o:28738 Izvođenje krive prinosa za vrednovanje obaveza iz osiguranja u regulatornom okviru solventnost II Deriving yield curve when valuing insurance liabilities in solvency II regulatory framework sr APSTRAKT: Vrednovanje obaveza iz osiguranja u regulatornom okviru Solventnost II podrazumeva diskontovanje očekivanih budućih novčanih tokova potrebnih za izmirenje tih obaveza, primenom odgovarajuće krive bezrizičnih kamatnih stopa. Za interpolaciju i ekstrapolaci- ju stopa koristi se Smit-Vilsonov model ročne strukture kamatnih stopa, dok su vrednosti parametara, ili način njihovog određivanja, unapred definisani po različitim valutama. Sledeći metodološki pristup Solventnosti II, na bazi podataka sa domaćeg finansijskog tr- žišta, u radu je izvedena kriva prinosa u svrhe vrednovanja obaveza iz osiguranja izraženih u srpskim dinarima. Dobijeni rezultati su značajni sa aspekta pozicioniranja pojedinačnih osiguravača i celokupnog sektora osiguranja u odnosu na zahteve režima Solventnost II. ABSTRACT: The valuation of insurance liabilities in the regulatory framework Solvency II involves discounting expected future cash flows required to settle these obligations, by applying the appropriate risk-free interest rate term structure. The Smith-Wilson model is used for curve interpolation and extrapolation both, while the values of the parameters in different currencies, or the method of their determination, are predefined. In this paper we derive yield curve for the purpose of valuing insurance liabilities denominated in Serbian dinars, following the methodological approach of Solvency II and based on data from the domes- tic financial market. The obtained results are significant from the aspect of positioning of individual insurers and the entire insurance sector in relation to the requirements of the Solvency II regime. KLJUČNE REČI: KRIVA PRINOSA, SOLVENTNOST II, SMIT-VILSONOV MODEL KEYWORDS: YIELD CURVE, SOLVENCY II, SMITH-WILSON MODEL 1552101 2217-6217 2023-04-10T13:03:40.656Z 44 no 46 Jelena Kočović Univerzitet u Beogradu Ekonomski fakultet 12438375 0000-0003-3219-4746 Marija Koprivica Univerzitet u Beogradu Ekonomski fakultet person 13834087 0000-0003-4239-2252 application/pdf 531373 https://phaidrabg.bg.ac.rs/o:28738 no yes 1 70 92000001 11A03 Ekonomske ideje i praksa 32 7 24 2019