Measuring Uncertainty of Solvency Coverage Ratio in ORSA for Non-Life Insurance

Frédéric Planchet (), Quentin Guibert () and Marc Juillard
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Quentin Guibert: LSAF - Laboratoire de Sciences Actuarielle et Financière - UCBL - Université Claude Bernard Lyon 1 - Université de Lyon
Marc Juillard: LSAF - Laboratoire de Sciences Actuarielle et Financière - UCBL - Université Claude Bernard Lyon 1 - Université de Lyon

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Abstract: We apply a simple model to project the Solvency Capital Requirement (SCR) over several years, using an Own Risk Solvency Assessment (ORSA) perspective, in order to assess the probability of achieving a solvency coverage ratio. To do so, we rely on a simplified framework proposed in Guibert (Bulletin Français d'Actuariat 10(20), 2010) which provides a detailed explanation of the SCR. Then, we take into account temporal dynamics for liabilities, premiums and asset returns. Here, we consider guarantees in non-life insurance. This context, when simplified, allows us to use a lognormal distribution to approximate the distribution of the liabilities. It leads to a simple and tractable model for measuring the uncertainty of the solvency ratio in an ORSA perspective.

Keywords: Non-life insurance; Semi-analytical formula; ORSA; Risk appetite; Solvency Capital Requirement projection (search for similar items in EconPapers)
Date: 2012-12-01
Note: View the original document on HAL open archive server: https://hal.science/hal-01169220v1
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Published in European Actuarial Journal, 2012, 2 (2), pp.205-226. ⟨10.1007/s13385-012-0051-7⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-01169220

DOI: 10.1007/s13385-012-0051-7

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