Erste Bank JPMorgan Merrill Lynch International

5. Sensitivity Analysis
The following table shows the sensitivity of the TEV as at December 31, 2007 and the New
Business Value for 2007 to changes in the various assumptions. The sensitivities have not been
calculated for the insurance subsidiaries in Romania and Croatia. The ANAV of Romania and Croatia
are excluded from the table below.
Embedded value
Value of new business
Table 4
December 31, 2007 2007
Sensitivities (in EUR million) (% change) (in EUR million) (% change)
Central Value ...................... 514.6 — 36.1 —
Change due:
1% increase in risk discount rate . . . . . . . . 483.2 -6.1% 30.9 -14.3%
1% reduction in risk discount rate . . . . . . . . 562.0 9.2% 42.2 16.8%
110% solvency cover only. . . . . . . . . . . . . . 508.9 -1.1% 35.5 -1.8%
10% decrease in level of equity and
property values . . . . . . . . . . . . . . . . . . . . 501.3 -2.6% n/a n/a
1% increase in investment returns . . . . . . . 518.1 0.7% 38.7 7.3%
1% decrease in investment returns . . . . . . . 502.5 -2.3% 33.0 -8.5%
10% increase in maintenance expenses . . . 501.8 -2.5% 32.8 -9.2%
10% reduction in maintenance expenses . . 527.5 2.5% 39.4 9.2%
10% decrease in lapse rates . . . . . . . . . . . 519.5 0.9% 37.5 3.9%
10% increase in lapse rates . . . . . . . . . . . . 509.9 -0.9% 34.8 -3.7%
5% decrease in mortality and morbidity for
assurances . . . . . . . . . . . . . . . . . . . . . . . 523.6 1.8% 38.3 5.9%
5% decrease in mortality for annuities . . . . 514.2 -0.1% 36.1 0.0%
The key assumption changes represented by each of these sensitivities are as follows:
1% increase in risk discount rate (e.g. a risk discount rate of 6.94% increases to 7.94%)
1% decrease in risk discount rate (e.g. a risk discount rate of 6.94% decreases to 5.94%)
Cost of capital on 110% solvency cover (i.e. the cost of capital is increased by 10%)
10% decrease in level of equity and property values
1% increase in all investment returns (e.g. 5% increases to 6%) allowing for the corresponding
change in the market value of existing fixed interest assets;
1% decrease in all investment returns (e.g. 5% decreases to 4%) allowing for the corresponding
change in the market value of existing fixed interest assets;
10% increase in maintenance expenses (e.g. a base assumption of EUR 40 p.a. increases to
EUR 44 p.a.)
10% reduction in maintenance expenses (e.g. a base assumption of EUR 40 p.a. decreases to
EUR 36 p.a.)
10% decrease in lapse rates (e.g. a base assumption of 4% decreases to 3.6%)
10% increase in lapse rates (e.g. a base assumption of 4% increases to 4.4%)
5% decrease in mortality and morbidity for non annuity products, including the loss ratio for
riders in the central European countries (e.g. if the base mortality is 100% of a particular
mortality rate, this decreases to 95%)
5% decrease in mortality for annuities including the loss ratio for riders in the central European
countries (e.g. if the base mortality is 100% of a particular mortality rate, this decreases to
95%)
In each sensitivity calculation all other assumptions are generally unchanged unless they are
directly linked to the assumption that has been changed. For example, the investment return -1%
sensitivity includes a corresponding reduction to the profit sharing rates.
H-20