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Article 151 - SLT health underwriting risk sub-module

Comparing 18/01/2015 → 02/04/2016: 0 added, 0 removed, 13 changed Close comparison

1. 1. The SLT health underwriting risk module shall consist of all of the following sub-modules:

(a)((a)) the health mortality risk sub-module;

(b)((b)) the health longevity risk sub-module;

(c)((c)) the health disability-morbidity risk sub-module;

(d)((d)) the health expense risk sub-module;

(e)((e)) the health revision risk sub-module;

(f)((f)) the SLT health lapse risk sub-module.

2. 2. The capital requirement for SLT health underwriting risk shall be equal to the following:

$$\mathrm{SCR}_{\mathrm{SLTh}} = \sqrt{\sum_{i,j}\sqrt{\sum_{\mathrm{i,j}} \mathrm{CorrSLTH}_{(i,j)}\mathrm{CorrSLTh}_{(\mathrm{i,j})} \cdot \mathrm{SCR}_{i}\mathrm{SCR}_{\mathrm{i}} \cdot \mathrm{SCR}_{j}}$$\mathrm{SCR}_{\mathrm{j}}}$$

where:

(a)((a)) the sum denotes all possible combinations (i,j) of the sub-modules set out in paragraph 1;

(b)((b)) CorrSLTH(i,j)denotesCorrSLTH_{(i,j)} denotes the correlation parameter for SLT health underwriting risk for sub-modulesiandj;sub-modules i and j;

(c)((c)) SCRiandSCRjdenoteSCR_{i} and SCR_{j} denote the capital requirements for risk sub-moduleiandjrespectively.sub-module i and j respectively.

3. 3. The correlation coefficient CorrSLTH_{(i,j)}CorrSLTH (i,j) referred to in paragraph 2 shall be equal to the item set out in row i and in column j of the following correlation matrix:

j i | Health mortality | Health longevity | Health disability-morbidity | Health expense | Health revision | SLT health lapse

Health mortality | 1 | – 0,25 | 0,25 | 0,25 | 0 | 0

Health longevity | – 0,25 | 1 | 0 | 0,25 | 0,25 | 0,25

Health disability-morbidity | 0,25 | 0 | 1 | 0,5 | 0 | 0

Health expense | 0,25 | 0,25 | 0,5 | 1 | 0,5 | 0,5

Health revision | 0 | 0,25 | 0 | 0,5 | 1 | 0

SLT health lapse | 0 | 0,25 | 0 | 0,5 | 0 | 1

Official text · consolidated version 02/04/2016 (no longer in force) Open full page ↗
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