Annual Report 2023 (eng) - Flipbook - Side 18
INDUSTRIENS PENSIONSFORSIKRING A/S ÅRSRAPPORT 2023
RISK AND SOLVENCY
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.
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. The
individual risk categories cannot be stressed by
more than 100%. Table 13 shows that even this
maximum stress does not take the solvency
capital requirement below 125% or 100%,
respectively.
However, a stress scenario of 80% is applied for
the life expectancy risk, as a higher stress will
cause uncertainty in the model due to an
excessively high life expectancy. The life
expectancy stress applied of 80% results in a
solvency ratio of 339%.
See note 23 on risk management as well as
'Rapport om solvens og finansiel situation for
2023' (Report on the solvency and financial
situation for 2021 - only in Danish) on the
company
website
www.industrienspension.dk/solvens-2023 for a
more detailed description of risk management in
Industriens Pension.
Table 13 Sensitivity information
SCR
Stress
%
Own
funds
(DKK bn.)
SCR
So venc
r tio *
Stress
%
Own
funds
(DKK bn.)
So venc
r tio *
Risk c tegor :
Interest-r te risk
bp
,
%
bp
,
%
Sh re-price risk
%
,
%
%
,
%
Propert risk
%
,
%
%
,
%
D nish government bonds etc.
%
,
%
%
,
%
Others government bonds etc.
%
,
%
%
,
%
Other bonds
%
,
%
%
,
%
USD
%
,
%
%
,
%
CHF
%
,
%
%
,
%
GBP
%
,
%
%
,
%
,
%
,
%
%
,
%
Credit spre d risk
Currenc spre d risk**
Counterp rt risk
Life expect nc risk
* Accepted own funds s % of the so venc c pit
%
requirement
** Sensitivit c cu tions re m de for the three currencies with the
rgest net exposure
18
