Stressed nav in sf

Discussion in 'SA2' started by Viki2010, Sep 20, 2017.

  1. Viki2010

    Viki2010 Member

    Can I please check how the calculation of nav stressed component in scr for sf would be carried out for life insurance modules? I am mainly concerned if stressed assets would be equal to unstressed assets as not impacted by insurance risks?
     
  2. ActuaryLad

    ActuaryLad Active Member

    You are correct that most assets will not change value under typical insurance stresses. However this is not always the case. For example, you might have invested in a longevity swap that might change value in the mortality/longevity stresses.
     
  3. Lindsay Smitherman

    Lindsay Smitherman ActEd Tutor Staff Member

    Good example!

    Also bear in mind that reinsurance recoveries are counted as an asset under Solvency II, and these should also change in value under the mortality stress.
     
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  4. ActuaryLad

    ActuaryLad Active Member

    Thanks Lindsay. Reinsurance recoveries are an interesting one. They are treated as an asset for balance sheet purposes, but when reporting in QRTs, the change in value of reinsurance recoveries are included in change in value of liabilities!
     
  5. Lindsay Smitherman

    Lindsay Smitherman ActEd Tutor Staff Member

    Hmm, messy... There are indeed many things about Solvency II which are not entirely intuitive or consistent, as I am sure you are well aware!
     
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