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Managing marginal capital requirements in solvency II: analysis of a real insurance portfolio
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This thesis provides a complete analysis of the Standard Capital Requirements given by Solvency II
for a real insurance portfolio. We analyze the investment portfolio of BPI Vida e Pensões, an insurance
company affiliated with a Portuguese bank BPI, both at security, sub-portfolio and asset class levels.
By using the Standard Formula from EIOPA, Total SCR amounts to 239M€. This value is mostly
explained by Market and Default Risk whereas the former is driven by Spread and Concentration
Risks.
Following the methodology of Leblanc (2011), we examine the Marginal Contribution of an asset
to the SCR which allows for the evaluation of the risks of each security given its characteristics
and interactions in the portfolio. The top contributors to the SCR are Corporate Bonds and Term
Deposits. By exploring further the composition of the portfolio, our results show that slight changes
in allocation of Term and Cash Deposits have severe impacts on the total Concentration and Default
Risks, respectively. Also, diversification effects are very relevant by representing savings of 122M€.
Finally, Solvency II represents an opportunity for the portfolio optimization. By constructing
efficient frontiers, we find that as the target expected return increases, a shift from Term Deposits/
Commercial Papers to Eurozone/Peripheral and finally Equities occurs.