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Models for Stress Testing in the Insurance Sector

Author

Listed:
  • Zlatuse Komarkova
  • Marcela Gronychova

Abstract

The project is focused on top-down stress testing of the Czech insurance sector. The aim of the present paper is to describe the advanced method for macro stress testing of insurance companies used by the CNB. We apply the presented stress test to eleven Czech insurance companies. The shocks applied are designed to replicate a macroeconomic scenario and to impact on both the asset and liability sides of the balance sheet. We consider both investment and insurance risks relating to the Czech insurance sector. An application of the simulated scenario to the Czech insurance sector illustrates that the sector is sufficiently resilient and stable.

Suggested Citation

  • Zlatuse Komarkova & Marcela Gronychova, 2012. "Models for Stress Testing in the Insurance Sector," Research and Policy Notes 2012/02, Czech National Bank.
    • Handle: RePEc:cnb:rpnrpn:2012/02
    as

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    File URL: https://www.cnb.cz/export/sites/cnb/en/economic-research/.galleries/research_publications/irpn/download/rpn_2_2012.pdf
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    References listed on IDEAS

    as
    1. Bank for International Settlements, 2011. "Fixed income strategies of insurance companies and pension funds," CGFS Papers, Bank for International Settlements, number 44, december.
    2. Martin Eling & Hato Schmeiser & Joan T. Schmit, 2007. "The Solvency II Process: Overview and Critical Analysis," Risk Management and Insurance Review, American Risk and Insurance Association, vol. 10(1), pages 69-85, March.
    3. Michal Andrle & Tibor Hledik & Ondra Kamenik & Jan Vlcek, 2009. "Implementing the New Structural Model of the Czech National Bank," Working Papers 2009/2, Czech National Bank.
    4. Borio, Claudio & Drehmann, Mathias & Tsatsaronis, Kostas, 2014. "Stress-testing macro stress testing: Does it live up to expectations?," Journal of Financial Stability, Elsevier, vol. 12(C), pages 3-15.
    5. Adam Gersl & Petr Jakubik & Tomas Konecny & Jakub Seidler, 2012. "Dynamic Stress Testing: The Framework for Testing Banking Sector Resilience Used by the Czech National Bank," Working Papers 2012/11, Czech National Bank.
    Full references (including those not matched with items on IDEAS)

    Citations

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    Cited by:

    1. Svitlana Achkasova, 2019. "The Scale Measurement of the Indicators of the Stress Resistance Assessment of Insurance Companies in Ukraine," Economic Studies journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 2, pages 161-183.

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    More about this item

    Keywords

    Financial stability; insurance; risks; stress testing.;
    All these keywords.

    JEL classification:

    • G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
    • G33 - Financial Economics - - Corporate Finance and Governance - - - Bankruptcy; Liquidation

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