03 July 2020
A research from Insurance Risk Data, the data arm of Insurance Asset Risk, has unearthed the results of nearly 2,000 investment-related stress tests conducted by insurers across Europe.
The 100-page report, Covid-19 Investment Impact Report – Insurance Asset Management Strategies, shows the pre- and post-test solvency capital ratio of underwriters.
Common tests measure the ratio's resilience to shocks of various severities in interest rates, credit spreads, equities and property markets and foreign exchange. There are also results specifically for spreads on BTPs widening.
Results of about 700 less frequently applied tests, and bespoke tests involving scenarios, are also in the report.
These range from combined equity- and property-market falls, to re-running past shocks such as the 2008/09 and 2011 crises, and imagined shocks such as the investment upshot of a 'dirty bomb' going off.
These results give insurance executives, and their service providers, insight into where an insurance group, or its subsidiaries, is most vulnerable to their solvency position being eroded.
For each test, the report provides the insurer's latest solvency ratio, and the impact of the stress test.
The report also reveals results of a proprietary survey conducted by Insurance Asset Risk of chief investment officers and service providers about their reactions to Q1 2020.
Practitioners were asked about their preparedness for what happened on investment markets in Q1, what asset classes they are 're-thinking' in the wake of the volatility and the reasons why, what protective strategies they want to use more of in future, and their opinions of their own scenario modelling.
The research shows also the general account allocations for Europe's life and non-life firms, and includes discussions with named CIOs at insurers in Europe, the US and Bermuda.