Managing marginal capital requirements in solvency II: Analysis of a real insurance portfolio

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.

How do current term structure model behave beyond the last liquid point?: A comparison of the DNS and Smith-Wilson methods

A Work Project, presented as part of the requirements for the Award of a Master’s Double Degree in Finance from Maastricht University and NOVA – School of Business and Economics

Contributions à la Paléontologie du Miocène moyen continental du Bassin du Tage. II - Observations sur les dents pharyngiennes de poissons cyprinidés - Póvoa de Santarém.

The study of Cyprinid fish pharyngeal teeth, collected by M. Telles Antunes in continental "Helvetian" sediments from Póvoa de Santarém, makes possible to demonstrate the occurrence of two distinct species. One remains undetermined. The other belongs to the recent genus Leuciscus CUV. Several dental types of this genus are described and figured as Leuciscus antunesi nov. sp. Palaeoclimatical and palaeoecological interpretations are proposed.

Estudo prospectivo para o ano 2021 Região Autónoma dos Açores, NUT II

Dissertação apresentada como requisito parcial para obtenção do grau de Mestre em Gestão de Informação

Análise do Risco de subscrição no âmbito do projecto solvência II

Dissertação apresentada na Faculdade de Ciências e Tecnologia da Universidade Nova de Lisboa para a obtenção do grau de Mestre em Matemática e Aplicações – Actuariado, Estatística e Investigação Operacional

Part I : Comparing derivatization methods for amino acids – one and two-step procedures using gas chromatography – flame ion detector (GC-FID) Part II: Story of an icon from its execution until its conservation

Dissertação apresentada na Faculdade de Ciências e Tecnologia da Universidade Nova de Lisboa para obtenção do grau de Mestre em Conservação e Restauro

Análise do uso da energia na FCT-UNL (edifícios II, VII, VIII, IX e X) e estudo dos comportamentos relativos ao uso da energia

Dissertação apresentada na Faculdade de Ciências e Tecnologia da Universidade Nova de Lisboa para a obtenção do grau de Mestre em Engenharia do Ambiente, perfil Gestão e Sistemas Ambientais

Contributions to the Eocene palaeontology and stratigraphy of Beira Alta, Portugal II - New Late Eocene mammalian remnants from Coja (Portugal) and the presence of Palaeotherium magnum Cuvier

The presence of Palaeotherium magnum in the fauna from Coja is recorded. It is well in agreement with the earlier reporting to the Montmartre level from the Ludian stage. Field data as well as compatibility with the remaining taxa and the identical fossilization of all the specimens indicate that all the vertebrate fossils come from the same horizon in the lithostratigraphic unit "Arcoses de Côja".

Geomorphic dam-break flows. Part II: numerical simulation

Proceedings of the Institution of Civil Engineers - Water Management 163 Issue WM6

Application de connaissances terminologiques dans le cadre de l'enseignement du Français langue etrangère I et II

Dissertação apresentada para cumprimento dos requisitos necessários à obtenção do grau de Mestre em Terminologia

Projecto solvência II - Modelação do risco de subscrição numa companhia de seguros não vida

Dissertação apresentada na Faculdade de Ciências e Tecnologia da Universidade Nova de Lisboa para obtenção do grau de Mestre em Matemática e Aplicações - Actuariado, Estatística e Investigação Operacional

Vibroacoustic disease II: The biological and acoustical basis of low frequency noise induced pathology

Proceedings Institute of Acoustics (UK); vol. 25, nº2, p. 72-78.

Functional and structural characterization of the RNase II-family of enzymes

Dissertation presented to obtain a Doctoral Degree in Biology by Instituto de Tecnologia Química e Biológica, Universidade Nova de Lisboa

Metals in proteins from sulphate-reducing bacteria: adenylate kinase and ATP sulfurylase. Proteins containing cobalt, zinc, iron (II) ions

A Thesis submitted at the Faculty Science and Technology of the New University of Lisbon for a degree in Doctor of Philosophy in Biochemistry with specialization in Physical Biochemistry

As teses do defensor Pacis, II, XIII

pp. 205-227