IAA Paper on Stress Testing and Scenario （IAA纸压力测试和情景）.pdf

Stress Testing and Scenario Analysis July 2013 This paper has been produced by Insurance Regulation Committee of the IAA and has been approved by that committee. International Actuarial Association Association Actuarielle Internationale 150 Metcalfe Street, Suite 601 Ottawa, Ontario Canada K2P 1P1 Tel: 1-613-236-0886 Fax: 1-613-236-1386 Email: secretariat@ © 2013 International Actuarial Association / Association Actuarielle Internationale Table of Contents Executive Summary 1 Introduction 1 Definitions 3 Uses of scenarios 7 Solvency testing and financial condition reporting 7 Risk management 8 Analysis of non-quantifiable risks 9 Senior management and Board involvement 10 Regulators and scenarios 10 Assessment of internal models 12 Defining the firm’s risk appetite 12 Developing scenarios14 Types of scenarios 14 Reverse scenarios14 Historical scenarios 14 Synthetic scenarios 15 Company-specific scenarios 16 Single event scenarios 16 Multi-event scenarios16 Global scenarios16 Scenario/testing governance 17 Behavioral factors18 i Time frame 18 Interdisciplinary approach19 Own Risk Solvency Assessment (ORSA)19 Formulation of a scenario19 Narrative20 Initial event 21 Time evolution 22 Risk Dependencies 23 Immediate Dependencies 24 Time-lagged Dependencies 24 Feedback 24 Phase-Shift25 Evaluation of Scenarios 26 Secondary Consequences27 Scenario rollout over time 27 Risk mitigation 28 Management Actions28 Analysis 31 Case study 1: Effect of possible economic scenarios 32 Case study 2: Pandemi