OWN RISK AND SOLVENCY ASSESMENT REPORT IN LIGHT OF SERBIAN REGULATORY REQUIREMENTS

This paper presents the main objectives of risk management in insurance companies and how to perform a qualitative and quantitative analysis of particular risks in the context of the Own Risk and Solvency Assessment Report (ORSA Report). The Report is a new regulatory requirement which demands of the insurance companies in Serbia to develop procedures for identifi cation and assessment of all risks to which they are exposed to and assess the required capital to cover these risks. Stress test for bonds portfolio is also presented in the paper, as a standard tool to estimate the required capital related to interest rate risk within the ORSA report.

Key words: Solvency I, Solvency II, risk management, Own Risk and Solvency Assessment Report (ORSA Report), market risk, interest rate risk, frequency severity matrix, available solvency margin, required solvency margin.