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Estudo do Ponto Ótimo de Resseguro para Carteiras de Vida Risco
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O presente estudo incide sobre a análise da estrutura de resseguro no ramo Vida de uma amostra da carteira de Vida Risco da seguradora Fidelidade - Companhia de Seguros, S.A., composta por dois produtos, o produto associado ao Crédito Habitação e o produto Empresarial. O objetivo central consistiu em identificar o ponto de equilíbrio entre a rentabilidade ajustada ao risco e os requisitos de capital regulatórios, de modo a apoiar a tomada de decisão estratégica.
Numa primeira fase, procedeu-se a uma análise estatística descritiva da carteira, a qual evidenciou diferenças estruturais significativas entre os dois produtos. Enquanto o segmento de Crédito Habitação se destacou pela sua dimensão, diversificação e capitais médios mais elevados, o segmento Empresarial revelou capitais mais homogéneos e, regra geral, de montante inferior. Esta disparidade dos produtos refletiu-se igualmente nos padrões de cedência a resseguro e na volatilidade dos prémios de resseguro observados.
Subsequentemente, avaliou-se a rentabilidade ajustada ao risco através do indicador RORAC, para diferentes níveis de retenção, complementando-se a análise com uma simulação estocástica de sinistros e com a aplicação da teoria da utilidade, considerando distintos perfis de aversão ao risco. Os resultados demonstraram que, no segmento de Crédito Habitação, a escolha do pleno apresenta um impacto praticamente residual, ao passo que, no segmento Empresarial, se verificaram ganhos marginais significativos até aproximadamente 150 000 euros de retenção. De um modo geral, os resultados indicam que a seguradora dispõe de uma margem de decisão relativamente ampla, sendo recomendável a adoção de um pleno de retenção situado entre 150 000 e 200 000 euros, uma vez que o resseguro é negociado de forma conjunta.
Por fim, testou-se a robustez das conclusões simulando o agravamento da mortalidade de modo a que o valor esperado de óbitos se aproximasse de um cenário com probabilidade de ocorrência de 0,05% com a tábua de mortalidade sem agravamento. Constatou-se uma redução do RORAC em ambos os segmentos, mais acentuada no produto Empresarial.
This study focuses on the analysis of the reinsurance structure in the Life business line, based on a sample from the risk life insurance portfolio of Fidelidade – Companhia de Seguros, S.A., composed of two products: one associated with Mortgage Credit and the other with Corporate insurance. The main objective was to identify the optimal balance between risk-adjusted profitability and regulatory capital requirements, in order to support strategic decision-making. In the first phase, a descriptive statistical analysis of the portfolio was carried out, which revealed significant structural differences between the two products. While the Mortgage Credit segment stood out for its size, diversification, and higher average insured amounts, the Corporate segment exhibited more homogeneous sums insured, generally of lower value. This disparity between products was also reflected in the patterns of reinsurance cession and the volatility of reinsurance premiums observed. Subsequently, risk-adjusted profitability was assessed using the RORAC indicator, for different retention levels. This analysis was complemented by a stochastic simulation of claims and by the application of utility theory, considering distinct risk aversion profiles. The results showed that, in the Mortgage Credit segment, the choice of retention level had a practically negligible impact, whereas in the Corporate segment, significant marginal gains were observed up to approximately 150 000 euros of retention. Overall, the results indicate that the insurer has a relatively wide decision margin, and the adoption of a retention level between 150 000 and 200 000 euros is recommended, given that reinsurance is negotiated jointly. Finally, the robustness of the conclusions was tested by simulating a deterioration in mortality, such that the expected number of deaths approached the level associated with a 0,05% probability scenario under the unshocked mortality table. A reduction in RORAC was observed in both segments, more pronounced in the Corporate product.
This study focuses on the analysis of the reinsurance structure in the Life business line, based on a sample from the risk life insurance portfolio of Fidelidade – Companhia de Seguros, S.A., composed of two products: one associated with Mortgage Credit and the other with Corporate insurance. The main objective was to identify the optimal balance between risk-adjusted profitability and regulatory capital requirements, in order to support strategic decision-making. In the first phase, a descriptive statistical analysis of the portfolio was carried out, which revealed significant structural differences between the two products. While the Mortgage Credit segment stood out for its size, diversification, and higher average insured amounts, the Corporate segment exhibited more homogeneous sums insured, generally of lower value. This disparity between products was also reflected in the patterns of reinsurance cession and the volatility of reinsurance premiums observed. Subsequently, risk-adjusted profitability was assessed using the RORAC indicator, for different retention levels. This analysis was complemented by a stochastic simulation of claims and by the application of utility theory, considering distinct risk aversion profiles. The results showed that, in the Mortgage Credit segment, the choice of retention level had a practically negligible impact, whereas in the Corporate segment, significant marginal gains were observed up to approximately 150 000 euros of retention. Overall, the results indicate that the insurer has a relatively wide decision margin, and the adoption of a retention level between 150 000 and 200 000 euros is recommended, given that reinsurance is negotiated jointly. Finally, the robustness of the conclusions was tested by simulating a deterioration in mortality, such that the expected number of deaths approached the level associated with a 0,05% probability scenario under the unshocked mortality table. A reduction in RORAC was observed in both segments, more pronounced in the Corporate product.
Descrição
Palavras-chave
Resseguro Pleno de Retenção Carteira de Vida Risco RORAC