Commission Delegated Regulation (EU) 2015/35Show full title

D. Reserve risk method 2 U.K.

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

(1) The data for estimating the undertaking-specific standard deviation for deviation for non-life reserve risk or NSLT health reserve risk of segment s shall consist of cumulative payment amounts for insurance or reinsurance claims in segment s (cumulative claims amounts), separately for each accident year and development year of the payments. U.K.

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

(a)

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

(b)

data are available for at least five consecutive accident years;

(c)

in the first accident year, data are available for at least five consecutive development years;

(d)

in the first accident year the cumulative payment amount of the last development year for which data are available includes all the payments of the accident year except an immaterial amount;

(e)

the number of consecutive accident years for which data are available is not less than the number of consecutive development years in the first accident year for which data are available;

(f)

the cumulative claims amounts are adjusted for amounts recoverable from reinsurance contracts and special purpose vehicles which are consistent with the reinsurance contracts and special purpose vehicles that are in place to provide cover for the following twelve months;

(g)

the cumulative claims amounts shall include the expenses incurred in servicing the insurance or reinsurance obligations;

(h)

the data are consistent with the following assumptions about the stochastic nature of cumulative claims amounts:

i.

cumulative claims amounts for different accident years are mutually stochastically independent;

ii.

for all accident years the implied incremental claim amounts are stochastically independent;

iii.

for all accident years the expected value of the cumulative claims amount for a development year is proportional to the cumulative claims amount for the preceding development year;

iv.

for all accident years the variance of the cumulative claims amount for a development year is proportional to the cumulative claims amount for the preceding development year.

For the purposes of point (d), a payment amount shall be considered to be material where ignoring it in the calculation of the undertaking-specific parameter could influence the decision-making or the judgement of the users of that information, including the supervisory authorities

Method specification U.K.

(3) For the purpose of paragraphs 4 and 5, the following notation shall apply: U.K.

(a)

the accident years are denoted by consecutive numbers starting with 0 for the first accident year for which data are available;

(b)

I denotes the latest accident year for which data are available;

(c)

J denotes the latest development year in the first accident year for which data are available;

(d)

C_(i,j) denotes the cumulative claims for accident year i and development year j.

(4) The undertaking-specific standard deviation for non-life reserve risk or NSLT health reserve risk of segment s shall be equal to the following: U.K.

where:

(a)

c denotes the credibility factor set out in section G;

(b)

MSEP denotes the mean squared error of prediction as specified in paragraph 5;

(c)

for all accident years and development years, denotes the cumulative claims estimate for the specific accident year i and development year j, being defined as follows:

where for all development years denotes for development factor estimate of the specific development year j, being defined as follows:

(d)

σ_(res,s) denotes the standard parameter for non-life reserve risk or NSLT health reserve risk of segment s.

(5) [F1 The mean squared error of prediction shall be equal to the following: U.K.

]

where:

(a)

for all accident years and development years, denotes the cumulative claim estimate in the specific accident year i and development year j, as set out in paragraph 4(c).

(b)

for all development years, S_j denotes for a specific development year j the following amount:

(c)

for all development years, S′_j denotes for a specific development year j the following amount:

(d)

for all development years, denotes for a specific development year j the following amount:

where:

(i)

denotes the development factor estimate of development year j as set out in paragraph 4(c);

(ii)

denotes the following amount:

	j = 0,…, (J – 2)
	j = (J – 1)

Textual Amendments

F1 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).