IMF博茨瓦纳金融部门评估方案-关于保险公司和退休基金压力测试和系统风险分析的技术说明

IMFCountryReportNo.24/61

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March2024

FINANCIALSECTORASSESSMENTPROGRAM

TECHNICALNOTEONSTRESSTESTINGAND

SYSTEMICRISKANALYSISFORINSURERSANDRETIREMENTFUNDS

ThispaperonBotswanawaspreparedbyastaffteamoftheInternationalMonetaryFundasbackgrounddocumentationfortheperiodicconsultationwiththemembercountry.ItisbasedontheinformationavailableatthetimeitwascompletedonJanuary18,2024.

Copiesofthisreportareavailabletothepublicfrom

InternationalMonetaryFund•PublicationServicesPOBox92780•Washington,D.C.20090

Telephone:(202)623-7430•Fax:(202)623-7201

E-mail:

publications@

Web:

InternationalMonetaryFund

Washington,D.C.

©2024InternationalMonetaryFund

PreparedBy

MonetaryandCapitalMarketsDepartment

January18,2024

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FINANCIALSECTORASSESSMENTPROGRAM

TECHNICALNOTE

STRESSTESTINGANDSYSTEMICRISKANALYSIS

FORINSURERSANDRETIREMENTFUNDS

ThisTechnicalNotewaspreparedinthecontextof

theFinancialSectorAssessmentProgramin

Botswana.Itcontainstechnicalanalysisand

detailedinformationunderpinningtheFSAP’sfindingsandrecommendations.Further

informationontheFSAPcanbefoundat

/external/np/fsap/fssa.aspx

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CONTENTS

Glossary

4

EXECUTIVESUMMARY

5

INTRODUCTION

8

NBFIMARKETSTRUCTUREANDPERFORMANCE

8

A.StructureoftheNon-BankFinancialSector

8

B.InsuranceSector

10

C.RetirementFunds

15

STRESSTESTMETHODOLOGY

17

A.ScopeandSampleoftheStressTest

17

B.ScenariosfortheSolvencyStressTest

18

C.CapitalStandardandModelingAssumptions

19

STRESSTESTRESULTS–INSURANCE

22

A.ResultsoftheSolvencyStressTest

22

B.SensitivityAnalyses

23

C.OtherRisks

24

STRESSTESTRESULTS–RETIREMENTFUNDS

25

SUMMARYANDPOLICYRECOMMENDATIONS

28

FIGURES

1.InsuranceDensityandPenetration

10

2.PremiumIncomeofInsurers

12

3.AssetAllocationofInsurers

13

4.Insurers’ProfitabilityandSolvency

1

4

5.RetirementFunds—KeyIndicators

16

6.Insurers’CompositionofthePrescribedCapitalTarget

20

7.InsuranceST—ValuationImpact

22

8.InsuranceST—SolvencyImpact

23

9.InsuranceST—SensitivityAnalyses

24

10.RetirementFunds—ImpactonFuturePensionValues

26

11.RetirementFunds—MembershipCharacteristicsandPayouts

27

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TABLES

1.MainRecommendationsonNon-BankRiskAnalysis

7

2.SizeandStructureoftheNBFISector

9

3.StressTestSample

17

4.NBFIStressTestSpecification

18

APPENDICES

I.FinancialSoundnessIndicatorsforInsuranceCompaniesandRetirementFunds

29

II.StressTestingMatrix(STeM)forInsuranceandRetirementFunds

31

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Glossary

BoB

BankofBotswana

BWP

BotswanaPula

FSAP

FinancialSectorAssessmentProgram

FX

ForeignExchange

IMF

InternationalMonetaryFund

MCT

MinimumCapitalTarget

MoF

MinistryofFinance

NBFI

Non-BankFinancialInstitution

NBFIRANon-BankFinancialInstitutionsRegulatoryAuthority

PCTPrescribedCapitalTarget

RFARetirementsFundAct

STStressTest

STeM

StressTestingMatrix

TD

Top-Down(stresstest)

