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How Capital Requirements Affects Swedish Pension Payments

Gustavsson, Hampus LU (2019) FMSM01 20191
Mathematical Statistics
Abstract
The size of the pension payments is a result of how well the pension capital has been invested by the life insurance company. The laws for how much of the pension capital the life insurance companies are able to invest, and how much they need to keep as capital requirement, are under investigation. This is regulated by the risk measure value at risk. Finansinspektionen has released a test report, presenting different capital requirements, for different level of confidence.
This thesis sets out to test the impact the different levels of confidence the risk measure has, on the pension payments. This is done using an AssetLiability Management-model applied to a Swedish traditional mutual life insurance company.
It is concluded that the lower... (More)
The size of the pension payments is a result of how well the pension capital has been invested by the life insurance company. The laws for how much of the pension capital the life insurance companies are able to invest, and how much they need to keep as capital requirement, are under investigation. This is regulated by the risk measure value at risk. Finansinspektionen has released a test report, presenting different capital requirements, for different level of confidence.
This thesis sets out to test the impact the different levels of confidence the risk measure has, on the pension payments. This is done using an AssetLiability Management-model applied to a Swedish traditional mutual life insurance company.
It is concluded that the lower level of confidence in the risk measure yields a higher return on the pension capital. The magnitude of the ratio differs, between portfolio composition, bonus rate function, and time horizon. (Less)
Please use this url to cite or link to this publication:
author
Gustavsson, Hampus LU
supervisor
organization
course
FMSM01 20191
year
type
H2 - Master's Degree (Two Years)
subject
keywords
Capital Requirement, Risk Measure, Value at Risk, Bonus Rate, Traditional Life Insurance.
language
English
id
8974378
date added to LUP
2019-04-25 11:04:16
date last changed
2019-04-25 11:04:16
@misc{8974378,
  abstract     = {{The size of the pension payments is a result of how well the pension capital has been invested by the life insurance company. The laws for how much of the pension capital the life insurance companies are able to invest, and how much they need to keep as capital requirement, are under investigation. This is regulated by the risk measure value at risk. Finansinspektionen has released a test report, presenting different capital requirements, for different level of confidence.
This thesis sets out to test the impact the different levels of confidence the risk measure has, on the pension payments. This is done using an AssetLiability Management-model applied to a Swedish traditional mutual life insurance company.
It is concluded that the lower level of confidence in the risk measure yields a higher return on the pension capital. The magnitude of the ratio differs, between portfolio composition, bonus rate function, and time horizon.}},
  author       = {{Gustavsson, Hampus}},
  language     = {{eng}},
  note         = {{Student Paper}},
  title        = {{How Capital Requirements Affects Swedish Pension Payments}},
  year         = {{2019}},
}