annual report 2020 - Flipbook - Side 15
INDUSTRIENS PENSIONSFORSIKRING A/S ANNUAL REPORT 2020
Pursuant to the solvency regulations, a group 1
insurance company must analyse the effect of
changes in significant risks on the company's
own funds and solvency. The results of the
analysis must be reported quarterly to the
Danish FSA. The method of conducting the
sensitivity analysis, including the risk categories
to be stressed in the analysis, has been
implemented in a separate Executive Order from
the Danish FSA. The results of the most recent
analysis are detailed in the table.
See note 24 on risk management as well as
'Rapport om solvens og finansiel situation for
2020' (Report on the solvency and financial
situation for 2017 - only in Danish) on the
company website (www.industrienspension.dk)
for a more detailed description of risk
management in Industriens Pension, including
Table 11
RISK AND SOLVENCY
work on identifying individual risks
determining acceptable risk levels etc.
Sensitivity information
As a point of departure, for each risk category,
the analysis must specify the stress lowering the
current solvency ratio (see table 11) to 125% and
100%, respectively, including a statement of the
related reduced own funds, see the two
scenarios “SCR 125%” and “SCR 100%”.
If, even with maximum stress, the solvency ratio
cannot be lowered to 125% or 100%, the
maximum stress must be stated with the related
effect on solvency ratio and own funds.
This is why the table states the maximum stress
for the individual risk categories.
Life-expectancy risk must specify the lifeexpectancy stress that reduces the solvency
ratio to 125% and 100%. For Industriens Pension,
a life-expectancy stress of more than 80% will
result in life expectancies that are so high that a
model uncertainty will arise. Therefore,
Industriens Pension uses a life-expectancy
stress of 80% in the two scenarios.
and
SCR 125%
Stress
Own funds
(DKK bn.)
SCR 100%
Solvency
ratio *
Stress
Own funds
(DKK bn.)
Solvency
ratio *
Risk category:
Interest-rate risk
200 bp
9,831
351%
200 bp
9,831
351%
Share-price risk
100%
3,281
200%
100%
3,281
200%
Property risk
100%
9,423
306%
100%
9,423
306%
Danish government bonds, etc.
100%
5,885
149%
100%
5,885
149%
Others government bonds, etc.
100%
8,905
266%
100%
8,905
266%
Other bonds
100%
6,507
162%
100%
6,507
162%
USD
100%
9,263
348%
100%
9,263
348%
HKD
100%
10,057
397%
100%
10,057
397%
BRL
100%
10,095
397%
100%
10,095
397%
10,125
373%
10,125
209%
80%
10,125
209%
Credit spread risk
Currency spread risk **
Counterparty risks
Life expectancy risk
80%
* Accepted own funds as % of the solvency capital requirement
** Sensitivity calculations are made for the three currencies with the largest net exposure
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