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Dealing with the ORSA: A Dynamic Risk-Factor Based Approach for the Small, Swedish Non-Life Insurer
KTH, School of Industrial Engineering and Management (ITM), Industrial Economics and Management (Dept.), Industrial Management.
KTH, School of Industrial Engineering and Management (ITM), Industrial Economics and Management (Dept.), Industrial Management.
2013 (English)Independent thesis Advanced level (degree of Master (Two Years)), 20 credits / 30 HE creditsStudent thesisAlternative title
Att handskas med ORSAn : En dynamisk riskfaktor-baserad metod för små, svenska skadeförsäkringsbolag (Swedish)
Abstract [en]

The Own Risk and Solvency Assessment, ORSA, is referred to as the heart of the regulation to be for European insurance companies - Solvency II. The aim of the ORSA process is to provide an overall and holistic view of the insurer’s risks by analyzing their current financial status and business strategy at hand. There is no predefined way to implement this process, which means that the companies are forced to develop a model themselves, as they see fit. In collaboration with a regional insurance company in Sweden we develop a structure and framework for an ORSA-model, flexible enough to be used by similar insurers yet standardized enough to overcome the issue of constrained resources within these smaller organizations. We apply a risk-factor based approach and tie together a balance sheet projection and stress testing, designed to be further developed as the individual insurer see fit. The suggested approach yields partially satisfying results and we consider the model to be particularly well-suited for assessing risk in the context of the small, non-life insurer.

Place, publisher, year, edition, pages
2013. , 94 p.
Examensarbete INDEK, 2013:81
Keyword [en]
Solvency II, ORSA, Capital requirement, DFA, Market Risk, Insurance Risk, Correlation, Concentration Risk, Qualitative Assessment, Quantitative Assessment, ERM, Factor model.
National Category
Business Administration Mathematical Analysis
URN: urn:nbn:se:kth:diva-133477OAI: diva2:661883
Subject / course
Educational program
Master of Science in Engineering - Industrial Engineering and Management
2013-06-07, Sing sing, Lindstedtsvägen 30, Stockholm, 09:00 (English)
Available from: 2013-11-07 Created: 2013-11-05 Last updated: 2013-11-07Bibliographically approved

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