Modeling and Measuring Insurance Risks Considering IFRS 17 Framework

The objective of the project is to design a model determining capital requirements associated with property and casualty insurance business lines for an insurer that is compliant with the new IFRS 17 framework (international accounting framework). Several subcomponents of the model will be developed such as a dynamic model embedding dependence for the evolution of incurred but not reported (IBNR) claims, a risk measurement component with risk measures and an allocation framework for capital requirements across the various business branches of the insurer.

Faculty Supervisor:

Melina Mailhot

Student:

Carlos Andrés Araiza Iturria

Partner:

Eckler Ltd. Consultants & Actuaries

Discipline:

Mathematics

Sector:

Finance, insurance and business

University:

Concordia University

Program:

Accelerate

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