Macroprudential Solvency Stress Testing of the Insurance Sector
IMF Working Papers, July 22, 2014
Source details
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- Macroprudential Solvency Stress Testing of the Insurance Sector
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Bibliographic details
- Authors: Andreas Jobst, Nobuyasu Sugimoto, Timo Broszeit
- Published: July 22, 2014
- Series: IMF Working Papers
- DOI: https://doi.org/10.5089/9781484346365.001
Objective and scope
- Reviews the current state of system-wide solvency stress tests for insurance based on a comparative review of national practices and the experiences from the Fund’s FSAP program.
- Aims to provide practical guidelines for the coherent and consistent implementation of system-wide insurance solvency stress testing exercises.
- Offers recommendations on improving current insurance stress testing approaches and presentation of results.
Key findings (as described in the paper)
- Stress testing has become a central aspect of the Fund’s bilateral and multilateral surveillance work over the last decade.
- Increasing emphasis has been placed on the role of insurance for financial stability analysis.
- National practices vary; the paper uses a comparative review plus FSAP program experience to evaluate system-wide solvency stress testing for insurance.
Policy recommendations and guidance emphasis
- Provide practical guidelines to enable coherent and consistent implementation of system-wide solvency stress tests for insurance.
- Improve approaches to insurance stress testing methodology and the presentation of results (specific methodological prescriptions are detailed in the paper).
Analytical focus areas and topics covered
- Financial institutions; Financial Sector Assessment Program; Financial sector policy and analysis; Insurance; Insurance companies; Solvency; Stress testing.
- Keywords emphasized: Africa, asset risk, balance sheet, capital market, cash flow, cost of capital, credit risk, Financial Sector Assessment Program, financial stability analysis, fixed income, Global, insurance, Insurance companies, insurance risk, interest rate shock, liquidity risk, macroprudential surveillance, private equity, risk measurement, Solvency, solvency regime, stress testing, WP.