Profil ryzyka portfela inwestycji zakładów ubezpieczeń w świetle nowych wymogów kapitałowych Solvency II
Risk profile of insurance companies’ investment portfolio in view of the new solvency ii capital requirements

Summary/Abstract: The publication presents the results of research into the risk profile of the investment portfolio of the insurance companies which operated in the ...uropean Union in the years 2007–2011. The structure of insurance companies’ market risk has been identified, which is the consequence of the investment portfolio structure, with consideration given to the operation conducted in the context of the new Sol- vency II capital requirements. Furthermore, threats connected with assessment of the insurance com- panies’ credit risk portfolio assessment for the needs of estimating the SCR capital requirement has been indicated, which concerns the so-called risk-free debt securities, i.e. bonds issued and guaranteed by Member States, central banks and EEA countries.

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