7. Annex
7.1 Insurance risks
7.1.1 Life insurance risks
| Mortality | Longevity | Morbidity/ Disability | Lapse | Expense | |
|---|---|---|---|---|---|
| Mortality | 100% | -25% | 25% | 0% | 25% |
| Longevity | -25% | 100% | 0% | 25% | 25% |
| Morbidity/ Disability | 25% | 0% | 100% | 0% | 50% |
| Lapse | 0% | 25% | 0% | 100% | 50% |
| Expense | 25% | 25% | 50% | 50% | 100% |
〈 Life risks correlation matrix 〉
| Region | x% |
|---|---|
| EEA and Switzerland | 12.50% |
| US and Canada | 12.50% |
| China | 15.00% |
| Japan | 10.00% |
| Other developed markets | 12.50% |
| Other emerging markets | 12.50% |
〈 Mortality risk stress factors 〉
7.1.2 Non-Life risk
| ICS Categories | Correlation factor |
|---|---|
| Liability-like | 50% |
| Motor-like | 75% |
| Property-like | 50% |
| Other | 25% |
〈 Within Category Correlation Factors 〉
ICS Non-Life Segmentation
| ICS Segment | ICS Category | Premium risk factor | Claims Reserve risk factor |
|---|---|---|---|
| Medical expense insurance | Other | 15% | 10% |
| Income protection | Other | 25% | 35% |
| Workers’ Compensation | Liability-like | 25% | 27% |
| Motor vehicle liability - Motor third party liability | Motor-like | 20% | 15% |
| Motor, other classes | Motor-like | 20% | 15% |
| Marine, aviation and transport | Property-like | 35% | 25% |
| Fire and other damage | Property-like | 17.5% | 17.5% |
| General liability - third party liability | Liability-like | 35% | 27% |
| Credit and suretyship | Credit | 35% | 50% |
| Legal expenses | Other | 15% | 40% |
| Assistance | Other | 15% | 50% |
| Miscellaneous financial loss | Other | 30% | 35% |
| Non-proportional health reinsurance | Other | 50% | 45% |
| Non-proportional Casualty reinsurance | Liability-like | 55% | 45% |
| Non-proportional marine, aviation and transport reinsurance | Property-like | 55% | 40% |
| Non-Proportional property reinsurance | Property-like | 45% | 40% |
7.1.3 Catastrophe risk
| Rating category | Factor |
|---|---|
| Investment Grade | 80% |
| Non-Investment Grade | 200% |
〈 Catastrophe Risk - Credit stress factors for trade credit 〉
7.2 Market risks
| Interest rate | NDSR up | NDSR down | Equity | Real Estate | Currency | Asset concentration | |
|---|---|---|---|---|---|---|---|
| Interest rate | 100% | 25% | 25% | 25% | 25% | 25% | 0% |
| NDSR Up | 25% | 100% | 100% | 75% | 50% | 25% | 0% |
| NDSR Down | 25% | 100% | 100% | 0% | 0% | 25% | 0% |
| Equity | 25% | 75% | 0% | 100% | 50% | 25% | 0% |
| Real estate | 25% | 50% | 0% | 50% | 100% | 25% | 0% |
| Currency | 25% | 25% | 25% | 25% | 25% | 100% | 0% |
| Asset concentration | 0% | 0% | 0% | 0% | 0% | 0% | 100% |
〈 Market risks correlation matrix 〉
7.2.1 Equity risk
| ICS RC | x% |
|---|---|
| 1~2 | 4% |
| 3 | 6% |
| 4 | 11% |
| 5 | 21% |
| 6~7 | 35% |
〈 Equity risk - Stress factors for hybrid debt/preference shares 〉
| Maturity (months) | x% |
|---|---|
| 0–1 | 42% |
| 3 | 28% |
| 6 | 23% |
| 12 | 20% |
| 24 | 17% |
| 36 | 16% |
| 48 | 15% |
| 60 | 14% |
| 84 | 14% |
| 120 | 12% |
| 144 | 11% |
| 180 | 10% |
| 240 | 7% |
| 300 | 4% |
| 360 and above | 0% |
〈 Equity risk - Absolute stress factors for implied volatilities 〉
| Equity segment | Developed | Emerging | Hybrid/preferred | Other |
|---|---|---|---|---|
| Developed | 100% | 75% | 100% | 75% |
| Emerging | 75% | 100% | 75% | 75% |
| Hybrid/preferred | 100% | 75% | 100% | 75% |
| Other | 75% | 75% | 75% | 100% |
〈 Equity risk - correlation matrix 〉
7.2.2 Currency risk
Currency risk stress factors
7.3 Credit risk
The following tables contain the ICS Credit risk stress factors for the exposure classes by ICS risk category (ICS RC) and maturity
Credit risk stress factors for corporates and reinsurance
7.4 Aggregation/Diversification of ICS risk charges
| Life | Non-life | Catastrophe | Market | Credit | |
|---|---|---|---|---|---|
| Life | 100% | 0% | 25% | 25% | 25% |
| Non-life | 0% | 100% | 25% | 25% | 25% |
| Catastrophe | 25% | 25% | 100% | 25% | 25% |
| Market | 25% | 25% | 25% | 100% | 25% |
| Credit | 25% | 25% | 25% | 25% | 100% |
〈 Aggregation matrix between risks 〉
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