الفهرس 
Internal Assessment for Risk Profile to Estimate the Required Capital in Property and Casualty Insurance in the Egyptian Market
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Abstract
The economic capital model is a critical component for Enterprise Risk Management (ERM), which plays an important part in future decisions on the assessment of the risks to estimate the solvency capital requirements, make a suitable capital allocation, and meet Own Risk Solvency Assessment (ORSA) requirements under Solvency II framework for the insurance companies. In particular, Solvency II aims to assure the understanding and assessment of the material risks of the insurance companies.
This study is separated into two parts; first, the theoretical part introduces the understanding of the components of the economic capital model under Solvency II, the usages of the economic capital model, and the link between the calculation of Solvency Capital Requirements (Pillar I) and ORSA and ERM (Pillar II).
Second, the practical part describes how to build the capital model with an internal assessment of the risk profile to calculate the solvency capital requirements with application to a non-life insurance company in the Egyptian insurance market.
For this purpose, the mark-to-market approach, the statistical-analytic methods, R programme, mathematical methods, and scenarios and stress shocks with the help of Solvency II QIS5 (Fifth Quantitative Impact Study) are applied.
Additionally, this study contributes to the quantitative assessment of multi-year non-life reserve risk, quantifies the uncertainty reserve risk, determines the projection of the own fund, and calculation of Cost-of-Capital risk margin.
The findings reveal that the internal capital model is an effective strategy for assessing the risk profile, calculation of the economic capital under Solvency II, assessing OSN (Own Solvency Needs) in a forward-looking manner; and should be incorporated into the framework of any insurance company’s ERM.
These results are also relevant for academic research, policymakers, actuaries, and managers.