TN

TechnicalNote

WEO

WorldEconomicOutlook

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EXECUTIVESUMMARY

TheFSAPmissionconductedariskanalysisforlargeinsurancecompaniesandretirement

funds.BuildingonthenarrativeoftheadversemacrofinancialscenarioalsousedinthebankingST,thefocusoftheanalysisintheinsurancesectorwasonsolvency.Sensitivityanalyses,e.g.,interest

rateandcurrencyshocksandthedefaultofthelargestbankingcounterparty,complementedthe

analysis.Forretirementfunds,futurepensionvaluesweremodeledafteramaterializationofthe

adversescenariointhefirsttwoyearsoftheprojectionhorizon.Thesamplecomprisedfourlife

insurers,fourshort-terminsurersandfourretirementfunds,withamarketcoveragebetween80and

95percentineachsector.Incompletereportingdatacomplicatedthetop-downmodelling,specificallywithregardtothegeographicalbreakdownofinvestmentsforinsurers,andthevaluationofinsuranceliabilities.

Insurersareresilientintheadversescenario,butvulnerabilitiesexistwithregardto

concentratedexposurestodomesticbanks.Intheadversescenario,theimpactoninsurers’asset

valuesislimited:Forthemedianlifeinsurer,assetsdecreaseby7percent,whileforsomelife

insurersalsoliabilities—relatedtoannuitybusinessandunit-linkedinsurance—declineatasimilar

amountasassets.Shockstodomesticbondandequitypricescontributemosttothedeclinein

capital,whilelargecashholdingsresultinanoveralllowsensitivitytomarketrisksinparticularfor

short-terminsurers,andtheBWPdepreciationincreasesthevalueofforeignassets.Overall,the

adversescenario,inisolation,doesnotcauseanycapitalshortfalls.However,theconcentrationof

depositswithindividualdomesticbankspresentsasignificanttransmissionchannelforsystemicrisk.

RetirementfundsinBotswanaaredesignedasdefinedcontributionschemes,thereby

effectivelypassingoninvestmentriskstoschememembers.Theirassetallocationisrather

growth-orientedwith68percentinvestedinstocks,and66percentareinvestedabroad.Theriskanalysisthereforefocusedonfuturepensionvalues,forrepresentativemembers10and30yearspriortoretirement,insteadofretirementfunds’fundingratios.

Theadversescenariohasasizableimpactonmemberswithonlyfewyearstoretirement,

reducingfuturepensionvaluesbymorethan15percentcomparedtothebaseline.Thelargestpartofthedeclinestemsfromlowerstockpricesinthescenario.Whileformemberswith30yearstoretirement,thedeclineinpensionvaluesamountstolessthan5percent,theresultformemberswith10years—notbeingabletofullycatchupaftertheshock—highlightstheneedforaswitchofpre-retirementmemberstoamoreconservativeassetallocation.

ThenewRetirementFundAct,adoptedin2022,isverylikelytoimpacttheliquidityof

retirementfunds,callingforarobustliquiditymanagement.ThenewActprovidesmore(lump-sum)withdrawaloptionsforpensionschememembers,therebyeffectivelytransferringliquidity

frompensionfundstohouseholds,potentiallycompromisingtheabilitytoaccumulatelong-term

retirementsavings—alreadynow,paymentsuponretirementaccountforonlyaround80percentofallpayouts,ofthesearound40percentarepaidasalump-sum.Thesenumbersdifferconsiderably

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betweenretirementfunds,dependinginteraliaontheageandsalaryofmembersandthecyclicalityoftheemployer’sindustry.Especiallyforsmallerfunds—andthosewherebenefitsalreadyexceed

contributions—arobustliquidityriskmanagementwillbecritical.Furthermore,theActalsoreducessequentiallythecaponforeignassets,raisingquestionsaboutthecapacityofdomesticcapital

marketstoabsorbrepatriatedinvestments.Finally,effectsofthenewActwillbeseenalsoinotherfinancialsectors,e.g.,inlifeinsurersannuitybusiness.

TheriskanalysishighlightstheneedforNBFIRAtosubstantiallyimproveitsdataanalyticsandresources.TheFSAPrecommendsareviewofsupervisoryreportingtemplates,morerobustprocessestoensurecompleteandconsistentreporting,andtheimplementationofadata

managementsystemwhichallowsforhorizontalandfinancialstabilityanalysis.Further,authoritiesshouldconductregularstresstestoflargeinsurersandretirementfunds,andanalyzerisks

stemmingfromconcentratedbankexposures.In-houseactuarialexpertiseisseenasaprerequisiteforNBFIRA,aswellasspecificknowledgeonreinsurancebusinessandintensifiedcooperationwiththehomesupervisorsoflocalreinsurancesubsidiaries.RegardingthenewRetirementFundsAct,

authoritiesshouldthoroughlyanalyzetheimpactonfunds’liquidityandrequireliquidityriskmanagementtobecommensuratewithexpectedwithdrawalsfromitsmembers.

