Measuring uncertainty of solvency coverage ratio in ORSA for non-life insurance.

We apply a simple model to project the Solvency Capital Requirement (SCR) over several years, using an Own Risk Solvency Assessment (ORSA) perspective, in order to assess the probability of achieving a solvency coverage ratio. To do so, we rely on a simplified framework proposed in Guibert (Bulletin Français d'Actuariat 10(20), ) which provides a detailed explanation of the SCR. Then, we take into account temporal dynamics for liabilities, premiums and asset returns. Here, we consider guarantees in non-life insurance. This context, when simplified, allows us to use a lognormal distribution to approximate the distribution of the liabilities. It leads to a simple and tractable model for measuring the uncertainty of the solvency ratio in an ORSA perspective. [ABSTRACT FROM AUTHOR]