TOR

TOPIK : Regular & Particular Stress Test

TUJUAN :
Memahami secara komprehensif fungsi stress test sebagai bagian dari manajemen resiko keuangan
perusahaan.

BAHASAN :
• RBC
• Stress Test
• Regular & Particular Scenario : Regular Scenarios, New Product Line, Dividend Payout,
COVID19
• RBC & Stress Test Simulation

WAKTU : 09.00 sd 14.30

AGENDA :
09.00 – 09.15 : sambutan Ketua AAUI
09.15 – 10.00 : RBC
10.00 – 11.30 : Stress Test & Scenarios
13.30 – 14.45 : Stress Test Simulation
14.45 – 15.00 : Q&A

PESERTA : Actuarial, Finance & Accounting

REGULAR & PARTICULAR
STRESS TEST
Asosiasi Asuransi Umum Indonesia
RS-YK-SMY-KE
AGENDA
• Section 1 : Risk Based Capital (RBC)
• Background & Regulation
• RBC Calculation
• Base-line
• Section II : Stress Test & Scenarios
• Background & Regulation
• Formulating Scenario
• Section III : Stress Test Simulation
• Step by Step Stress Test Simulation
STRESS TEST
RBC
Calculation

Base Formulating
Projection Scenario

Scenario
Simulation

NO Further
OK?
Analysis

YES

Finish
 SECTION 1
RISK BASED CAPITAL (RBC)
1. BACKGROUND & REGULATION
POJK No. 71/POJK.05/2016
Tentang Kesehatan Keuangan Perusahaan Asuransi dan Perusahaan
Reasuransi
Bab II Kesehatan Keuangan
• Tingkat Solvabilitas minimum 100% dari MMBR (sec 2)
• Target Tingkat Solvabilitas Internal min 120% (sec 2)
• Mempertimbangkan profil risiko
• Mempertimbangkan hasil stress test
• Aset Yang Diperkenankan (sec 3-5)
• Liabilitas (sec 6)
1. BACKGROUND & REGULATION
SE OJK No. 24/SEOJK.05/2017
Pedoman Perhitungan Jumlah Modal Minimum Berbasis Risiko Bagi
Perusahaan Asuransi dan Perusahaan Reasuransi
• MMBR dihitung dengan menjumlahkan dana yang
diperlukan untuk mengantisipasi risiko yang mungkin
timbul sebagai akibat dari deviasi dalam pengelolaan
Aset dan Liabilitas.
• Perhitungan MMBR meliputi :
• Risiko Kredit
• Risiko Likuiditas
• Risiko Pasar
• Risiko Asuransi
• Risiko Operasional
1. BACKGROUND & REGULATION
• Risiko Kredit : kehilangan atau penurunan nilai aset
karena kegagalan pemenuhan kewajiban oleh debitur /
pihak lain dan reasuradur
1. BACKGROUND & REGULATION
• Resiko Likuiditas : ketidakseimbangan antara proyeksi
arus aset dan arus Liabilitas yang timbul karena adanya
ketidaksesuaian antara besar dan saat jatuh tempo aset
dengan besar dan saat jatuh tempo Liabilitas
1. BACKGROUND & REGULATION
• Risiko Pasar : kemungkinan adanya kerugian akibat
terjadinya perubahan
• Harga pasar atas aset Perusahaan (PHP)
• Nilai tukar mata uang asing (PNTMUA)
• Perubahan tingkat bunga (PTB)
1. BACKGROUND & REGULATION
• Risiko Asuransi : kemungkinan kegagalan Perusahaan
memenuhi kewajiban kepada tertanggung akibat dari
ketidakcukupan proses seleksi risiko (UW), pricing,
dan/atau penanganan klaim
• Cadangan Premi
1. BACKGROUND & REGULATION
• Risiko Asuransi (2)
• CAPYBMP

• Cadangan Klaim
1. BACKGROUND & REGULATION
• Risiko Asuransi (3)
• Cadangan Catasthrope
1. BACKGROUND & REGULATION
• Risiko Operasional : kemungkinan yang disebabkan
adanya ketidakcukupan dan/atau tidak berfungsinya :
• Proses internal
• Kesalahan SDM
• Kegagalan sistem
• Masalah eksternal
• Tambahan persentase tertentu dari dana investasi (dana
kelolaan PAYDI)
2. RBC CALCULATION
• Data preparation
• Financial statement
• Data detail investasi
• Data detail reasuransi
• Please open excel file
3. BASE-LINE
• Data Preparation
• Historikal financial statement 5tahun terakhir
• Proyeksi financial statement 5 tahun ke depan
• Data detail investasi
• Data detail reasuransi
• Data detail per lini bisnis
• Please open excel file
SECTION 1I
SCENARIO & STRESS TEST
1. BACKGROUND & REGULATION
SE OJK No. 29/SEOJK.05/2017
Laporan Aktuaris Tahunan Perusahaan Asuransi, Perusahaan
Reasuransi, Perusahaan Asuransi Syariah, dan Perusahaan
Reasuransi Syariah
• Tingkat Kesehatan Keuangan dan Kecukupan
Permodalan (sec 7)
• Analisis kesehatan keuangan dan kecukupan permodalan
perusahaan paling singkat 5 tahun terakhir
• Penjelasan kenaikan atau penurunan
• Pendorong utama apabila signifikan
• Proyeksi kesehatan keuangan dan kecukupan permodalan
paling singkat 5 tahun ke depan
• Analisis deviasi
• Stress test
1. BACKGROUND & REGULATION
• Tingkat Kesehatan Keuangan dan Kecukupan
Permodalan (sec 7) (2)
• Asumsi yang digunakan
• Analisis akses Perusahaan terhadap kebutuhan modal
• Analisis risiko terkait pembentukan aset bukan investasi
1. BACKGROUND & REGULATION
• Proyeksi Keuangan (sec 13)
• Perkiraan kemampuan Perusahaan untuk memenuhi
kewajiban di masa depan berupa proyeksi 5 (lima) tahun ke
depan dari bisnis Perusahaan, pertumbuhan aset dan
liabilitas, dan kesehatan keuangan Perusahaan.
• Skenario meliputi :
• Optimis
• Normal
• Pesimis
1. BACKGROUND & REGULATION
• Proyeksi Keuangan (sec 13) (2)
• Asumsi pesimis paling sedikit meliputi :
• Krisis finansial
• Inflasi lebih tinggi
• Kerugian katastropik
• Penurunan tingkat hasil investasi
• Penurunan jumlah pertanggungan baru
• Kenaikan tingkat pemberhentian polis
• Kenaikan tingkat klaim
• Analisis deviasi
1. BACKGROUND & REGULATION
• Scenario : a possible future environment, either at a
point in time or over a period of time

