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Commission Delegated Regulation (EU) 2015/35 of 10 October 2014 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)
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the data are representative for the revision risk that the insurance or reinsurance undertaking is exposed to during the following twelve months;
data are available for at least five consecutive financial years;
the annuity benefits are gross, without deduction of the amounts recoverable from reinsurance contracts and special purpose vehicles;
the annuity benefits shall include the expenses incurred in servicing the annuity obligations;
the data are consistent with the following assumptions about the stochastic nature of increases in the amount of annuity benefits:
the annual number of annuity increases follows a negative binomial distribution, including in the tail of the distribution;
the amount of an annuity increase follows a lognormal distribution, including in the tail of the distribution;
the annual number of annuity increases and the amounts of the annuity increase are mutually stochastically independent.
the financial years are denoted by consecutive numbers starting with 1 for the first financial year for which data are available;
T denotes the latest financial year for which data are available;
A(i,t) denotes the annuity benefits of beneficiary i in financial year t;
where:
c denotes the credibility factor set out in section G;
VaR 0,995(R) denotes the 99,5 % quantile of the distribution of annuity increases set out in paragraph 6;
S is equal to 3 % where the calculation is done for the purpose of the revision risk sub-module set out in Article 141 and equal to 4 % where the calculation is done for the purpose of the health revision risk sub-module set out in Article 158.
where:
where:
N denotes the annual number of annuity increases and follows a negative binominal distribution with an expected value that is equal to the estimated number of changes in annuity benefits set out in point (b) of paragraph 5 and with a standard deviation that is equal to the estimated standard deviation of the number of changes in annuity benefits set out in paragraph 7;
Xk denotes the amount of an annuity increase and follows a lognormal distribution with an expected value that is equal to the estimated average change in annuity benefits set out in point (a) of paragraph 5 and with a standard deviation that is equal to the estimated standard deviation of changes in annuity benefits set out in paragraph 8;
the annual number of annuity increases and the amounts of the annuity increase are mutually stochastically independent.
where:
where:
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