1. Calculation of the Basic Solvency Capital Requirement
The Basic Solvency Capital Requirement set out in Article 104(1) shall be equal to the following:
\mathrm{Basic\,SCR} = \sqrt{\sum_{i,j} \mathrm{Corr}_{i,j} \times \mathrm{SCR}_i \times \mathrm{SCR}_j}
where SCRi denotes the risk module i and SCRj denotes the risk module j, and where ‘i,j’ means that the sum of the different terms should cover all possible combinations of i and j. In the calculation, SCRi and SCRj are replaced by the following:
— SCR non-life denotes the non-life underwriting risk module,
— SCR life denotes the life underwriting risk module,
— SCR health denotes the health underwriting risk module,
— SCR market denotes the market risk module,
— SCR default denotes the counterparty default risk module,
The factor Corr i,j denotes the item set out in row i and in column j of the following correlation matrix:
j i | Market | Default | Life | Health | Non-life |
Market | 1 | 0,25 | 0,25 | 0,25 | 0,25 |
Default | 0,25 | 1 | 0,25 | 0,25 | 0,5 |
Life | 0,25 | 0,25 | 1 | 0,25 | 0 |
Health | 0,25 | 0,25 | 0,25 | 1 | 0 |
Non-life | 0,25 | 0,5 | 0 | 0 | 1 |
2. Calculation of the non-life underwriting risk module
The non-life underwriting risk module set out in Article 105(2) shall be equal to the following:
\mathrm{SCR}_{\text{non-life}} = \sqrt{\sum_{i,j} \mathrm{Corr}_{i,j} \times \mathrm{SCR}_{i} \times \mathrm{SCR}_{j}}
where SCRi denotes the sub-module i and SCRj denotes the sub-module j, and where ‘i,j’ means that the sum of the different terms should cover all possible combinations of i and j. In the calculation, SCRi and SCRj are replaced by the following:
— SCR nl premium and reserve denotes the non-life premium and reserve risk sub-module,
— SCR nl catastrophe denotes the non-life catastrophe risk sub-module,
3. Calculation of the life underwriting risk module
The life underwriting risk module set out in Article 105(3) shall be equal to the following:
\mathrm{SCR}_{\text{life}} = \sqrt{\sum_{i,j} \mathrm{Corr}_{i,j} \times \mathrm{SCR}_{i} \times \mathrm{SCR}_{j}}
where SCRi denotes the sub-module i and SCRj denotes the sub-module j, and where ‘i,j’ means that the sum of the different terms should cover all possible combinations of i and j. In the calculation, SCRi and SCRj are replaced by the following:
— SCR mortality denotes the mortality risk sub-module,
— SCR longevity denotes the longevity risk sub-module,
— SCR disability denotes the disability – morbidity risk sub-module,
— SCR life expense denotes the life expense risk sub-module,
— SCR revision denotes the revision risk sub-module,
— SCR lapse denotes the lapse risk sub-module,
— SCR life catastrophe denotes the life catastrophe risk sub-module,
4. Calculation of the market risk module
Structure of the market risk module
The market risk module, set out in Article 105(5) shall be equal to the following:
\mathrm{SCR}_{\text{market}} = \sqrt{\sum_{i,j} \mathrm{Corr}_{i,j} \times \mathrm{SCR}_{i} \times \mathrm{SCR}_{j}}
where SCRi denotes the sub-module i and SCRj denotes the sub-module j, and where ‘i,j’ means that the sum of the different terms should cover all possible combinations of i and j. In the calculation, SCRi and SCRj are replaced by the following:
— SCR interest rate denotes the interest rate risk sub-module,
— SCR equity denotes the equity risk sub-module,
— SCR property denotes the property risk sub-module,
— SCR spread denotes the spread risk sub-module,
— SCR concentration denotes the market risk concentrations sub-module,
— SCR currency denotes the currency risk sub-module,