C _ Group Management Report The Group diversified risk is broken down as follows: Allianz Group: Allocated risk according to the risk profile (total portfolio before non-controlling interests) € mn Market risk Credit risk Underwriting risk Business risk Operational risk Diversification Total 1 1 1 1 1 1 1 As of 31 December 2021 2020 2021 2020 2021 2020 2021 2020 2021 2020 2021 2020 2021 2020 Property-Casualty 5,357 4,414 2,388 2,334 12,083 11,299 503 754 1,442 1,530 (6,291) (6,922) 15,482 13,409 Life/Health 18,578 20,760 2,727 3,234 619 652 3,370 2,294 1,424 1,446 (5,199) (4,510) 21,518 23,875 Corporate and Other 1,962 1,604 477 527 184 214 - - 438 363 (865) (583) 2,196 2,125 Total Group 25,896 26,778 5,592 6,095 12,887 12,165 3,872 3,048 3,304 3,339 (12,356) (12,015) 39,195 39,409 Tax (4,877) (5,816) Capital add-on 914 798 Third country equivalent 3,212 3,529 Sectoral requirement 2,761 2,650 Total Group 41,205 40,570 1_2020 risk profile figures adjusted based on the 2021 model changes impact. The following sections explain the evolution of our risk profile per Switzerland and France. Business evolution also contributed to a modeled risk category. All risks are presented on a pre-diversified basis higher risk capital, driven by the net earned premiums in the Property- and concentrations of single sources of risk are discussed accordingly. Casualty business segment and new business in the Life/Health As of 31 December 2021, the Group-diversified risk capital, which segment. Other effects such as model and assumptions updates and reflects our risk profile before considering non-controlling interests, a lower tax relief further contributed to the increment. This was amounted to € 41.2 bn (2020: € 40.6 bn). This represents a slight partially compensated by risk capital relief from market increase in the diversification benefit – before tax – of 0.8 % to 24.0 %. developments, especially the rise in interest rates. The € 0.6 bn increase in the Solvency II Capital Requirement was partially due to the net effect of management actions. In this context, the acquisition of new business in Poland (Aviva Poland), Australia (the The following table presents our group-wide risk figures related to general insurance business of Westpac), Italy (Aviva Italy S.p.A.), and market risks by business segment and source of risk. new equity investments led to higher capital requirements. These were partially compensated by risk mitigating measures such as life back book reinsurance transactions of Allianz Group companies in the U.S., Allianz Group: Risk profile – market risk by business segment and source of risk (total portfolio before tax and non-controlling interests) pre-diversified, € mn Interest rate Inflation Credit spread Equity Real estate Currency Total 1 1 1 1 1 1 1 As of 31 December 2021 2020 2021 2020 2021 2020 2021 2020 2021 2020 2021 2020 2021 2020 Property-Casualty (474) (469) (2,077) (2,518) 3,302 3,563 2,873 2,346 1,384 1,341 348 151 5,357 4,414 Life/Health 586 1,013 (706) (428) 7,767 10,678 9,330 7,950 1,759 1,601 (159) (53) 18,578 20,760 Corporate and Other 160 238 (371) (425) 306 424 1,572 1,127 126 121 170 119 1,962 1,604 Total Group 272 782 (3,154) (3,372) 11,375 14,665 13,775 11,423 3,270 3,063 359 218 25,896 26,778 Share of total Group pre-diversified risk 44.3 % 45.9 % 1_2020 risk profile figures adjusted based on the 2021 model changes impact. The Group’s total pre-diversified market risk decreased by € 0.9 bn, which was mainly driven by lower credit spread risk in the Life/Health business segment due to exposure reductions from back book transactions, rising interest rates and higher policyholder participations. The decrease in market risk was further supported by lower interest rate risk, mainly reflecting the relief from higher interest rates for the Life/Health business. These two relief effects for market risk were partially compensated by a rise in equity risk, together with a lower relief from inflation risk, and higher real estate and currency risks. The increase in equity and real estate risks mainly affected the Life/Health segment and was driven by stronger markets and additional equity investments. The changes in inflation risk are driven by diversification effects. 112 Annual Report 2021 − Allianz Group