A reserve risk model for a non-life insurance company

The aim of the study is the assessment of the reserve risk for a non-life insurance company that writes two different lines of business; the focus is on the determination of the current estimates incorporated in the measurement of the liabilities (in some jurisdictions referred to as technical provisions or actuarial reserves) of insurance contracts (without risk margins) through a bayesian stochastic methodology and on the possible methods for the determination of risk margins above current estimates appropriate for the measurement of the liabilities for insurance contracts for regulatory and general purpose financial reports. A new formula for the calculation of the latter is proposed, analyzing its potential advantages in comparison with the existing ones. In order to determine the risk margin the reserve risk is calibrated on a one year time horizon considering both the case of independence between lines of business and the case of dependence.