Skip to Main content Skip to Navigation
Journal articles

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

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.
Complete list of metadata

Cited literature [13 references]  Display  Hide  Download
Contributor : Quentin Guibert <>
Submitted on : Tuesday, July 21, 2015 - 12:29:12 AM
Last modification on : Tuesday, March 24, 2020 - 6:56:06 PM
Long-term archiving on: : Thursday, October 22, 2015 - 10:22:33 AM


Files produced by the author(s)




Frédéric Planchet, Quentin Guibert, Marc Juillard. Measuring Uncertainty of Solvency Coverage Ratio in ORSA for Non-Life Insurance. European Actuarial Journal, Springer, 2012, 2 (2), pp.205-226. ⟨10.1007/s13385-012-0051-7⟩. ⟨hal-01169220⟩



Record views


Files downloads