Internal Assessment for Underwriting Risk to Estimate the Solvency Capital Requirements Applied to Egyptian Non-Life Insurance Companies
Author(s)
Nashed Abdelsallam , Asmaa Mohamed Hussein ,
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Abstract
the aim of this research is to estimate the solvency capital requirements and financial planning for the underwriting risk with application to non-life Egyptian insurance companies using the partial capital Model. Additionally, this research calibrates the underwriting risk using the undertaking- specific Parameters (USPs) as input for own Risk and solvency assessment (ORSA) in order to estimate the key volatility of risks, which enhances the Enterprise Risk Management (ERM) framework for Egyptian non-life insurance companies. Finally, this research aimed to tested the quality of the capital model, determine the one-year change and quantify the one-year reserve risk a as a portion of the ultimate risk (emergence risk),which are considered the important steps towards validation the reserving risk of capital model and understanding the reserve risk assessment from ultimate to the one-year reserve risk. This paper suggested partial capital model using the statistical-analytic methods, Mathematical methods and Scenario shocks based on the excel calculations with the help of a supported tool of solvency II called Quantitative Impact Study5 (QIS5).The authors selected value at Risk (VAR) with 99.5% over one-year time horizon, which is consistent with solvency II. This research with will be guide for the future decisions on assessment of underwriting risks and integrate the capital model into of any insurance company’s ERM plan.
Keywords
Internal Capital Model, Solvency II, own Risk and solvency assessment (ORSA), underwriting risks, solvency Capital requirements (SCR).
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