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Commission Delegated Regulation (EU) 2015/35Show full title
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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- Revised 30/07/202048.27 MB
- Revised 01/01/202048.00 MB
- Revised 08/07/201944.91 MB
- Revised 01/01/201946.16 MB
- Revised 15/09/201740.90 MB
- Revised 09/04/201746.19 MB
- Revised 02/04/201646.19 MB
- Revised 17/01/201539.54 MB
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Changes over time for: Division D.
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Commission Delegated Regulation (EU) 2015/35, Division D. is up to date with all changes known to be in force on or before 21 October 2024. There are changes that may be brought into force at a future date. Changes that have been made appear in the content and are referenced with annotations.
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D. Integration technique 3 U.K.
(1)The Basic Solvency Capital Requirement shall be equal to the following:U.K.
where:
(a)
SS denotes the capital requirement derived by applying the standard formula for the Basic Solvency Capital Requirement only to the risks not covered by the partial internal model;
(b)
ω 1 denotes the first implied correlation parameter as set out in paragraph 2;
(c)
Pc denotes the capital requirement reflecting the risks that are both within the scope of the standard formula and the partial internal model, calculated with the partial internal model;
(d)
ω 2 denotes the second implied correlation parameter as set out in paragraph 3;
(e)
Ps is the capital requirement reflecting the risks within the scope of the partial internal model but not within the scope of the standard formula, calculated with the partial internal model;
(f)
P denotes the capital requirement reflecting the risks that are within the scope of the partial internal model, calculated with the partial internal model.
(g)
SCRint denotes the capital requirement for intangible asset risk as set out in Article 203.
(2)The first implied correlation parameter shall be equal to the following:U.K.
where:
(a)
S denotes the capital requirement calculated in the same way as the Basic Solvency Capital Requirement by means of the standard formula, but where capital requirements for modules or sub-modules are replaced by capital requirements for those modules or sub-modules that are calculated with the partial internal model where possible;
(b)
SC denotes the capital requirement derived by applying the standard formula for the Basic Solvency Capital Requirement only to the risks that are within the scope of the standard formula and the partial internal model, but where the capital requirements for the modules and sub-modules are replaced by capital requirements for those modules or sub-modules that are calculated with the partial internal model;
(c)
SS is defined as in paragraph 1(a);
(d)
d 1 is equal to 1 where SS or SC are zero and equal to zero where SS and SC are different from zero.
(3)The second implied correlation parameter shall be equal to the following:U.K.
where ω 1 is as defined in paragraph 2 and ω 3 is the third implied correlation parameter as set out in paragraph 4.
(4)The third implied correlation parameter shall be equal to the following:U.K.
where:
(a)
P, Ps and Pc are as defined in paragraph 1;
(b)
d 2 is equal to 1 where Ps or Pc are zero and equal to zero where Ps and Pc are different from zero.
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