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Table1.Botswana:MainRecommendationsonNon-BankRiskAnalysis

Recommendation

Addressee

Timing*

Priority**

Data

1.Ensurecompleteandconsistentsubmissionofreportingdata(¶46)

NBFIRA

I-C

H

2.Introduceadatamanagementsystemwhichallowsforhorizontalandtime-seriesanalysis(¶46)

NBFIRA

I-C

H

3.Reviewreportingtemplatesandamenddataitemsnecessaryforfinancialstabilityanalysis(¶46)

NBFIRA

ST

H

4.ReviewreportingtemplatestoalignwithIFRS17(¶46)

NBFIRA

MT

M

RiskAnalysis

5.UndertakeacomprehensiveimpactassessmentofthenewRetirementFundActonthefinancialsector(¶45)

MoF,BoB,

NBFIRA,

FSC

I

H

6.Analyzeimpactofconcentratedbankexposuresandrelevanttransmissionchannels(¶47)

NBFIRA,BoB,FSC

ST

H

7.Conductregulartop-downstresstestsforlargeinsurers

andretirementfundsandfeedresultsintothesupervisorydialoguewithfirms(¶47)

NBFIRA

ST

M

Other

8.Intensifycooperationwithhomeauthoritiesonthe

supervisionoflocalreinsurancesubsidiaries,andbuildupspecializedknowledgeaboutreinsurancebusiness(¶38)

NBFIRA

ST

M

9.Establisharobustsupervisoryframeworkforliquidityrisksofretirementfundsandconsidertheuseofliquiditybuffers(¶44)

NBFIRA

I

H

10.Expandnumberof(experienced)actuarialstaffatNBFIRA(¶48)

MoF,

NBFIRA

I

H

11.DevelopanunderstandingoftheimpactofIFRS17onlifeinsurersbusinessmodelsandstrategy(¶48)

NBFIRA

ST

M

*C=Continuous;I=Immediate(withinoneyear);ST=ShortTerm(within1-3years);MT=MediumTerm(within3-5years).**H=High;M=Medium;L=Low.

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INTRODUCTION

1

1.ThisTechnicalNoteanalyzessystemicrisksandvulnerabilitiesforinsurancecompaniesandretirementfundsinBotswana.Theanalysisispartofthe2023FinancialSectorAssessment

Program(FSAP)conductedjointlybytheInternationalMonetaryFund(IMF)andtheWorldBank.

Thisnoteisbasedonareviewofregulations,marketanalyses,andmeetingswiththeNon-Bank

FinancialInstitutionsRegulatoryAuthority(NBFIRA)andtheBankofBotswana(BoB).TheFSAPteam

alsometwithrepresentativesfrominsurers,retirementfunds,industryassociations,andother

privatesectorbodies.Theworkbenefittedgreatlyfromtheirreadinesstodiscusscriticalissuesandshareinformation.

2.ThelastFSAPin2008founddatalimitationswhichconstrainedafullanalysisof

financialrisksfornon-bankfinancialinstitutions(NBFI).The2008FSAPnotedthat“giventhesizablecross-borderinvestmentsofthepensionfunds,anunderestimationoftherisksinthatareacannotbediscounted”.Accordingly,itrecommendedwithregardtoretirementfundsto“expand

therangeofinformationcollected[…],suchasforeignassetholdings,including‘non-traditional’

assets”andforinsurersto“collectandanalyzestatutoryreturnsandanalyzerelevantinformationonsolvency,detailedreinsurance,claims,andexpenses”.

