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Master Thesis

Modélisation prospective du bilan économique d'une compagnie de réassurance non-vie dans le cadre de l'ORSA

Abstract : The Solvency 2 Directive will enter into force on 1 January 2016. Solvency 2 is composed of three pillars and the Own Risk and Solvency Assessment is part of the second pillar which's objective is to supplement the quantitative requirements of the first pillar with qualitative requirements. The ORSA will form the main point of interest of this Master's Thesis. EIOPA (European Insurance and Occupational Pensions Authority) requires all national competent authorities to ensure that all insurance undertakings perform a valuation of their own solvency needs during the preparatory phase. The valuation of the own solvency needs is one of the main objectives of the ORSA. The ORSA requires each insurance undertaking to adopt a forward-looking perspective of their risk profile in order to meet the solvency requirements on a constant basis. This Master's Thesis establishes a general model which is able to predict the probable future solvency capital requirements and the probable future value of the technical provisions. This model is implemented in the framework of a non-life reinsurance company. The key concept of the model is to split the main projection up in different sub-projections. This is done by adopting a run-off approach. This concept allows to split the projection of the ongoing business into multiple projections of the business in run-off. This approach gives more reliable and detailed results, and it can also be used in order to implement a multitude of stress-tests. The model also has a more general interest because it can be applied to any non-life insurance or reinsurance undertaking with the help of the projection of four business drivers. The model also has a more specific interest for the reinsurance company to which it was applied to. It shows the probable evolution of its risk profile, solvency requirements and technical provisions. It can also help in the choice of an optimal retrocession program depending on the company's risk appetite.
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Master Thesis
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Submitted on : Tuesday, November 22, 2016 - 3:39:29 PM
Last modification on : Sunday, October 25, 2020 - 7:05:42 AM
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  • HAL Id : dumas-01073306, version 1


Luca Agosta. Modélisation prospective du bilan économique d'une compagnie de réassurance non-vie dans le cadre de l'ORSA. Gestion des risques [q-fin.RM]. 2014. ⟨dumas-01073306⟩



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