which are exposed to lower variability of mortality or morbidity payments and as a consequence – reinsurance need is lower thanks to diversification of risk insider of the portfolio. Moreover, long term insurance contracts allow to reduce the overall acquisition costs related with intermediaries remuneration, medical underwriting, cost of design, pricing, implementation and launching of new products. They are also related to a more stable business and allow for better investment planning, which can transfer into overall increase of quality and lower operational risk. Last of all, long term insurance contracts are likely to allow for higher embedded value defined at single policy level. On the other hand, long term insurance contracts include several risks which might impact to solvency in stronger manner that in case of short term contracts. This refers mainly to financial risks related with management of assets and liabilities, risk related with level of future expenses, lapse risk, biometric risks and value of all long- term guarantees which such contracts are likely to include. The general solvency principle results in interest of both insured and insurance company. In this meaning, the Solvency II directive aims to value uncertainty and risk related with insurance contract by assigning it a cost of required capital, which can be easily transferred into the final insurance premium...
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Tesis inédita de la Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, leída el 09-06-2017