Stress Test & Scenario Analysis

Capital Planning and Forward Looking Assessment

With the Scenario Analysis Tool you can do forward looking assessment and capital planning based on Solvency II data or budget data sets.

You can base the analysis on changes to:

  • Line of Business volume growth (growth rates are set for each year in the time period)
  • Introduction of a new LoB in the forecast period (Premiums, Best Estimates)
  • Changes to Loss ratio and Cost ratio (changes are defined by year in the time period)
  • Return on Investments by asset category (ROI are defined by CIC code and by year in the time period)

SII Engine produces forecasted results on the Solvency II ratio, full breakdown of the SCR and SII Balance sheet for a client defined time period. Stress scenarios can be applied.

ORSA / Scenario Analysis

The SII Engine enables you to run ORSA scenarios and other SII scenarios in the easiest way possible.

You simply set the parameters in the SII Engine pre-defined scenarios and by the push of a button, the SII Engine produces 
scenario based results on the Solvency II ratio, full SCR and SII Balance sheet – single period or multi period

  • Single scenario compared to your baseline SII ratio, SCR, SII Balance sheet
  • Multiple scenarios at the same time or different points in time
  • Sensitivity analyses e.g. shocking the Yield curve with a series of different basis points
  • Combined sensitivity analyses, e.g. x-axis series on a bond category and y-axis series of yield curve changes 

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Reverse Stress Testing

By defining the target e.g. SII ratio, setting the target range e.g. 100% and 150% and the upper and lower bounds, you can use the built-in goal seek functionality to test the company’s sensitivity to market changes, business development changes, claims changes, etc. You will have access to the same range of pre-defined scenarios as the ones used for other scenario analysis.

  • Sensitivity analysis on your Asset portfolio 
  • GWP increase
  • Changes to claims incurred
  • Reinsurance Counterparty default
  • Sensitivity to additional windstorms, flood or other CAT risks

Pre-defined Scenarios

The SII Engine Scenario Analysis Tool give you access to a range of pre-defined scenarios:

• Asset (shocks to bonds, equities, etc. and/or ratings, countries, currency, large loss etc.) 
• Premiums (NL premiums increase/decrease, adding a new LoB, etc.)
• Reserves (changes to claims – and/or premium provisions, adding a new LoB, etc.)
• CAT risk (Nat CAT and Man made CAT)
• Re-insurance counterparty rating
• EIOPA model parameters (shocks, correlations, etc.)
• Yield curve changes

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