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Zurich Insurance Company Group

Annual Report 2021

Contents

Risk review	2
Financial review	24
Financial overview	24
Consolidated financial statements	32
Financial statements -
statutory accounts	152

Risk review

Contents

Risk review (continued)

Basis of presentation

The risk review is an integral part of the consolidated financial statements.

Risk and capital are managed at the Zurich Insurance Group (Zurich or Group), segment, region and business unit level according to Zurich's risk and capital management framework. The principles of the Group enterprise risk management described in the risk management and capital management sections are equally applicable to Zurich Insurance Company Ltd (ZIC) and its consolidated subsidiaries (collectively the ZIC Group).

The Zurich Insurance Group Ltd Board of Directors, Chief Executive Officer, and Chief Risk Officer equally serve as Board of Directors, Chief Executive Officer, and Chief Risk Officer for Zurich Insurance Company Ltd.

The figures presented are prepared on a ZIC Group basis.

Risk management

Objectives of risk management

Taking and managing risk is an integral part of the insurance business. Zurich takes and manages risks in an informed and disciplined manner and within a pre-determined risk appetite and tolerance.

The major risk management objectives of the Group are to:

• Support achievement of the Group's strategy and protect capital, liquidity, earnings and reputation by monitoring that risks are taken within the Group's risk tolerance.
• Enhance value creation by embedding disciplined risk-taking in the company's culture and contributing to an optimal risk-retuprofile where risk-rewardtrade-offs are transparent, understood, and risks are appropriately rewarded.
• Efficiently and effectively diversify risk and avoid or mitigate unrewarded risks.
• Encourage openness and transparency to enable effective risk management.
• Support decision-making processes by providing consistent, reliable and timely risk information.
• Protect Zurich's reputation and brand by promoting a sound culture of risk awareness, and disciplined and informed risk-taking.

Enterprise Risk Management Framework

The Enterprise Risk Management Framework is based on a governance framework that sets forth clear responsibilities for identifying, assessing, managing, monitoring and reporting risks.

The Group's risk appetite and tolerance statement reflects Zurich's willingness and capacity to take risks in pursuit of value creation and sets boundaries within which the businesses act. Zurich protects its capital, liquidity, earnings and reputation by monitoring that risks are taken within agreed risk appetite levels and tolerance limits. The Group regularly assesses and, as far as possible, quantifies material risks to which it is exposed.

The Zurich Risk Policy sets the principles and approach for effective risk management throughout the Group. The policy describes the Group's Enterprise Risk Management Framework and provides a standardized set of risk types. Risk-specific policy manuals provide requirements and procedures to implement the principles in the Zurich Risk Policy.