Commission Delegated Regulation (EU) 2015/35Dangos y teitl llawn

[F1 F1. Non-proportional reinsurance method 1] U.K.

Input data and method-specific data requirements U.K.

(1) The data for estimating the undertaking-specific adjustment factor for non-proportional reinsurance shall consist of the ultimate claim amounts of insurance and reinsurance claims that were reported to the insurance or reinsurance undertaking in segment s during the last financial years, separately for each insurance and reinsurance claim. U.K.

(2) The following method-specific data requirements shall apply: U.K.

(a)

the data are representative for the premium risk that the insurance or reinsurance undertaking is exposed to during the following twelve months;

(b)

the data do not indicate a higher premium risk than reflected in the standard deviation for premium risk used to calculate the Solvency Capital Requirement;

(c)

the ultimate claim amounts are estimated in the year the insurance and reinsurance claims were reported;

(d)

data are available for at least five reporting years;

(e)

where the recognisable excess of loss reinsurance contract applies to gross claims, the ultimate claim amounts are gross;

(f)

where the recognisable excess of loss reinsurance contract applies to claims after deduction of the recoverables from certain other reinsurance contracts and special purpose vehicles, the amounts receivable from those certain other reinsurance contracts and special purpose vehicles are deducted from the ultimate claim amounts;

(g)

the ultimate claim amounts shall not include expenses incurred in servicing the insurance and reinsurance obligations;

(h)

the data are consistent with the assumption that ultimate claim amounts follow a lognormal distribution, including in the tail of the distribution.

Method specification U.K.

(3) For the purpose of paragraphs 4-7, the following notation shall apply: U.K.

(a)

insurance and reinsurance claims for which data are available are denoted by consecutive numbers starting with 1;

(b)

n denotes the number of insurance and reinsurance claim for which data are available;

(c)

Y_i denotes the ultimate claim amount of insurance or reinsurance claim i;

(d)

μ and ω denote the first and second moment, respectively, of the claim amount distribution, being equal to the following amounts:

and

(e)

b ₁ denotes the amount of the retention of the recognisable excess of loss reinsurance contract referred to in Article 218(2);

(f)

[F2 where the recognisable excess of loss reinsurance contract referred to in Article 218(2) provides compensation only up to a specified limit, b2 denotes the amount of that limit.]

Textual Amendments

F2 Substituted by Commission Delegated Regulation (EU) 2016/467 of 30 September 2015 amending Commission Delegated Regulation (EU) 2015/35 concerning the calculation of regulatory capital requirements for several categories of assets held by insurance and reinsurance undertakings (Text with EEA relevance).

(4) The undertaking-specific specific adjustment factor for non-proportional reinsurance shall be equal to the following: U.K.

where:

(a)

c denotes the credibility factor set out in section G;

(b)

NP′ denotes the estimated adjustment factor for non-proportional reinsurance set out in paragraph 5;

(c)

NP denotes the adjustment factor for non-proportional reinsurance set out in Article 117(2).

(5) The estimated adjustment factor for non-proportional reinsurance shall be equal to the following: U.K.

NP′ =	,	where paragraph 3(f) applies,
		else.

where the parameters μ ₂, ω ₁ and ω ₂ are set out in paragraph 6.

(6) The parameters, μ ₂, ω ₁ and ω ₂ shall be equal to the following: U.K.

• 
• 
• 

where:

(a)

N denotes the cumulative probability function of the normal distribution;

(b)

ln denotes the natural logarithm;

(c)

the parameters θ and η are equal to the following:

• 

• .

(7) Notwithstanding paragraph 5, where non-proportional reinsurance covers homogeneous risk-groups within a segment, the estimated adjustment factor for non-proportional reinsurance shall be equal to the following: U.K.

where:

(a)

V_(prem,h) denotes the volume measure for premium risk of the homogeneous risk group h determined in accordance with paragraph 3 of Article 116;

(b)

NP′_(h) denotes the estimated adjustment factor for non-proportional reinsurance of homogeneous risk group h determined in accordance with paragraph 5.

Textual Amendments

F1 Substituted by Commission Delegated Regulation (EU) 2019/981 of 8 March 2019 amending Delegated Regulation (EU) 2015/35 supplementing Directive 2009/138/EC of the European Parliament and of the Council on the taking-up and pursuit of the business of Insurance and Reinsurance (Solvency II) (Text with EEA relevance).