Erste Bank JPMorgan Merrill Lynch International

The following table shows the Vienna Insurance Group’s VaR for available-for-sale securities:
Vienna Insurance Group VaR 31.12.2007
(in million EUR)
10-day holding period . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 190.90
20-day holding period . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 270.00
Total risk capacity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 668.04
20-days VaR as % of risk capacity. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 40.41%
Capital market scenario analysis
The analysis is carried out annually for all Vienna Insurance Group companies in order to check
the risk capacity of the investments. The following table shows the “stress parameters” and the
coverage of the solvency requirement for each scenario for 31 December 2007:
Reduction in market value Scenario 1 Scenario 2 Scenario 3 Scenario 4 Scenario 5
of equities . . . . . . . . . . . . . . . . . . . . . . . �20% �10% �20% �20% 0%
of bonds . . . . . . . . . . . . . . . . . . . . . . . . . �5% �2.5% �5% 0% �5%
of real estate . . . . . . . . . . . . . . . . . . . . .
Market value of assets minus liabilities
without equity capital
�5% �10% 0% �10% �10%
(in EUR millions) . . . . . . . . . . . . . . . . . 1,445.51 1,813.90 1,589.94 1,963.22 1,664.58
In scenario 1, the market value of all asset classes drops significantly at the same time. The
likelihood of such an extreme scenario’s happening is very low. The market value of the assets is still
considerably higher than the value of the liabilities after stress testing, which confirms the Vienna
Insurance Group’s excellent rating.
Life insurance
The following table shows the change in holdings of endowment insurance (not including term
insurance), term, pension, and unit- and index-linked insurance, government-sponsored pension plans,
and the total of these amounts.
Change in holdings
Endowment
insurance
(not including
risk insurance)
No. of
policies
Amt.
ins.
No. of
policies
Risk
insurance
Amt.
ins.
No. of
policies
Pension
insurance
Amt.
ins.
No. of
policies
Unit- and
index-linked
insurance
Amt.
ins.
Governmentsponsored
pension plans Total
Number of policies in pc./Amount insured in EUR ’000
As of 1.1.2007 . . . . . . . . . . . . . . .
2007 additions
2,666,534 23,084,078 706,689 17,834,510 537,334 6,759,649 265,077 5,723,194 217,556 3,680,264 4,393,190 57,081,694
New business . . . . . . . . . . . . . . 201,098 2,605,706 183,435 4,648,498 30,506 627,474 155,263 1,768,253 56,369 918,284 626,671 10,568,214
Premium increases . . . . . . . . . . . 1,469 188,573 32 9,244 0 92,950 196 66,661 0 200,720 1,697 558,148
Total additions . . . . . . . . . . . . . .
2007 changes
202,567 2,794,279 183,467 4,657,742 30,506 720,424 155,459 1,834,914 56,369 1,119,004 628,368 11,126,362
Changes in additions. . . . . . . . . . . 30,811 575,334 19,290 1,461,183 6,151 187,069 25,491 1,471,800 1,714 28,907 83,457 3,724,294
Changes in reductions . . . . . . . . . . �35,678 �887,752 �69,541 �582,826 �5,284 �270,065 �27,297 �1,771,198 �4,049 �156,895 �141,849 �3,668,736
Total changes . . . . . . . . . . . . . . .
Reductions due to maturity
�4,867 �312,418 �50,251 878,357 867 �82,996 �1,806 �299,398 �2,335 �127,988 �58,392 55,558
Due to contract expiration . . . . . . . . �52,894 �552,205 �95,838 �2,045,190 �8,617 �106,206 �853 �2,284 0 0 �158,202 �2,705,885
Due to death . . . . . . . . . . . . . . . �17,095 �70,102 �1,400 �16,859 �1,318 �15,420 �533 �6,039 �205 �2,885 �20,551 �111,304
Total reductions due to maturity . . . . .
Premature reductions
�69,989 �622,307 �97,238 �2,062,049 �9,935 �121,626 �1,386 �8,323 �205 �2,885 �178,753 �2,817,189
Due to non-redemption. . . . . . . . . . �11,876 �191,059 �10,077 �202,732 �1,654 �40,012 �6,216 �130,852 �2,888 �55,752 �32,711 �620,407
Due to cancellation without payment . . . �32,252 �338,262 �43,842 �967,767 �12,137 �85,471 �11,832 �139,238 �1,661 �16,623 �101,724 �1,547,360
Due to redemption . . . . . . . . . . . . �98,495 �873,101 �8,320 �231,326 �21,310 �129,472 �10,971 �199,457 0 0 �139,096 �1,433,356
Due to premium release . . . . . . . . . �8,280 �343,878 �172 �92,769 �7 �62,083 �1,128 �181,191 1,583 �183,706 �8,004 �863,627
Total premature reductions . . . . . . . . �150,903 �1,746,300 �62,411 �1,494,594 �35,108 �317,038 �30,147 �650,738 �2,966 �256,081 �281,535 �4,464,750
As of 31.12.2007 . . . . . . . . . . . . . 2,643,342 23,197,332 680,256 19,813,966 523,664 6,958,413 387,197 6,599,649 268,419 4,412,314 4,502,878 60,981,675
No. of I
policies
European Embedded Value sensitivity analysis for the life insurance business
The embedded value is determined in accordance with the European Embedded Value Principles
published by the CFO Forum on 6 April 2004, and will be published separately on 27 March 2008.
The embedded value consists of two components: the adjusted net assets at market value and
the value of the insurance portfolio, which equals the cash value of distributable after-tax profits minus
the capital commitment cost of the solvency capital. Thus, embedded value is an actuarial
F-33
Amt.
ins.
No. of
policies
Amt.
ins.