Pricing Risk and Reinsurance Mitigation Effect for a Non-Life Insurance Company

New risk-based solvency requirements for insurance companies across European markets are more risk-sensitive and reality-based than the required solvency margin provided by the previous legislation and they permit a better estimation and coverage of the real level of risk run by any insurance or reinsurance company. The regulator has proposed two approaches to calculate this capital requirement: a standard approach and a customizable one. The first, given by the Standard Formula, is a simplified calculation standardized for all insurance companies, the alternative one uses an Internal Model of risk, full or partial, that fits better the company's real risk profile. The purpose of this paper is to describe the computation of the Solvency Capital Requirements with respect to Non-Life Underwriting risks, in particular we will go through a partial internal model approach to compute the Pricing risk component of an Non-Life Insurance Company. We follow a classical approach based on the Collective Risk Model properly extended in order to measure the effect of risk mitigation on the technical result, when suitable reinsurance strategies are applied. Numerical results are also figured out in the last part of the dissertation with evidence of different empirical simulation methods.