چکیده مقاله
This study aims to develop a dynamic analytical framework linking Early Warning Indicators EWIs with stress test scenarios within the Own Risk and Solvency Assessment ORSA process A Dynamic Risk Model DRM was applied to simulate variations of key financial variables including the Solvency Capital Requirement SCR ratio, loss ratio, and liquidity stability index over a 60 month horizon The input data were entirely synthetic, generated through ARIMA and GARCH time series models combined with Monte Carlo simulations for samples of 5, 20, and 30 insurance undertakings, aiming to assess risk dynamics across different portfolio sizes The results indicate that in the pre shock scenario, the system remains relatively stable Under a claim increase shock of 30%, the average SCR decreased to around 0 95, and the early warning month shifted from month 29 to approximately month 44, reflecting a delay in solvency signals Conversely, a premium decline shock of −24% led to an SCR of about 0 825 with a stable DRM Index of 0 525, suggesting convergence of high risk structures under intensified shocks Moreover, enlarging the sample size from 5 to 30 companies reduced the SCR variance, supporting the stability of the DRM framework Overall, the combined ORSA–DRM approach effectively identifies the onset of financial instability and dynamically depicts the mechanisms of risk transmission, thereby enhancing Chief Financial Officer CFO and Chief Risk Officer CRO decision making in defining optimal solvency early warning thresholds The findings confirm that integrating EWIs into the ORSA stress‑testing process improves both the sensitivity and predictive power of solvency monitoring The model demonstrates robustness across varying shock intensities and portfolio dimensions, while distinguishing transitory volatility from structural weaknesses Methodologically, this research introduces a replicable dynamic framework that transforms ORSA from a static compliance routine into a forward‑looking supervisory mechanism Conceptually, it establishes a new analytical bridge between proactive solvency management and quantitative early‑warning design representing a substantive innovation for actuarial modeling and risk governance
کلیدواژهها
نویسندگان
Z. Rahmani
Y. FarashbandGarmsir
Y. FarashbandGarmsir
Z. Rahmani
شیوه ارجاع
Rahmani, Z. and FarashbandGarmsir, Y.,1404,A Dynamic Risk Modeling Approach to ORSA: Integration of Early Warning Indicators and Stress Testing Scenarios,The 32nd National Conference and the 13th International Conference on Insurance and Development: 'Reimagining Supervision in Insurance: An Innovative Path toward Effective Regulation',Tehran
ارائهشده در
مجموعه مقالات سی ودومین همایش ملی و سیزدهمین همایش بین المللی بیمه و توسعه با عنوان: «بازاندیشی نظارت در بیمه؛ مسیر نوآورانه برای تنظیم گری موثر»11 آذر 1404 · تهران