Cover -- Contents -- Glossary -- I. Introduction -- II. Overview and Framework -- A. Macroprudential Stress Testing for Insurance -- B. Differences between Banks and Insurance Companies and Their Implications for Stress Testing -- III. Process and Methodologies -- A. Object of Analysis -- B. Determination of Scope -- C. Methodological Framework and Data Quality -- D. Valuation and Capital Resources -- E. Scenario Design and Other Assumptions -- F. Risk Factors and Aggregation Approaches -- G. Output Measures -- H. Validation of Results -- I. Communicating the Outcome of Stress Tests -- IV. Discussion and Conclusion -- References -- Appendix I-Tables -- Appendix II―Additional Background -- Tables -- 1. Overview of Possible Validation Checks -- 2. Summary of Key Assumptions in IMF Stress Testing of Insurance Sectors -- Figures -- 1. Overview of IMF FSAPs and Completion of Insurance Stress Tests -- 2. Number of Completed Insurance Stress Tests in FSAPs Before and After the Global Financial Crisis -- 3. Stylized Insurance Balance Sheet and Solvency Control Levels -- 4. Stress Testing Process -- 5a. Overview of Solvency Regimes-Risk Measurement -- 5b. Overview of Solvency Regimes-Valuation Standards -- 6. Elements of Risk Assessment and Scope of FSAP Stress Testing -- 7a. Presentation Templates of Outputs (hypothetical singe-period test) -- 7b. Presentation Templates of Outputs (hypothetical multiple-period test) -- Boxes -- 1. General Macro-Financial and Systemic Risk Implications for Insurance -- 2. The Taxonomy of Stress Testing Approaches -- 3. Recessionary Scenarios in the Insurance Sector -- 4. Assessing the Impact of Low Interest Rates on Insurance Activities -- 5. Liquidity Risk in Insurance -- 6. Examples of Supervisory Approaches of Insurance Stress Testing -- 7. Case Study: Belgium Insurance Stress Test for the FSAP.

8. National and IMF Stress Testing for Non-life (Re) insurance-A Case Study of Bermuda.

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.

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Electronic reproduction. Ann Arbor, Michigan : ProQuest Ebook Central, 2018. Available via World Wide Web. Access may be limited to ProQuest Ebook Central affiliated libraries.