1. Feb. 2016 – July 2016 Non-Life Insurance “CA Seguros”, Bank “Crédito Agrícola”,
[Portugal]
Description
 Integrating in the actuarial team of
the insurance company;
 Calculating claimreserve using
Chain Ladder and Bootstrap
methodologies, using ADDACTIS
IBNRS Software.
 Studying technical specifications
and constructing Standard
Formula in Excel.
 Using ADDACTIS Modeling
software to calculate company’s
SCR.
 Using Euler’s methodology to
allocate solvency capital
requirement to each lines of
business net of diversification
effect.
 Using mean-variance model on the
sub-portfolios RORAC, to do max
of company’s E(RORAC) using
optimization problem.
 Presenting results to
administration and ISEG
professors.
At the end of this Internship I manage to understand:
 Solvency II;
 How Standard Formula Works and construct it from scratch in Excel;
 How Insurance management works;
 How Best Estimates are calculated;
 How provisions are calculated;
From my conclusions the administration team can change company’s risk strategy and set new goals of construction the
best portfolio to maximize company’s E(RORAC) which will give positive impact on the company’s report and attract
more investors.