Język Polski
English
Interest rate risk in the activity of insurance companies
Daria Ringwelska
Abstract
Abstract: In view of the high dynamics of changes in the current market environment, insurance undertakings should particularly strive for effective risk management, care for ensuring profitability of operations and have appropriate capital buffers. The aim of the article is to present one of the aspects of market risk, i.e. interest rate risk in insurance undertakings and the measurement of the above-mentioned risk according to the Solvency Capital Requirement (SCR) standard formula methodology. The article refers to the changes planned in this area as part of the revision of the Solvency II system. In this regard, it should be emphasized that the solvency requirements significantly improve the protection of consumer interests, but also require effective capital management from insurance undertaking, which may be the result of an analysis of the structure of investments or a change in the structure of products offered by insurance undertaking. As part of the analysis, the potential impact of the change of the WIBOR reference index to WIRON on the activities of insurance undertakings was also determined.
Keywords:
WIBOR, WIRON, SCR, insurance undertaking, market risk, interest rate risk, Solvency IIJEL Codes
G22, G52Details
References
Statistics
Authors
Citation rules
Licence
This work is licensed under a Creative Commons Attribution-NonCommercial-ShareAlike 4.0 International License.