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  • LI&R Val S1 2020 M14 Exercise 14.11

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    Jeff Gundy
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    The document compares the balance sheet of an insurer before and after stress testing under two scenarios: (1) with the same asset mix for all assets, and (2) with a riskier asset mix backing surplus capital. Under the first scenario, the stressed assets decrease to 99% and 98% of original values under the two stress testing methods. Under the second scenario with riskier surplus assets, the stressed assets decrease further to 98% and 97% of original values.

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    LI&R Val S1 2020 M14 Exercise 14.11.xlsx

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    The document compares the balance sheet of an insurer before and after stress testing under two scenarios: (1) with the same asset mix for all assets, and (2) with a riskier asset mix backing surplus capital. Under the first scenario, the stressed assets decrease to 99% and 98% of original values under the two stress testing methods. Under the second scenario with riskier surplus assets, the stressed assets decrease further to 98% and 97% of original values.

    Copyright:

    © All Rights Reserved
    Download as XLSX, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    Download as xlsx, pdf, or txt
    17 views2 pages

    LI&R Val S1 2020 M14 Exercise 14.11

    Uploaded by

    Jeff Gundy
    The document compares the balance sheet of an insurer before and after stress testing under two scenarios: (1) with the same asset mix for all assets, and (2) with a riskier asset mix backing surplus capital. Under the first scenario, the stressed assets decrease to 99% and 98% of original values under the two stress testing methods. Under the second scenario with riskier surplus assets, the stressed assets decrease further to 98% and 97% of original values.

    Copyright:

    © All Rights Reserved
    Download as XLSX, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    Download as xlsx, pdf, or txt
    of 2

    Same asset mixfor all assets

    Balance sheet before stress testing Balance sheet after


    Balance sheet b
    Stressed
    Assets Liabilities Assets Liabilities
    method 1 method 2
    100.0 PL 100.0 99.0 PL 100.0 100.0
    PCA 1.0 1.0
    50.0 Surplus 50.0 49.5 Surplus 49.0 49.0

    Total 150.0 150.0 148.5 150.0 150.0 Total


    99%
    Riskier asset mix for assets backing surplus capital
    Balance sheet before stress testing Balance sheet after
    R
    Stressed Balance sheet b
    Assets Assets Liabilities
    method 1 method 2
    100.0 PL 100.0 99.0 PL 100.0 100.0
    PCA 2.4 1.0
    50.0 Surplus 50.0 47.5 Surplus 47.6 49.0

    Total 150.0 150.0 146.5 150.0 150.0


    98% Total
    Same asset mix for all assets
    Balance sheet before stress Balance sheet post stress
    Stressed
    Assets Liabilities Assets Method 1 Method 2
    100 PL 100 99 PL 100 100
    PCA 1.5 1
    50 Surplus 50 49.5 Surplus 48.5 49
    150 150 148.5 150 150

    Riskier asset mix for surplus assets


    Balance sheet before stress Balance sheet post stress
    Stressed
    Assets Liabilities Assets Method 1 Method 2
    100 PL 100 99 PL 100 100
    PCA 3.5 1
    50 Surplus 50 47.5 Surplus 46.5 49
    150 150 146.5 150 150

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