Cálculo do Capital de Risco de Subscrição: metodologias alternativas
Data
2019-12-09
Autores
Camargo, Renato Riberto 
Orientadores
Santos, Danilo Braun
Tipo
Trabalho de conclusão de curso
Título da Revista
ISSN da Revista
Título de Volume
Resumo
A principal função dos órgãos reguladores do mercado de seguros é fiscalizar as ações dos agentes, garantindo que estejam solventes. Para isso as seguradoras e entidades de previdência devem estar com suas provisões devidamente calculadas. Além disso é preciso manter um montante de capital que suporte as oscilações não esperadas. O presente trabalho tem como objetivo analisar e comparar modelos para o cálculo do capital de risco de subscrição, o qual está contido no montante total de capital para a garantia de solvência. O estudo avaliou três metodologias distintas para o cálculo do capital de risco de subscrição, entre eles estão o modelo proposto pelo regulador brasileiro (SUSEP), o modelo do regulador europeu (EIOPA) e um modelo interno desenvolvido pela seguradora que forneceu os dados para o estudo comparativo. As metodologias da Susep e da EIOPA são regulatórias e foram desenvolvidas com informações de todo o mercado que atuam, por isso são chamadas de standard approach. Já o terceiro método possui desenvolvimento interno, o qual tem como objetivo capturar características e riscos intrínsecos de cada companhia. Os montantes obtidos pelas fórmulas padrões divergiram, tal fato aponta para as variabilidades de cada mercado, visto que as premissas standard são construídas conforme o ambiente que atuam. Para os dados do estudo, foi observado um menor montante de capital de risco de subscrição quando utilizada a metodologia interna, ainda que com um nível de significância de 99,5%. Dessa forma, torna-se coerente a avaliação de modelos internos que possam capturar premissas mais realistas para o cálculo do capital de risco de subscrição.
The primary function of insurance market regulators is to oversee as agents' actions, which are used as solvents. For this, insurers and pension entities must have their provisions duly calculated. In addition, it is necessary to maintain a capital amount that supports such unexpected swings. This paper aims to analyze and compare models for the calculation of underwriting risk capital, or what is the total value of total capital for solvency guarantee. The study assessed three distinct methods for calculating underwriting venture capital, including the Brazilian regulator-controlled model (SUSEP), the European regulator model (EIOPA), and an internal model developed by the insurer that provided data for the comparative study. Because Susep and EIOPA methodologies are regulatory and have been used with information from across the industry, they are called the standard approach. The third method has internal development, or what is the purpose of capturing resources and risks intrinsic to each company. The amounts monitored by the standard formulas differed, this fact indicates for the variability of each market, since as standard assumptions are built according to the environment that is executed. For the study data, a minimum value of underwriting venture capital was observed when used in the internal methodology, although with a significance level of 99.5%. Thus, the evaluation of internal models that can capture more realistic assumptions for the calculation of underwriting risk capital becomes consistent.
The primary function of insurance market regulators is to oversee as agents' actions, which are used as solvents. For this, insurers and pension entities must have their provisions duly calculated. In addition, it is necessary to maintain a capital amount that supports such unexpected swings. This paper aims to analyze and compare models for the calculation of underwriting risk capital, or what is the total value of total capital for solvency guarantee. The study assessed three distinct methods for calculating underwriting venture capital, including the Brazilian regulator-controlled model (SUSEP), the European regulator model (EIOPA), and an internal model developed by the insurer that provided data for the comparative study. Because Susep and EIOPA methodologies are regulatory and have been used with information from across the industry, they are called the standard approach. The third method has internal development, or what is the purpose of capturing resources and risks intrinsic to each company. The amounts monitored by the standard formulas differed, this fact indicates for the variability of each market, since as standard assumptions are built according to the environment that is executed. For the study data, a minimum value of underwriting venture capital was observed when used in the internal methodology, although with a significance level of 99.5%. Thus, the evaluation of internal models that can capture more realistic assumptions for the calculation of underwriting risk capital becomes consistent.
Descrição
Citação
CAMARGO, Renato Riberto. Cálculo do Capital de Risco de Subscrição: metodologias alternativas. 2019. Trabalho de Conclusão de Curso (Bacharelado em Ciências Atuariais) - Escola Paulista de Política, Economia e Negócios, Universidade Federal de São Paulo, Osasco, 2019.