Macroprudential Solvency Stress Testing of the Insurance Sector

By Andreas Jobst, Nobuyasu Sugimoto, Timo Broszeit

July 22, 2014

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Andreas Jobst, Nobuyasu Sugimoto, and Timo Broszeit. Macroprudential Solvency Stress Testing of the Insurance Sector, (USA: International Monetary Fund, 2014) accessed September 18, 2024

Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate

Summary

Over the last decade, stress testing has become a central aspect of the Fund’s bilateral and multilateral surveillance work. Recently, more emphasis has also been placed on the role of insurance for financial stability analysis. This paper reviews the current state of system-wide solvency stress tests for insurance based on a comparative review of national practices and the experiences from Fund’s FSAP program with the aim of providing practical guidelines for the coherent and consistent implementation of such exercises. The paper also offers recommendations on improving the current insurance stress testing approaches and presentation of results.

Subject: Financial institutions, Financial Sector Assessment Program, Financial sector policy and analysis, Insurance, Insurance companies, Solvency, Stress testing

Keywords: 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

Publication Details

Pages:

84
Volume:

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DOI:

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Issue:

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Series:

Working Paper No. 2014/133
Stock No:

WPIEA2014133
ISBN:

9781484346365
ISSN:

1018-5941

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