1. The health underwriting risk module shall consist of all of the following sub-modules:
the NSLT health insurance underwriting risk sub-module;
the SLT health insurance underwriting risk sub-module;
the health catastrophe risk sub-module.
2. The capital requirement for health underwriting risk shall be equal to the following:
\mathrm{SCR}_{\mathrm{health}} = \sqrt{\sum_{\mathrm{i,j}} \mathrm{CorrH}_{(\mathrm{i,j})} \cdot \mathrm{SCR}_{\mathrm{i}} \cdot \mathrm{SCR}_{\mathrm{j}}}
where:
the sum covers all possible combinations (i,j) of the sub-modules set out in paragraph 1;
CorrH(i,j)denotes the correlation parameter for health underwriting risk for sub-modulesiandj;
SCRiandSCRjdenote the capital requirements for risk sub-moduleiandjrespectively.
3. The correlation coefficient CorrH(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 | NSLT health underwriting | SLT health underwriting | Health catastrophe |
NSLT health underwriting | 1 | 0,5 | 0,25 |
SLT health underwriting | 0,5 | 1 | 0,25 |
Health catastrophe | 0,25 | 0,25 | 1 |
4. Insurance and reinsurance undertakings shall apply:
the NSLT health underwriting risk sub-module to health insurance and reinsurance obligations included in lines of business 1, 2, 3, 13, 14, 15 and 25 as set out in Annex I;
the SLT health underwriting risk sub-module to health insurance and reinsurance obligations included in lines of business 29, 33 and 35 as set out in Annex I;
the health catastrophe risk sub-module to health insurance and reinsurance obligations.