Il Risk Adjustment secondo IFRS 17: descrizione e calcolo con l'approccio Value-at-Risk

With the introduction of IFRS 17 starting from January 2023, insurance companies had to modify their processes and methodologies for the calculation of technical provisions to accommodate the new requirements set out in the standard. The following work will deal with the description and calculation of the risk adjustment for non-financial risk when the Liability for Incurred Claims is computed, focusing on the Value at Risk methodology. In particular, the computation is performed in R for two different distributions of future cash flows (gamma and lognormal) at three percentiles. The aim of this work is to assess how the risk adjustment for non-financial risk changes when different distributions are considered, but also to evaluate the possibility of using an alternative risk measure, the expected shortfall, when the distribution taken into account presents heavy tails.