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Swiss Solvency Test Field Test 2006

Swiss Solvency Test Field Test 2006. This version: 07.08.2007. Introduction.

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Swiss Solvency Test Field Test 2006

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  1. Swiss Solvency TestField Test 2006 This version: 07.08.2007

  2. Introduction Apart from the insurance undertakings for which the preparation of the SST report 2006 was mandatory (that is, those life companies whose premium volume ≥ CHF 1bn and those non life companies whose premium volume is ≥ CHF 500Mio) there was a considerable number of voluntary participants among small and middle sized insurers. Life Number of insurers with premium volume ≥ CHF 1bn 8 Number of insurers with premium volume < CHF 1bn 6 Non Life Number of insurers with premium volume ≥ CHF 500Mio 9 Number of insurers with premium volume < CHF 500Mio 10 Health Number of insurers participating 13

  3. Introduction Companies with full or partial internal SST model Life 5 Non Life 9 Health 2

  4. Comparison of Solvency I and SST

  5. Comparison of Solvency I and SST Comparison of Solvency 1 Ratio and SST Solvency Ratio on the basis of Balance Sheet 31.12.2005: For non-life companies the statutory solvency ratio has a very weak relationship with SST solvency ratio. Therefore the statutory solvency ratio is no predictor of SST solvency ratio.

  6. Comparison of Solvency I and SST

  7. Assets: Market vs Statutory value

  8. Assets: Market vs Statutory value

  9. Assets: Market vs Statutory value

  10. Liabilities: Market vs Statutory value

  11. Liabilities: Market vs Statutory value

  12. Liabilities: Market vs Statutory value

  13. Best Estimate, MVM and SCR

  14. Best Estimate of Liabilities, MVM and SCR

  15. Best Estimate, MVM and SCR

  16. Best Estimate of Liabilities, MVM and SCR

  17. Best Estimate, MVM and SCR

  18. Best Estimate of Liabilities, MVM and SCR

  19. Components of Target Capital

  20. Components of Target Capital

  21. Components of Target Capital

  22. Components of Target Capital - Weighted average

  23. Components of Target Capital: Mean value (Non Life) (weighted average) 1500 1000 500 0 SCR MVM Scenarios Credit Risk Market Risk Diversification Target Capital Insurance Risk Exp. Fin. Result Exp. Tec. Result Components of Target Capital - Weighted average

  24. Components of Target Capital - Weighted average

  25. Components of Market Risk

  26. Components of Market Risk

  27. Components of Market Risk

  28. Components of Market Risk - Weighted average

  29. Components of Market Risk - Weighted average

  30. Components of Market Risk - Weighted average

  31. Components Insurance Risk as fraction of RBC

  32. Components Insurance Risk as fraction of RBC

  33. Components Insurance Risk as fraction of RBC

  34. Components Insurance Risk as fraction of RBC

  35. Components Insurance Risk as fraction of RBC

  36. Components Insurance Risk as fraction of RBC

  37. Components of Insurance Risk: Non Life

  38. Components of Insurance Risk: Non Life

  39. Effect of Historical Financial Scenario as fraction of RBC

  40. Effect of Historical Financial Scenario as fraction of RBC

  41. Effect of Historical Financial Scenario as fraction of RBC

  42. Effect of Selected Scenarios as fraction of RBC

  43. Effect of Selected Scenarios as fraction of RBC

  44. Effect of Selected Scenarios as fraction of RBC

  45. Change in SST Ratio due to Impact of Historical Scenarios (Intervention Levels) Impact of historical scenarios on Life Market Stock market crash (2000/2001) • Intervention Levels: • Green Level – SST ratio remains over 100 % • 2. Yellow Level – SST ratio falls below 100 %, but remains over 60 % • 3. Orange Level – SST ratio is reduced to less than 60 % • The blue colour stands for the SST ratio prior to any scenario occurrence. LTCM (1998) US interest rate crisis (1994) European currency crisis (1992) Nikkei crash (1990) Stock market crash (1987) Real estate crash (with increase in interest rates) No Scenario 0 0.2 0.4 0.6 0.8 1 1.2 1.4 (RBC - SCENARIO) / TC

  46. Change in SST Ratio due to Impact of Historical Scenarios (Intervention Levels)

  47. Change in SST Ratio due to Impact of Historical Scenarios (Intervention Levels)

  48. Change in SST Ratio due to Impact of "Specific Scenarios" (Intervention Levels)

  49. Change in SST Ratio due to Impact of "Specific Scenarios" (Intervention Levels)

  50. Change in SST Ratio due to Impact of "Specific Scenarios" (Intervention Levels)

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