A new research report from Insurance Risk Data, the research arm of InsuranceERM, has unearthed the results of nearly 2,000 investment-related stress tests conducted by insurers across Europe.
The results in the 100-page report, Covid-19 Investment Impact Report – Insurance Asset Management Strategies, show underwriters’ solvency capital ratios before and after the tests.
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 featured 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.
The results give insurance executives and their service providers insight into where an insurance group, or subsidiary, is most vulnerable to its solvency position being eroded.
For each test, the Insurance Risk Data report provides the insurer’s latest solvency ratio, and the impact of the stress test.
The report also reveals the results of a proprietary survey of chief investment officers and service providers about their reactions to the first quarter of 2020.
Practitioners were asked about their preparedness for what happened in investment markets in Q1 and what asset classes they are ‘re-thinking’ in the wake of the volatility. CIOs also explain what protective strategies they want to use more of in future, and their opinions on scenario modelling.
Another benefit of the research is it highlights the general account allocations for Europe’s life and non-life firms, and includes discussions with named CIOs at named insurers in Europe, the US and Bermuda.