Solvency of takaful fund :

The concept of risk based capital

ESSADIK Amine, sous la direction du Pr BOUJEMÂA ACHCHAB
Laboratoire d'Analyse et Modélisation des Systèmes et Aide à la Décision (LAMSAD)
École Supérieure de Technologie Berrechid (ESTB)
Am.essadik@gmail.com
Sommaire

◉ What is takaful
◉ Why insurance
◉ Conventionel insurrance VS takaful
◉ Takaful model
◉ Limit of takaful model
◉ Solvency Capital Requirement : Solvency 2
◉ The concept of risk based capital
1 What is takaful
 Takaful!
« Takaful is an arabic term
meanning solidarity which is
used to describe a system of
islamic insurance» Wahab et al,
2007
 2 Why insurance

Need
All HUMAIN would like to protect his life .

Risk
◉ Anticipated risk
◉ Loss
◉ Damage
◉ Financial diffeclty
 Protect his life and position from :
Uncertain Events

Death

Diseases
Accident
Theft Disasters
 Takaful : Islamic Insurance

Anticipated risk

Protect
Loss

T=0 Time
“
 Comparison

Insurance VS Takaful
 Comparison

◉ To know What is the better Takaful or Insurrance

◉ To make sure muslims aware of halal and haram
product
◉ to have critical understanding between takaful
and conventional insurance products
 Comparison
1.All kinds of commercial insurance are clearly and undoubtedly ribaa
(interest/usury). Insurance is the sale of money for money, of a
greater or lesser amount, with a delay in one of the payments. It
involves riba al-fadl (interest-based transaction) and riba al-nas’
(interest to be charged if payment is delayed beyond the due date),
because the insurance companies take people’s money and promise
to pay them more or less money when a specific accident against
which insurance has been taken out happens. This is riba, and riba is
forbidden in the Qur’aan, in many aayaat.
◉2) All kinds of commercial insurance are based on nothing but
gambling which is haraam according to the Qur’aan
◉3) All kinds of insurance are forms of uncertainty, and transactions
which involve uncertainty are forbidden according to many saheeh
ahaadeeth
Comparison

VS
 Comparison

Points Commerciale Mutuelle Takaful

Principe Bénéfices pour les actionnaires Mutuelle pour les assurés Mutuelle pour les participants
d’organisation /transfert de risque.

Lois Séculaires/Règlements Séculaires / Règlements Shari’a / Règlements

Capital Actionnaires Primes initiales L’opérateur fournit le capital de départ.

Pas de capital versé pour le fonds du
TAKAFUL Taa’ouni.

Propriété Actionnaires Assurés Participants

Gestion Gestion par la société Gestion par nomination Opérateur

Type de contrat Echange commercial/contrat de Partage mutuel des risques Coopératif,

compensation - Adhésion avec des aspects de Contrat islamique de Wakala ou
principes de contrat Mudaraba avec des donations (tabar’ru).
commercial

Investissements Fonds propres/emprunt pas de Fonds propres/emprunt pas Fonds propres conformes à la Shari’a /
restrictions (sauf prudentielles) de restriction(sauf pas d’intérêts / restrictions
prudentielles) prudentielles

Excédent Compte des actionnaires Compte des assurés Frais d’exécution pour l’opérateur
4 Takaful model
 différents modèles d’exploitation
14
Modèle de la Mudaraba
 différents modèles d’exploitation
15
Modèle de la Wakala
 différents modèles d’exploitation
16
Modèle combiné Mudaraba-Wakala
 différents modèles d’exploitation
17
Modèle Wakala-Waqf
5 Limit of Takaful model
Limit of takaful fund

the participants mutually

contribute with sums of
money into a common
1 fond with the purpose to
take advantage of a
mutual guarantee against
loss or damage

The presence of claims that exceed

the Takaful fund poses a challenge
2 for Takaful insurances, since they
can generate financial losses.
6 Solvency 2 : Takaful
 The Solvency Capital Requirement :

is the level of clean bottom needed to be able to honor this commitment to

participants in the event of a disaster caused by a major risk

◉ The SCR is The amount of capital to be held by the takaful to meet the Pillar I
requirements under the Solvency II regime.

◉ The SCR is set at a level that takaful can meet their obligations to
beneficiaries over the following 12 months with a 99.5 percent probability =
Value at Risk

“
 ◉ Value at Risk (VaR) is a popular risk measure in the financial
Industry, whose origins date back to the early 1990’s at J.P. Morgan
.
◉ VaR is defined as the maximum loss that will be incurred
with a given level of confidence over a specified period.

“
 Calcul of Value-at-Risk

Predicted worst-case loss at a specific confidence(95.5%) over a certain period of time ( 1 year)

Calcul of capital needed SCR  VaR 1year ,99.5%

 VaR no parametric

(Historical Simulation, Weighted Historical Simulation

Monte
Carlo Simulation, Filtered Historical Simulation...)
VaR semi-

CAViaR, The Generalized Extreme Value

parametric
VaR

VaR parametric

RiskMetrics

Dowd (2005)
 Simulation and Non parametric
Models Historical Simulation (Yatchew, 2001)

for a given time horizon t and confidence level q, the

VaR is the loss in market value over the time t that is exceeded with
probability 1-q. For example, if q is equal to 99% and the holding
period is one day, the actual losses on portfolio should exceed VaR
estimate not more than once in 100 days on average.
( historical observation)
 Parametric Methods (Engle, 2001)

From a statistical point of view, VaR entails the

estimation of a
quantile of the distribution of profit and loss
distribution (P&L).
 Semi-Parametric Concepts (Engle et Manganelli
2004)

Sélection des valeurs extrêmes

The Série des

Generalized valeurs
Extreme Value

Série des valeurs extrêmes

Distribution généralisée des valeurs extrêmes

4 Backtestings
 Backtestings
Backtesting

Méthode paramétrique

Backtesting

Méthode historique

P&L - VaR VaR

Backtesting

P&L - VaR VaR

Albayrak Adem et Arnoult Benoit

(2007) Méthode Monte Carlo
P&L - VaR VaR
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Thank you!