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Directive 2009/138/EC of the European Parliament and of the CouncilShow full title
Directive 2009/138/EC of the European Parliament and of the Council of 25 November 2009 on the taking-up and pursuit of the business of Insurance and Reinsurance (Solvency II) (recast) (Text with EEA relevance)
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- Revised 19/12/20132.57 MB
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Changes over time for: ANNEX IV
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ANNEX IVU.K.SOLVENCY CAPITAL REQUIREMENT (SCR) STANDARD FORMULA
1.Calculation of the Basic Solvency Capital RequirementU.K.
The Basic Solvency Capital Requirement set out in Article 104(1) shall be equal to the following:
where SCRi denotes the risk module i and SCRj denotes the risk module j, and where ‘i,j’ means that the sum of the different terms should cover all possible combinations of i and j. In the calculation, SCRi and SCRj are replaced by the following:
SCR non-life denotes the non-life underwriting risk module,
SCR life denotes the life underwriting risk module,
SCR health denotes the health underwriting risk module,
SCR market denotes the market risk module,
SCR default denotes the counterparty default risk module,
The factor Corr i,j denotes the item set out in row i and in column j of the following correlation matrix:
| ji | Market | Default | Life | Health | Non-life |
|---|---|---|---|---|---|
| Market | 1 | 0,25 | 0,25 | 0,25 | 0,25 |
| Default | 0,25 | 1 | 0,25 | 0,25 | 0,5 |
| Life | 0,25 | 0,25 | 1 | 0,25 | 0 |
| Health | 0,25 | 0,25 | 0,25 | 1 | 0 |
| Non-life | 0,25 | 0,5 | 0 | 0 | 1 |
2.Calculation of the non-life underwriting risk moduleU.K.
The non-life underwriting risk module set out in Article 105(2) shall be equal to the following:
where SCRi denotes the sub-module i and SCRj denotes the sub-module j, and where ‘i,j’ means that the sum of the different terms should cover all possible combinations of i and j. In the calculation, SCRi and SCRj are replaced by the following:
SCR nl premium and reserve denotes the non-life premium and reserve risk sub-module,
SCR nl catastrophe denotes the non-life catastrophe risk sub-module,
3.Calculation of the life underwriting risk moduleU.K.
The life underwriting risk module set out in Article 105(3) shall be equal to the following:
where SCRi denotes the sub-module i and SCRj denotes the sub-module j, and where ‘i,j’ means that the sum of the different terms should cover all possible combinations of i and j. In the calculation, SCRi and SCRj are replaced by the following:
SCR mortality denotes the mortality risk sub-module,
SCR longevity denotes the longevity risk sub-module,
SCR disability denotes the disability – morbidity risk sub-module,
SCR life expense denotes the life expense risk sub-module,
SCR revision denotes the revision risk sub-module,
SCR lapse denotes the lapse risk sub-module,
SCR life catastrophe denotes the life catastrophe risk sub-module,
4.Calculation of the market risk moduleU.K.
Structure of the market risk module
The market risk module, set out in Article 105(5) shall be equal to the following:
where SCRi denotes the sub-module i and SCRj denotes the sub-module j, and where ‘i,j’ means that the sum of the different terms should cover all possible combinations of i and j. In the calculation, SCRi and SCRj are replaced by the following:
SCR interest rate denotes the interest rate risk sub-module,
SCR equity denotes the equity risk sub-module,
SCR property denotes the property risk sub-module,
SCR spread denotes the spread risk sub-module,
SCR concentration denotes the market risk concentrations sub-module,
SCR currency denotes the currency risk sub-module,
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