Estimating Risk Adjustment Based on IFRS 17 Framework Using Risk Measures Approach Applied to an Egyptian Non-life Insurance Company
Essam, M., Morgan, I. (2025). Estimating Risk Adjustment Based on IFRS 17 Framework Using Risk Measures Approach Applied to an Egyptian Non-life Insurance Company. EKB Journal Management System, 35(1), 299-318. doi: 10.21608/mosj.2025.306518.1236
Mohamed Essam; Ibrahim Morgan. "Estimating Risk Adjustment Based on IFRS 17 Framework Using Risk Measures Approach Applied to an Egyptian Non-life Insurance Company". EKB Journal Management System, 35, 1, 2025, 299-318. doi: 10.21608/mosj.2025.306518.1236
Essam, M., Morgan, I. (2025). 'Estimating Risk Adjustment Based on IFRS 17 Framework Using Risk Measures Approach Applied to an Egyptian Non-life Insurance Company', EKB Journal Management System, 35(1), pp. 299-318. doi: 10.21608/mosj.2025.306518.1236
Essam, M., Morgan, I. Estimating Risk Adjustment Based on IFRS 17 Framework Using Risk Measures Approach Applied to an Egyptian Non-life Insurance Company. EKB Journal Management System, 2025; 35(1): 299-318. doi: 10.21608/mosj.2025.306518.1236

Estimating Risk Adjustment Based on IFRS 17 Framework Using Risk Measures Approach Applied to an Egyptian Non-life Insurance Company

مجلة الدراسات المالية والتجارية
Volume 35, Issue 1, April 2025, Page 299-318  XML PDF (461.94 K)
Document Type: المقالة الأصلية
DOI: 10.21608/mosj.2025.306518.1236
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Authors
Mohamed Essam email 1; Ibrahim Morgan2
1Mohamed Essam Mohamed Assistant Lecturer, Insurance and Actuarial Science Department, Faculty of Commerce, Cairo University
2Ibrahim Mohamed Morgan Professor of Insurance and Actuarial Science, Faculty of Commerce, Cairo University
Abstract
The International Financial Reporting Standards for insurance contracts (IFRS 17) established principles for the recognition, measurement, presentation, and disclosure of insurance contracts. A critical component of IFRS 17 is the non-financial risk adjustment (RA). Although the risk adjustment must meet certain criteria, the specific estimation method is left to the discretion of the insurer. This study aims to apply risk measures (quintiles) techniques for estimating the risk adjustment.
This research incorporates bootstrap simulation techniques based on Mack’s (1993) model to evaluate lifetime reserve risk for (Marine Cargo, Inland, Marine Hull, and Fire) of an Egyptian non-life insurer through the duration of 2017-2022. Furthermore, the study estimates the risk adjustment using percentile-based risk measures (Value at Risk, Tail Value at Risk, and Proportional Hazard Transform) derived from simulated predictive distributions. Additionally, the correlation between the lines of business is considered, as required for IFRS 17 risk adjustment estimation.
The findings of this research contribute to the existing literature by providing a comparative analysis of risk adjustment methodologies under different risk measure techniques. Additionally, the risk adjustment can be reduced according to the diversification benefit that considers the dependence between different lines of business.
Keywords
IFRS 17; Risk Adjustment; Risk measures; Diversification Benefit
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