Revue des reformes Economique et intégration dans l’économie mondiale
Volume 19, Numéro 2, Pages 123-139
2025-12-28
The Provisioning Risk Measurement In Automobile Insurance Using Value At Risk Approach
Authors : Djelloul Asma . Benilles Billel .
Abstract
This article focuses on the problem of quantifying uncertainty related to the provisioning risk in property and casualty insurance under the new "Solvency II" framework. In this context, the volatility of technical reserves must be included in their estimation by adding a risk margin. This measure can only be achieved by modeling future claims settlement flows. To this end, we apply two stochastic models to a portfolio of the Automobile branch of an Algerian insurance company “CAAT”. These models can be used to estimate the outstanding reserves, while highlighting their capacity to determine the variability of the reserves, as well as their contribution to the calculation of the risk indicators imposed by the "Solvency II" reform, such as the Value at Risk (VaR).
Keywords
Provisioning risk ; risk measurement ; Bootstrap ; Mack ; Value-at-Risk
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