3.NBFIRAwasestablishedasasupervisoryauthorityin2008andsupervisesawiderangeofdifferentnon-bankentities.SetupbytheNon-BankFinancialInstitutionsRegulatoryAuthority

Act2006,NBFIRAregulatesandsupervisesnon-bankfinancialinstitutions,comprisinginsurancecompanies,retirementfunds,collectiveinvestmentundertakings,assetmanagers,investment

advisors,microlenders,thesecuritiesexchange,custodians,financeandleasingcompanies,andothers.AsofMarch2022,theauthorityhadastaffof89andanannualbudgetofaround

BWP80m—mostlyfundedthroughsupervisorylevies.Intotal,NBFIRAsupervisestheactivitiesofaround800entities.

NBFIMARKETSTRUCTUREANDPERFORMANCE

A.StructureoftheNon-BankFinancialSector

4.Thenon-bankfinancialsectorinBotswanaissizable,accountingforaround57percentofthedomesticfinancialsystemassetsatend-2021.AssetsofthesectoramounttoBWP153bn(upfrom115bnin2016),or78percentofGDP.Thelargestsub-sectorisformedbyretirement

funds,whichholdaccumulatedbalancesheetassetsofBWP110bn,therebyevenexceedingthesizeofthebankingsectorbyasmallmargin(Table2).Giventheirsize,retirementfunds—and,toalesserextent,alsolifeinsurers—areimportantplayersinthedomesticfinancialsystemandhighly

1ThemainauthorofthisnoteisTimoBroszeit,IMFexternalexpertoninsuranceandpensionfundregulationandstresstesting.

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interconnectedwithotherdomesticentities.Inaddition,thelargeinsurersareinterconnectedwithintheregion,mostofthembeingsubsidiariesofSouthAfricaninsurancegroups.

5.WhiletheNBFIsectorinBotswanaencompassesalargenumberofveryheterogenousentities,theriskanalysisintheremainingpartofthisTechnicalNotewillfocusoninsurancecompaniesandretirementfunds.Asofend-2021,NBFIRAsupervisedatotalof812entities,

including87retirementfunds,9lifeinsurers,12short-term(life)insurers,and5reinsurers.Risks

amongtheseentitiesareverydiverse,renderingitdifficulttomodelorquantifytheoverallriskfortheentiretyoftheNBFIsector.Thefollowingsectionselaboratemoreindetailontheinsurance

sector(lifeandshort-term)andtheretirementfunds—thefocusoftheriskanalysisistherebyprimarilyonmarketandcreditrisks.

Table2.Botswana:SizeandStructureoftheNBFISector

Botswana’sfinancialsectorisdominatedbyretirementfundsandcommercialbanks:Assetsofeachsector

correspondtoaround56percentoftheGDP.

Numberof

institutions

(31Dec2021)

Assets(31Dec2021)

Assets

(31Dec2016)

inBWPbillions

inBWPbillions

inpercentof

financialsector

assets

inpercentofGDP

Bankingsector

13

117.0

43.3

59.9

88.3

Commercialbanks

10

108.6

40.2

55.6

80.7

Statutorybanks

2

4.5

1.7

2.3

3.9

Buildingsocieties

1

3.8

1.4

1.9

3.8

NBFIsector

799

153.0

56.7

78.3

114.8

Microlenders1/

97

7.6

2.8

3.9

3.9

Lifeinsurance

9

18.4

6.8

9.4

19.3

Short-terminsurance

12

2.6

1.0

1.3

1.9

Reinsurance

5

0.7

0.3

0.4

0.2

Retirementfunds

87

110.0

40.7

56.3

75.1

Investmentfunds2/

n.a.

11.1

4.1

5.7

7.5

Others3/

589

2.6

1.0

1.3

6.9

Total

812

269.9

100.0

138.2

203.2

1/Reportingmicrolendersonly.

2/“Investmentfunds”compriseonlyassetsmanagedonbehalfofretailandprivateclients.

3/“Other”compriseowncompanyassetsfornon-reportingmicrolenders,medicalaidfunds,insuranceintermediaries,securitiesbrokers,thestockexchange,thecentralsecuritiesdepository,assetmanagersandmanagementcompanies,financeandleasingcompanies.

Sources:BoB,NBFIRA,andIMF.

