Tid: 1 december 2008 kl 15.15-16.00 .

Plats : Seminarierummet 3733, Institutionen för matematik, KTH, Lindstedts väg 25, plan 7. Karta!

Föredragshållare: Mikael Hatanpää

Titel: Using Replicating Portfolios for Hedging Swedish Traditional Life Insurance Companies. (Examensarbete)

Sammanfattning: Due to declining equity and fixed income markets, insurers of traditional life suffer from declining buffer capital since it has to make capital injections to fulfil obligations against its policyholders.

In this thesis, a method of solvency improvement for traditional insurance companies is developed and evaluated. At first, a fictional proprietary traditional insurance company is created as a test object. This company will then be applied a hedging strategy by matching sensitivities of a replicating portfolio, which is an approximation of the insurer's expected liability with hedging instruments traded on the market.

As a part of the analysis, this company will be subjected to different economic stress scenarios consistent with those defined in the traffic-light model, a regulatory tool developed by the Swedish Financial Supervisory Authority.

The results indicate that the fictional insurance company can reduce its required buffer capital between 40 % and 60 % without any actions from the regulator, depending on which year the traffic-light test was executed. ¨

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