Hannover Rück : SFCR Group report

Hannover Re 2020

Solvency and Financial Condition Report

Contents
Executive Summary ...........................................................................................................................	4
A.	Business and Performance .......................................................................................................	10
	A.1	Business ............................................................................................................................	10
	A.1.1	Business model ..........................................................................................................	10
	A.1.2	Headquarters, supervisors and auditors .....................................................................	10
	A.1.3	Group structure...........................................................................................................	12
	A.2	Performance ......................................................................................................................	13
B.	System of Governance..............................................................................................................	16
	B.1	General Information on the System of Governance...........................................................	16
	B.1.1	Governance structure .................................................................................................	16
	B.1.2	Remuneration policy ...................................................................................................	20
	B.1.3	Related party transactions ..........................................................................................	21
	B.2	Fit and Proper Requirements .............................................................................................	22
	B.2.1	Requirements .............................................................................................................	22
	B.2.2	Description of requirements ........................................................................................	22
	B.2.3	Evaluation process .....................................................................................................	23
	B.3	Risk Management System including the Own Risk and Solvency Assessment ................	25
	B.3.1	Strategy implementation .............................................................................................	25
	B.3.2	Risk capital .................................................................................................................	25
	B.3.3	Internal model governance .........................................................................................	26
	B.3.4	Organisation of risk management and the tasks of the risk management function ....	26
	B.3.5	Key elements of our risk management system ...........................................................	27
	B.3.6	Risk landscape ...........................................................................................................	29
	B.3.7	Own Risk and Solvency Assessment (ORSA)............................................................	30
	B.4	Internal Control System .....................................................................................................	30
	B.4.1	Elements of the Internal Control System ....................................................................	30
	B.4.2	Compliance function ...................................................................................................	31
	B.5	Internal Audit Function .......................................................................................................	33
	B.6	Actuarial Function ..............................................................................................................	34
	B.7	Outsourcing........................................................................................................................	35
	B.8	Any other information .........................................................................................................	36
C.		Risk Profile ............................................................................................................................	37

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Hannover Re Group | Solvency and Financial Condition Report

C.1	Underwriting risk ................................................................................................................	38
C.1.1 Underwriting risk Property and Casualty ....................................................................	38
C.1.2	Reserve risk................................................................................................................	40
C.1.3 Risk mitigation techniques Property & Casualty .........................................................	41
C.1.4 Underwriting risk Life and Health ................................................................................	42
C.2	Market risk .........................................................................................................................	44
C.3	Credit risk...........................................................................................................................	48
C.4	Liquidity risk .......................................................................................................................	50
C.5	Operational risk..................................................................................................................	50
C.6	Other material risks............................................................................................................	53
C.6.1	Emerging risks ............................................................................................................	53
C.6.2	Strategic risks .............................................................................................................	53
C.6.3 Reputational and sustainability risks...........................................................................	54
C.6.4	Important developments .............................................................................................	54
C.6.5	Contagion risks ...........................................................................................................	58
D.	Valuation for Solvency purposes ...........................................................................................	59
D.1	Solvency II balance sheet ..................................................................................................	62
D.2	Technical provisions ..........................................................................................................	66
D.2.1 Technical provisions of Property and Casualty Reinsurance .....................................	69
D.2.2 Technical provisions Life & Health..............................................................................	71
E. Capital Management .................................................................................................................	77
E.1	Own Funds.........................................................................................................................	77
E.1.1	Management of own funds .........................................................................................	77
E.1.2	Tiering.........................................................................................................................	77
E.1.3	Basic own funds..........................................................................................................	78
E.1.4	Transferability .............................................................................................................	81
E.2 Solvency Capital Requirement and Minimum Capital Requirement ..................................	82
E.2.1	Solvency Capital Requirement per Risk Category......................................................	82
E.2.2	Minimum Capital Requirement (MCR) ........................................................................	84
E.3 Use of the duration-based equity risk sub-module in the calculation of the Solvency Capital
Requirement .................................................................................................................................	84
E.4 Differences between the standard formula and any internal model used ..........................	84
E.4.1	The internal model ......................................................................................................	84

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Hannover Re Group | Solvency and Financial Condition Report

E.4.2	Calculation techniques for the purposes of integrating results into the standard
formula	86
E.4.3	Comparison between the internal model and the standard formula ...........................	87
E.5 Non-compliance with the Minimum Capital Requirement and non-compliance with the
Solvency Capital Requirement .....................................................................................................	88
Abbreviations and glossary ..............................................................................................................	89
Quantitative Reporting Templates ....................................................................................................	91

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Hannover Re Group | Solvency and Financial Condition Report