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

Frédéric Planchet (1) , Quentin Guibert (1) , Marc Juillard (1)

1 SAF - Laboratoire de Sciences Actuarielle et Financière

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.

Mots clés: Non-life insurance; Semi-analytical formula; ORSA; Risk appetite; Solvency Capital Requirement projection

Domaines: Gestion des risques [q-fin.RM]; Economies et finances; Gestion et management

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