• Stress Test : a projection of the financial condition of

a firm or economy under a specific set of severely
adverse conditions that may be the result of several
risk factors over several time periods with severe
consequences that can extend over months or years
2. FORMULATING SCENARIO
• Type of scenarios
• Reverse scenarios
• Historical scenarios
• Synthetic scenarios
• Company-specific scenarios
• Single-event scenarios
• Multi-event scenarios
• Global scenarios
• Coordinated with
• Corporate Risk Management
• Capital Planning Strategy Development / Finance
 2. FORMULATING SCENARIO
Stress Test Scenarios Background
Economic Large Catasthropic Optimist Pesimist
Crisis Loss Loss
• Global • Experienced / • Experienced / • Optimist • Pesimist
Economic Historical Historical Business Business
Crisis on 2008 Large Loss in Catasthrope Projection Projection
• Domestic recent years Loss in recent • Optimist • Pesimist
Economic years Economic Economic
Crisis in 2008 • Reinsurance Trend Trend
calculation for
Cat Loss
(1:250years)
2. FORMULATING SCENARIO (REGULAR)

Economic Crisis
Scenarios Impacted Items
• Lower GWP growth • GWP and NWP
• Massive drop in • Massive drop in investments asset and
investment market investment return
values
• Lower premium • Premium receivables and net cash flow
collection rate
• Lower AYD admission • Lower available capital

Large Loss
Scenarios Impacted Items
• Major fire loss • Gross incurred claim and Net incurred claim
• RI recoveries delay or • Reinsurance receivables and net cash flow
dispute
2. FORMULATING SCENARIO (REGULAR)

Catastrophic Loss
Scenarios Impacted Items
• Major earthquake • Gross incurred claim and Net incurred claim
• RI recoveries delay or • Reinsurance receivables and net cash flow
dispute
2. FORMULATING SCENARIO (REGULAR)

Optimist
Scenarios Impacted Items
• Higher GWP growth • Higher GWP and NWP
• Lower claim ratios • Gross incurred claim and Net incurred claim
• Higher investment • Higher investment return and total investment
market values assets
• Better currency • Market risk
exchange

Pessimist
Scenarios Impacted Items
• Lower GWP growth • Lower GWP and NWP
• Higher claim ratios with • Higher gross incurred claim and Net incurred
catastrophic loss claim
• Lower investment • Lower investment return and total investment
market values assets
• Worsen currency • Market risk
exchange
2. FORMULATING SCENARIO (PARTICULAR)

New Product Line

Scenarios Impacted Items
• Additional GWP • Higher GWP and NWP
• New claim ratios • Gross incurred claim and Net incurred claim

Dividend Payout
Scenarios Impacted Items
• Cash Outflow • Cash and Investment

Investment & RI Allocation

Scenarios Impacted Items
• Investment Allocation • Investment Detail
• Reinsurance Allocation • Reinsurance Detail
2. FORMULATING SCENARIO (PARTICULAR)

COVID19 Scenario
Scenarios Impacted Items
• Lower GWP growth • Lower GWP and NWP
• Higher claim ratios on • Higher gross and net incurred claim, e.g.
certain line of business Credit Insurance, Engineering
• Lower claim ratios on • Lower gross and net incurred claim, e.g. MV,
certain line of business Fire, Health Insurance
• Lower investment market • Lower investment return and investment
values assets
• Lower premium collection • Premium receivables and net cash flow
rate • Lower available capital
• Lower AYD admission • Market risk
• Worsen currency exchange • Lower investment and reinsurance rating
• Lower Credit Rating
2. FORMULATING SCENARIO (CONTOH)

Economic Crisis
Items Data Required
• Bonds Valuation • Data detail obligasi pada saat ini
• Data movement market yield pada saat
krisis
• Stocks Valuation • Data detail saham pada saat ini
• Data movement index harga saham
pada saat krisis
• Business Condition • Premi dan klaim saat krisis
• Kondisi lain saat krisis, seperti
collection rate premi direct dan klaim
reas
• Aset movement saat krisis
3. STRESS TEST RESULT
• Regular Stress Test Result
• Particular Stress Test Result
• Set the company’s RBC threshold
• What is the purpose of setting the threshold?
• What is the critical scenario?
• The RBC gap between base and critical scenario
• Add the gap to the min RBC set by regulation
SECTION III
STRESS TEST SIMULATION
THANK YOU