The insurance industry in Albania occupies a critical position within the national financial system, contributing significantly to the promotion of an insurance culture among the population. Year after year, insurance companies have shown remarkable growth on the back not only of increasing clientele, but also through widening the scope of their offered products and services providing increased security for both the financial system as a whole and for individuals. This is most noticeable after the natural disasters that occurred in Albania and the immediate response of the insurance industry. This research aims to focus on the chronological evolution concerning the Albanian market of insurances, particularly looking at how the sector affects a developing economy and how it affects in the risk management of the companies and the industry. Furthermore, it seeks to build empirical forecasting models to estimate the gross written premiums in the domain of non-life cover for the next four years. The analysis uses Seasonal Autoregressive Integrated Moving Average (SARIMA) and Holt-Winters exponential smoothing models for modeling purposes. These analyses will serve as the basis towards developed understanding risk in the sector of non-life insurances in Albania. This article shows the importance of the key participants in the financial system, such as insurance companies, various state authorities and all other contributors to the system, should have in being able to use these analyses and the results they produce in such a way as to contribute to strengthening this sector and making it more developed over time. The results will also address the sustainability of this sector. The study claims that there is a positive trend in non-life insurance market in Albanian.