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B.InsuranceSector

6.ComparedtopeersintheSouthernAfricanregion,Botswana’sinsurancesectoris

smaller,butstillconsiderablylargerthaninothercountriesonthecontinent.Theinsurancedensity,whichmeasuresaverageannualpremiumsperperson,reachedUSD186in2021,ofwhichUSD136werelifeinsurancepremiumsandUSD50weregeneratedinshort-term(non-life)

insurance.Inthelifesector,SouthAfricaandNamibiagenerateUSD698andUSD241,respectively,andalsoshort-termpremiumsarehigherthaninBotswana.Theinsurancepenetration—premiumsinpercentoftheGDP—amountsto2.3percentinthelifeand0.8percentinthenon-lifesector,alsobelowtherespectivenumbersinSouthAfricaandNamibia.

Figure1.Botswana:InsuranceDensityandPenetration

InBotswanaannuallifeinsurancepremiumsamounttoUSD136persononaverage,andshort-terminsurancepremiumstoUSD50.

Theinsurancedensityamountsto2.3and0.8percentinthelifeandtheshort-termsector,respectively—similartotheinsurancedensity,thesenumbersarelowerthaninSouthAfricaandNamibia.

Source:IMFstaffcalculationsbasedonSwissReSigmaandNBFIRA.

7.LifeinsurancebusinessinBotswanaisrelativelytraditional,highlyconcentrated,andgrowthhassloweddowninrecentyears(Figures2aand2c).Lifeinsurancemostlycomesintheformoffuneralinsuranceorascreditlifeinsurance,similartoothermarketsintheSouthernAfricanregion.Inaddition,thelargestlifeinsureralsomaintainsalargeannuitybook,fundedthrough

pensionsavings,asonlyfewretirementfundspayoutpensionannuitiesdirectlytoretireesand

mosttransfertheaccumulatedsavingstoanannuityprovider.Theconcentrationamongtheninelifeinsurersisveryhigh,andthethreelargestentitiesholdacombinedmarketshareofmorethan

90percent.Intotal,grosswrittenlifepremiumsamountedtoBWP4.4bnin2021,andhave

increasedonaverageby6.9percentperyearsince2016.Theretentionrateisveryhigh,andonlyaround3percentarecededtoreinsurers.

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8.Mostshort-terminsurershavebuiltuparatherdiversifiedbusinessmixandrecord

modestgrowthrates(Figures2band2d).In2021,short-terminsurerswroteBWP1.6bningross

premiums—growingonaverageby4.6percentperyearsince2016.Thelargestlinesofbusinessarepropertyandmotorwith32percentand29percentofgrosswrittenpremiums,respectively.The

sectorislessconcentratedthanthelifesegment:Basedonpremiums,thethreelargestentities(outoftwelve)holdamarketshareof69percent.Typicalfortheshort-termsectorisaretentionrate

whichisconsiderablylowerthaninthelifesector:In2021,short-terminsurersretained55percentoftheirbusiness,wellbelowtheaveragevalueofthepreviousyears(63percentfor2016–20).

9.Thereinsurancemarkethasexpandedrecently,drivenbyforeignmarketparticipants,andfosteredbyregulatoryrequirementsforprimaryinsurerstoreinsuredomestically.In

2021,reinsurerswrotepremiumsofBWP466m,upfromBWP175mfiveyearsearlier.Twonewreinsurershaveenteredthemarketsince2020,raisingthetotalnumberoffirmstofive.All

reinsurersaresubsidiariesofforeigngroups,fourofthembeingheadquarteredinZimbabweandoneinNigeria.Batswanainsuranceregulationdeterminesthatifprimaryinsurerscedebusiness,

theyhavetocontractwithdomesticreinsurers—onlyincasethedomesticmarketdoesnotprovidesufficientcapacity,businesscanbecededtoforeignreinsurersafterhavingreceivedapprovalfromNBFIRA.

10.Thelargemajorityofinsurersaresubsidiariesofinternationalgroupsandoftenhavesignificantinterlinkageswithrelatedentitieswithinthesamegroup.Manygroupsarecross-

sectoral,offeringbanking,insuranceandassetmanagementservices,althoughnotnecessarilyinallcountrieswheretheyareactive.DistributionofinsuranceservicesinBotswana,bothinthelifeandtheshort-termsector,reliestoalargeextentoninsurancebrokersandagents,whichaccountfor

about60percentoftotalpremiums—associatedbankswithinthesamefinancialgrouparean

importantchannel.AsofMarch2022,144insuranceagentsand58insurancebrokerswereactiveandlicensedbyNBFIRA.

