Designing a Risk Model of the Insurance Company

Student: Safin Adel

Supervisor: Vladimir Viktorovich Novikov

Educational Programme: Applied Economics (Master)

Final Grade: 9

Year of Graduation: 2018

Russian insurance market expects the implementation of the European Union directive, Solvency 2, setting requirements for the risk management of insurers, disclosure of information, as well as the amount of capital necessary to maintain solvency at a sufficiently high level. The concept of the approach to estimation of this capital value (SCR) in accordance with Solvency 2 was considered and described, and a case study was conducted with a fictitious company as an example that may be of interest to insurers with a similar set of risks with the insurance company considered. As a result, it was revealed that SCR for the risk of underwriting for non-life insurance has a marked effect on SCR for such companies. In addition, model parameters were analyzed and possible approaches to their remeasurement were provided with.

Full text (added May 29, 2018)

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