1.The non-life underwriting risk module shall consist of all of the following sub-modules:
the non-life premium and reserve risk sub-module referred to in point (a) of the third subparagraph of Article 105(2) of Directive 2009/138/EC;
the non-life catastrophe risk sub-module referred to in point (b) of the third subparagraph of Article 105(2) of Directive 2009/138/EC;
the non-life lapse risk sub-module.
2.The capital requirement for non-life underwriting risk shall be equal to the following:
\mathrm{SCR}_{\text{non-life}} = \sqrt{\sum_{i,j} \mathrm{CorrNL}_{(i,j)} \cdot \mathrm{SCR}_i \cdot \mathrm{SCR}_j}
where:
the sum covers all possible combinations (i,j) of the sub-modules set out in paragraph 1;
CorrNL(i,j) denotes the correlation parameter for non-life underwriting risk for sub-modules i and j;
SCRi and SCRj denote the capital requirements for risk sub-module i and j respectively.
3.The correlation parameter CorrNL(i,j) referred to in paragraph 2 denotes the item set out in row i and in column j of the following correlation matrix:
j i | Non-life premium and reserve | Non-life catastrophe | Non-life lapse |
Non-life premium and reserve | 1 | 0,25 | 0 |
Non-life catastrophe | 0,25 | 1 | 0 |
Non-life lapse | 0 | 0 | 1 |