Reserve risk : an application to ORSA

Mestrado em Ciências ActuariaisUnder Solvency II, insurance undertakings must have, as part of their risk management system, a regular practice of assessing their overall solvency needs with a view to their specific risk profile, known as 'Own Risk and Solvency Assessment' (ORSA). ORSA aims to identify whether the particular risk profile of an undertaking deviates from the assumptions underlying the regulatory capital calculation (i.e. European Standard Formula). In this context, this work aims at estimating the undertaking specific parameters (USP) for reserve risk, for Motor Vehicle Liability and Motor Others. In a long term perspective, alternative models were applied to the estimation of the ultimate reserve risk. For Solvency Capital Requirements, a short-term perspective, it is necessary to estimate the one-year reserve risk factors, which was done by applying the three different methods presented and allowed by the European Insurance and Occupational Pensions Authority (EIOPA). The results for the different models and methods in both perspectives were compared and the impact of the USP was assessed in terms of capital gains