The research is divided mainly into three blocks. The first block proposes an overview of the environment in which the research takes place. Indeed, the first two chapters analyze the actual context of low market yields and the reasons that make the German life insurance industry highly exposed to a scenario of prolonged low interest rates. The second block is the core part of the research, since: (i) provide a theoretical background on the quantitative instruments applicable to simulate the underlying movement of capital market variable such as: risk free rate, bond yield curve, stock and real estate indices, (ii) shows a model to forecast the development of the balance sheet of a representative German life insurance, (iii) gives a review of the key points of Solvency II Directive and presents a full internal model aimed to test the solvency situation. The distinctive feature of this part is the focus on the practical implementation of all theoretical instruments. The third block discusses the results obtained from the forecasted balance sheet of Allianz, with a particular focus on: (i) the ability of the company of paying shareholders’ dividends as well as additional profit distribution to policyholder,(ii) paying the amounts due to matured policy contracts,(iii) needs of liquidating in advance assets held in the portfolio or needs of extra capital injection to meet the funding gap, and thus collect enough investment funds to cover the level of indebtedness. Solvency situation is finally tested applying the solvency ratio, and evaluating the amount of capital injection necessary to meet the solvency capital requirement. The analysis is conducted under two alternative interest rate scenarios. The base scenario simulates a slight recovery in the medium term, while the brakeless scenario simulates a more severe environment with lower market rates. The research put together areas that usually remain separated: market analysis and practical approach vs academic theory.
La ricerca si divide in tre blocchi. Il primo blocco introduce il contesto in cui la ricerca è stata condotta. I primi due capitoli analizzano l’attuale contesto di bassi tassi di interesse e le ragioni che rendono il settore delle assicurazioni vita Tedesche particolarmente esposto ad uno scenario di prolungati bassi tassi. L’ obiettivo del secondo blocco è: (i) fornire una solida base teorica in merito agli strumenti che possono essere utilizzati per riprodurre l’andamento delle principali variabili finanziarie quali: risk free rate, bond yield curves, stock and real estate indices, (ii) proporre un modello atto a riprodurre l’andamento del bilancio di una assicurazione vita Tedesca che sia rappresentativo per l’intero settore, (iii) fornire una revisione dei punti chiave della direttiva Solvency II e presentare un full internal model elaborato per analizzare la situazione di solvibilità. Il carattere distintivo di questo secondo blocco è l’attenzione rivolta alla implementazione pratica di tutti gli strumenti trattati da un punto di visto teorico. Il terzo blocco discute i risultati ottenuti dalla proiezione del bilancio di Allianz, con una attenzione particolare alla: (i)capacità di corrispondere dividendi agli azionisti e pagare profitti addizionali agli assicurati, (ii) capacità di retribuire gli assicurati una volta che le polizze giungono a scadenza, (iii) necessità di liquidare asset in anticipo o raccogliere capitale per colmare il funding gap, e cosi coprire il livello di indebitamento. La situazione di solvibilità è in fine analizzata applicando il solvency ratio, e valutando se iniezioni di capitale siano necessarie per assolvere al requisito d solvibilità. L’analisi è condotta sulla base di due scenari. Il base scenario simula una leggera ripresa nel medio termine, mentre il brakeless scenario simula un contesto più complesso con tassi di mercato più bassi. L’obiettivo del lavoro è mettere assieme due ambiti che solitamente restano separati, l’analisi di mercato e la teoria accademica.
GERMAN LIFE INSURANCE INDUSTRY UNDER PRESSURE IN A LOW INTEREST RATE ENVIRONMENT: TESTING SOLVENCY SITUATION
BARBAGLIO, RICCARDO
2014/2015
Abstract
The research is divided mainly into three blocks. The first block proposes an overview of the environment in which the research takes place. Indeed, the first two chapters analyze the actual context of low market yields and the reasons that make the German life insurance industry highly exposed to a scenario of prolonged low interest rates. The second block is the core part of the research, since: (i) provide a theoretical background on the quantitative instruments applicable to simulate the underlying movement of capital market variable such as: risk free rate, bond yield curve, stock and real estate indices, (ii) shows a model to forecast the development of the balance sheet of a representative German life insurance, (iii) gives a review of the key points of Solvency II Directive and presents a full internal model aimed to test the solvency situation. The distinctive feature of this part is the focus on the practical implementation of all theoretical instruments. The third block discusses the results obtained from the forecasted balance sheet of Allianz, with a particular focus on: (i) the ability of the company of paying shareholders’ dividends as well as additional profit distribution to policyholder,(ii) paying the amounts due to matured policy contracts,(iii) needs of liquidating in advance assets held in the portfolio or needs of extra capital injection to meet the funding gap, and thus collect enough investment funds to cover the level of indebtedness. Solvency situation is finally tested applying the solvency ratio, and evaluating the amount of capital injection necessary to meet the solvency capital requirement. The analysis is conducted under two alternative interest rate scenarios. The base scenario simulates a slight recovery in the medium term, while the brakeless scenario simulates a more severe environment with lower market rates. The research put together areas that usually remain separated: market analysis and practical approach vs academic theory.È consentito all'utente scaricare e condividere i documenti disponibili a testo pieno in UNITESI UNIPV nel rispetto della licenza Creative Commons del tipo CC BY NC ND.
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https://hdl.handle.net/20.500.14239/9297