1.The life underwriting risk module shall consist of all of the following sub-modules:
the mortality risk sub-module referred to in point (a) of subparagraph 2 of Article 105(3) of Directive 2009/138/EC;
the longevity risk sub-module referred to in point (b) of subparagraph 2 of Article 105(3) of Directive 2009/138/EC;
the disability-morbidity risk sub-module referred to in point (c) of subparagraph 2 of Article 105(3) of Directive 2009/138/EC;
the life-expense risk sub-module referred to in point (d) of subparagraph 2 of Article 105(3) of Directive 2009/138/EC;
the revision risk sub-module referred to in point (e) of subparagraph 2 of Article 105(3) of Directive 2009/138/EC;
the lapse risk sub-module referred to in point (f) of subparagraph 2 of Article 105(3) of Directive 2009/138/EC;
the life-catastrophe risk sub-module referred to in point (g) of subparagraph 2 of Article 105(3) of Directive 2009/138/EC.
2.The capital requirement for life underwriting risk shall be equal to the following:
\mathrm{SCR}_{\text{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 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 coefficient Corri,j referred to in point 3 of Annex IV of Directive 2009/138/EC shall be equal to the item set out in row i and in column j of the following correlation matrix:
j i | Mortality | Longevity | Disability | Life expense | Revision | Lapse | Life catastrophe |
Mortality | 1 | – 0,25 | 0,25 | 0,25 | 0 | 0 | 0,25 |
Longevity | – 0,25 | 1 | 0 | 0,25 | 0,25 | 0,25 | 0 |
Disability | 0,25 | 0 | 1 | 0,5 | 0 | 0 | 0,25 |
Life expense | 0,25 | 0,25 | 0,5 | 1 | 0,5 | 0,5 | 0,25 |
Revision | 0 | 0,25 | 0 | 0,5 | 1 | 0 | 0 |
Lapse | 0 | 0,25 | 0 | 0,5 | 0 | 1 | 0,25 |
Life catastrophe | 0,25 | 0 | 0,25 | 0,25 | 0 | 0,25 | 1 |