Linhas de solvência utilizando medidas de risco

Abstract

This work is based on a solvency model that relates the expected rate of return of investment performance by an insurance company with its volatility. Instead of calculating the minimum capital requirement for the Solvency II regulation, this model gives an alternative, by providing minimum standards for risk and return of investments. The rate ofreturn should take into account the historical growth of liabilities over time, represented by a stochastic process. Eling et al. (2009) proposed a model based on risk measures and an approximation by the normal power to evaluate solvency. We extend this study for the asymmetric case, through the translated gamma approximation and compared with a notapproximated simplified model. Thus, in order to measure the quality of the approximations, we evaluated the model in various scenarios.