The concept of this paper is to perform the improvement of the risk function analysis, assessment and management with the aim to ensure a more sensitive and sophisticated risk coverage in accordance with the Solvency II regime requirements. The authors have offered an approach of risk function implementation and management corresponding with the Solvency II framework by integrating the Analytic Network Process into decision-making process of an insurance company. The most valuable advantage of using the Analytic Network Process in insurance is the possibility to include tangible and intangible strategic factors and elements into the decision-making process of an insurance company by applying specified functions or fields steering, analysis and management. Moreover, the authors have prepared the case study about the practical usage of the Analytic Network Process through the example of one non-life insurance company. In the case study, the authors have emphasized the most preferable strategy through a detailed analysis of risk function by using the Analytic Network Process. According to the authors, the Analytic Network Process is considered to be part of the risk culture of an insurance company, since it helps to increase the employees’ knowledge of risk nature and its influence on the development and results of an insurance company.