Comportamento dos capitais de risco das seguradoras brasileiras durante a pandemia da COVID-19

Abstract

This study evaluates the behavior of the risk capital of the ten largest Brazilian insurance companies during the COVID-19 pandemic. The main objective is to analyze the evolution of the Total Minimum Capital Required (CMR) and by risk type (underwriting, market, credit, and operational) between 2017 and 2023, a period that includes the pre-pandemic years, during the pandemic, and the beginning of recovery. The research uses data from the Annual Individual Financial Statements of Supervised Entities made available by the Superintendence of Private Insurance (SUSEP). The results indicate an overall increase in total CMR during this period, with emphasis on Tokio Marine and Allianz. The analysis by risk type reveals different impacts from the pandemic. Underwriting Risk initially decreased in 2020, followed by recovery in the subsequent years. Market Risk showed high volatility between 2020 and 2022, with significant fluctuations. Credit Risk also demonstrated high volatility, suggesting a potentially elevated risk scenario. Operational Risk Capital, in turn, continued to grow during the pandemic, indicating uncertainty in adapting to recent changes and operational process shifts. The study concludes that the pandemic impacted the different types of risk faced by Brazilian insurers in a heterogeneous manner, requiring adaptation and efficient management to ensure the sector's stability