For numerous insurance products, a calculatory interest rate is taken into consideration for the investment period between expected deposit and expected payout. The risk therefore lies in a deviation between the expected or calculated interest and the return on capital actually achieved on the capital market. The main components of these capital market risks are:
- Interest rate change risk: Possible losses caused by a change in the level and term-based structure of interest rates
- The share risk: Possible losses due to price performance on the stock markets caused by macroeconomic and company-related changes
- The credit risk: Possible losses caused by the inability to pay or the worsening creditworthiness of debtors or contractual partners
- The currency risk: Possible losses caused by changes in exchange rates
- The liquidity risk: The danger of not having sufficient liquid funds on the date of scheduled payout
Model risks also exist with regard to the valuation of ABS securities (“Asset-Backed Securities”) and the valuation of the participating interest in STRABAG SE; these are presented as an excursus to the risk report.
The financial risks have different weightings and various degrees of seriousness, depending on the investment structure. However, the effects of the financial risks on the value of the investments also influence the level of technical liabilities to some extent. There is therefore a partial dependence between the growth of assets and debts from insurance policies. UNIQA monitors the income expectations and risks of assets and liabilities arising from insurance policies as part of an Asset-Liability Management (ALM) process. The aim is to achieve a return on capital that is sustainably higher than the updating of the technical liabilities while retaining the greatest possible security. Here, assets and debts are allocated to different accounting groups. The following table shows the main accounting groups generated by the various product categories.
|
Investments |
31 Dec. 2010 |
31 Dec. 2009 |
|
Long-term life insurance policies |
14,444,730 |
13,937,185 |
|
Long-term unit-linked and index-linked life insurance policies |
4,192,730 |
3,473,553 |
|
Long-term health insurance policies |
2,784,528 |
2,605,618 |
|
Short-term property and casualty insurance policies |
3,356,743 |
3,422,140 |
|
Total |
24,778,730 |
23,438,496 |
These values refer to the following balance sheet items:
A.I. Self-used land and buildings
B. Land and buildings held as financial investments
D. Shares in associated companies
E. Investments
F. Investments in unit-linked and index-linked life insurance policies
L. Liquid funds
|
Technical provisions and liabilities (retained) |
31 Dec. 2010 |
31 Dec. 2009 |
|
Long-term life insurance policies |
14,141,590 |
13,893,689 |
|
Long-term unit-linked and index-linked life insurance policies |
4,142,636 |
3,416,231 |
|
Long-term health insurance policies |
2,785,246 |
2,620,930 |
|
Short-term property and casualty insurance policies |
2,538,406 |
2,370,291 |
|
Total |
23,607,879 |
22,301,142 |
These values refer to the following balance sheet items:
C. Technical provisions
D. Technical provisions for unit-linked and index-linked life insurance
G. I. Reinsurance liabilities (only deposit liabilities held under reinsurance business ceded)
G. Share of reinsurance in the technical provisions
H. Share of reinsurance in technical provisions for unit-linked and index-linked life insurance