11.Theinvestmentassetallocationofinsurersischaracterizedbylargebondholdingsinthelifesector,andaveryhighshareofcashanddepositsintheshort-termsector(Figure3).Lifeinsurersholdonaggregate27percentoftheirassetsingovernmentbonds,andanother22

percentincorporatebonds;13percentareheldinsharesand26percentinunit-linkedassets.

However,thesenumbersaresomewhatdistortedbytwomajorfirmswhichareactiveinthe

annuitiesbusiness—suchactivitiesrequireamorelong-terminvestmentstrategy,whileotherlifefirmsmaintainanassetallocationwhichisgearedevenmoretowardsbondsanddeposits.Short-terminsurersholdalmosttwothirdsoftheirassetsincashanddeposits,effectivelyreducingtheirexposuretomarketrisks.

12.Furtheranalysisislimitedbytheavailabilityofsupervisoryreportingdata.Thesupervisoryreportingforinsurersdoesnotprovideadetailedbreakdownofinvestmentsintodomesticandforeignassets—onlycertainlargeforeignexposuresarereported,buttypically

unstructuredandpotentiallyincomplete.Thereportingdoesfurthermorenotallowfora

comprehensiveanalysisofcreditrisks(e.g.,throughareportingofcreditratings)orasset-liabilityrisks(e.g.throughareportingofremainingmaturitiesordurationsoffixed-incomeinstruments).

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Figure2.Botswana:PremiumIncomeofInsurers

Lifeinsurancebusinessisverytraditionalandalmost

exclusivelycoveringlifeandannuities,whilepermanenthealthinsurancecontributeslessthan1percentoftotalgrosswrittenpremiums.

GrosswrittenlifepremiumshavereachedBWP4.4bnin

2021,growingbyalmost7percentp.a.since2016.

Source:NBFIRA.

Intheshort-termsector,almostonethirdofgross

premiumsstemsfrompropertyinsurance,andanother29percentisrelatedtomotorinsurance.

Intheshort-termsector,grosswrittenpremiumsamountedtoBWP1.6bnin2021.

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Figure3.Botswana:AssetAllocationofInsurers

Lifeinsurersinvestalmosthalfoftheirassetsinbondsandanother13percentinequity.26percentofassetsbackunit-linkedinsurancepolicies.

Assetsofshort-terminsurersarelargelycomposedof

cashanddeposits(65percent).Longer-terminvestmentslikeequityandbondsrepresentlessthan5percenteach.

Notes:Stresstestparticipantsonly.

Source:IMFstaffcalculationsbasedonNBFIRAdata.

13.Profitabilityoftheinsurancesectorisonlymoderate,butoverallratherstable(Figures4a–c).Lifeinsurers’profitsarehighlydependentoninvestmentincome,whichhasbeenat5percentasshareoftotalassetsinboth2020and2021.However,withfallingequityandbondmarkets,theinvestmentreturnisexpectedtobelowerin2022.IncreasedmortalityduringtheCOVID-19

pandemichasresultedinasubstantiallyhighernetclaimsforlifeinsurerswhichincreasedin2021

by43percentcomparedtothepreviousyear.Intheshort-termsector,underwritingresultsarethemajorcomponentofoverallnetincome.Thecombinedratio—claimspaymentsandexpenses,

dividedbypremiums—remainedbelow100percentforthelastfouryears,amountingto96percentin2021.Thepandemiccausedamorefavorableclaimsdevelopmentsintheshort-termsector,

particularlyduringthelockdownsin2020whenlowermobilitycausedfewerclaimsinmotor

insurance.Finally,inthereinsurancesector,thecombinedratioissignificantlymorevolatile,

reaching82percentin2021,butfluctuatingbetween74percentand115percentinthefiveyearspriortothat.

14.Capitalratioshavebeenverystableinthelifeinsurancesector,butdecliningand

morevolatileoverthelastfiveyearsamongshort-terminsurersandreinsurers(Figure4d).Theaveragecapitalratio,definedasshareholderequitytoassets,inthelifeinsurancesectorhasbeen

verystableataround16percentforthelastfouryears.Short-terminsurers’capitalratioshavebeendecliningsince2016,butwith30percentin2021,theyarestillsignificantlyhigherthaninthelife