Reports and research

Financial stability

Investment behaviour report

Financial stability

Financial Stability Report June 2017

Financial stability

Re-evaluation of the capital charge in insurance after a large shock

Motivated by the recent introduction of regulatory stress tests in the Solvency II framework, we study the impact of the re-estimation of the tail risk and of loss absorbing capacities on post-stress solvency ratios. Our contribution is threefold. First, we build the first stylised model for re-...
Financial stability

Financial Stability Report December 2016

Financial stability

The Impact of the Monetary Policy Interventions on the Insurance Industry

This paper investigates the effect of the conventional and unconventional (e.g. Quantitative Easing) monetary policy intervention on the insurance industry. We first analyse the impact on the stock performances of 166 (re)insurers of the last Quantitative Easing programme launched by the ECB by...
Financial stability

Updating the Long Term Rate in Time: A Possible Approach

This study proposes the potential methodological approach to be utilized by regulators when setting up a Long-Term Rate (LTR) for the evaluation of insurers’ liabilities beyond the last liquid point observable in the market. Our approach is based on the optimization of two contradictory aspects –...
Supervision | IORP | IORP II

Peer review of the statement of investment policy principles for IORPs

Solvency II | Supervision | Colleges of Supervisors

Peer Review on the NCAs’ governance of colleges

Financial stability

Financial Stability Report June 2016

Financial stability

Impact of Mergers and Acquisitions on European Insurers: Evidence from Equity Markets

Under the current low yield environment insurers are changing their business models and looking for new investment and business opportunities. This is also reflected in an increasing interest in mergers and acquisitions to achieve sufficient returns. However, there is no clear answer in the...
Supervision | Cross-border

Peer review on freedom to provide services

Financial stability

Financial Stability Report December 2015

Financial stability

Assessing Systemic Risk of the European Insurance Industry

This paper investigates the systemic relevance of the insurance industry. We do it by analysing the systemic contribution of the insurance industry vis-á-vis other industries by applying three measures, namely the linear Granger causality test, conditional value at risk and marginal expected...
Financial stability

Financial Stability Report May 2015

Financial stability

Insurance Sector Profitability and the Macroeconomic Environment

Profitability is one of the most important determinants of insurers’ performance and healthiness. This article empirically investigates the link between the macroeconomic environment and insurers’ profitability using cross-country European aggregate data. Our empirical results suggest that low...
Financial stability

Macroprudential Objectives and Instruments for Insurance

This article seeks to contribute to the ongoing debate on the objectives of macroprudential policies and the interaction between micro- and macroprudential policy in insurance. We consider two channels through which the insurance sector could influence economic growth and link these considerations...