1.The SLT health underwriting risk module shall consist of all of the following sub-modules:
the health mortality risk sub-module;
the health longevity risk sub-module;
the health disability-morbidity risk sub-module;
the health expense risk sub-module;
the health revision risk sub-module;
the SLT health lapse risk sub-module.
2.The capital requirement for SLT health underwriting risk shall be equal to the following:
\mathrm{SCR}_{\mathrm{SLTh}} = \sqrt{\sum_{\mathrm{i,j}} \mathrm{CorrSLTh}_{(\mathrm{i,j})} \cdot \mathrm{SCR}_{\mathrm{i}} \cdot \mathrm{SCR}_{\mathrm{j}}}
where:
the sum denotes all possible combinations (i,j) of the sub-modules set out in paragraph 1;
CorrSLTH(i,j) denotes the correlation parameter for SLT health 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 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 |