The main goal of insurance company management is to increase shareholders’ value and implement a strategy that promotes the sustainable growth of a company. Well-known possible measures for insurers are as follows: share price, economic value, market capitalisation, gross premiums earned and solvency ratio. These measures include efficient capital management and its costs which could be a major cost position depending on risk appetite and the extent of capital needed to support it. The research focuses on non-life insurers for reserve risk modelling. The aim of the study is to develop an alternative capital requirement model and its application to perform better quantification of non-life underwriting risk. In the current study, a more accurate risk quantification model has been developed than a standard model provided by the EU regulator under the Solvency II framework. The proposed model provides capital cost gains as well. A case study based on non-life real data sets with underwriting in the Baltic countries is discussed with inclusion of pandemic trends that had impact on economies and customer behaviors. The study considers different non-life reserve distributions for each insurance business line, risk aggregation and the way of choosing the most appropriate type of copula model for non-life reserve risk. Adequate capital is calculated by applying value at risk at 99.5%, which is mandatory in the EU market and study considers which hypothesis, selected tests have to be chosen in order to choose the most appropriate copula model for reserve risk.