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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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Medical expense insurance obligations where the underlying business is not pursued on a similar technical basis to that of life insurance, other than obligations included in the line of business 3.
Income protection insurance obligations where the underlying business is not pursued on a similar technical basis to that of life insurance, other than obligations included in the line of business 3.
Health insurance obligations which relate to accidents at work, industrial injury and occupational diseases and where the underlying business is not pursued on a similar technical basis to that of life insurance.
Insurance obligations which cover all liabilities arising out of the use of motor vehicles operating on land (including carrier's liability).
Insurance obligations which cover all damage to or loss of land vehicles (including railway rolling stock).
Insurance obligations which cover all damage or loss to sea, lake, river and canal vessels, aircraft, and damage to or loss of goods in transit or baggage irrespective of the form of transport. Insurance obligations which cover liabilities arising out of the use of aircraft, ships, vessels or boats on the sea, lakes, rivers or canals (including carrier's liability).
Insurance obligations which cover all damage to or loss of property other than those included in the lines of business 5 and 6 due to fire, explosion, natural forces including storm, hail or frost, nuclear energy, land subsidence and any event such as theft.
Insurance obligations which cover all liabilities other than those in the lines of business 4 and 6.
Insurance obligations which cover insolvency, export credit, instalment credit, mortgages, agricultural credit and direct and indirect suretyship.
Insurance obligations which cover legal expenses and cost of litigation.
Insurance obligations which cover assistance for persons who get into difficulties while travelling, while away from home or while away from their habitual residence.
Insurance obligations which cover employment risk, insufficiency of income, bad weather, loss of benefit, continuing general expenses, unforeseen trading expenses, loss of market value, loss of rent or revenue, indirect trading losses other than those mentioned above, other financial loss (non-trading) as well as any other risk of non-life insurance not covered by the lines of business 1 to 11.
The lines of business 13 to 24 shall include proportional reinsurance obligations which relate to the obligations included in lines of business 1 to 12 respectively.
Non-proportional reinsurance obligations relating to insurance obligations included in lines of business 1 to 3.
Non-proportional reinsurance obligations relating to insurance obligations included in lines of business 4 and 8.
Non-proportional reinsurance obligations relating to insurance obligations included in line of business 6.
Non-proportional reinsurance obligations relating to insurance obligations included in lines of business 5, 7 and 9 to 12.
Health insurance obligations where the underlying business is pursued on a similar technical basis to that of life insurance, other than those included in line of business 33.
Insurance obligations with profit participation other than obligations included in line of business 33 and 34.
Insurance obligations with index-linked and unit-linked benefits other than those included in lines of business 33 and 34.
Other life insurance obligations other than obligations included in lines of business 29 to 31, 33 and 34.
Reinsurance obligations which relate to the obligations included in lines of business 29 and 33.
Reinsurance obligations which relate to the obligations included in lines of business 30 to 32 and 34.
Textual Amendments
F1Substituted 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).
Modifications etc. (not altering text)
C1 Annex 2: power to amend and revoke conferred (31.12.2020) by The Solvency 2 and Insurance (Amendment, etc.) (EU Exit) Regulations 2019 (S.I. 2019/407), regs. 1(2), 4, Sch. 3 (as amended by S.I. 2020/1301, regs. 1, 3, Sch. para. 27(a) and S.I. 2020/1385, regs. 1(2), 54(2))
Segment | Lines of business, as set out in Annex I, that the segment consists of | Standard deviation for gross premium risk of the segment | Standard deviation for reserve risk of the segment | |
---|---|---|---|---|
1 | Motor vehicle liability insurance and proportional reinsurance | 4 and 16 | 10 % | 9 % |
2 | Other motor insurance and proportional reinsurance | 5 and 17 | 8 % | 8 % |
3 | Marine, aviation and transport insurance and proportional reinsurance | 6 and 18 | 15 % | 11 % |
4 | Fire and other damage to property insurance and proportional reinsurance | 7 and 19 | 8 % | 10 % |
5 | General liability insurance and proportional reinsurance | 8 and 20 | 14 % | 11 % |
6 | Credit and suretyship insurance and proportional reinsurance | 9 and 21 | 19 % | 17,2 % |
7 | Legal expenses insurance and proportional reinsurance | 10 and 22 | 8,3 % | 5,5 % |
8 | Assistance and its proportional reinsurance | 11 and 23 | 6,4 % | 22 % |
9 | Miscellaneous financial loss insurance and proportional reinsurance | 12 and 24 | 13 % | 20 % |
10 | Non-proportional casualty reinsurance | 26 | 17 % | 20 % |
11 | Non-proportional marine, aviation and transport reinsurance | 27 | 17 % | 20 % |
12 | Non-proportional property reinsurance | 28 | 17 % | 20 %] |
Modifications etc. (not altering text)
C2 Annex 3: power to amend and revoke conferred (31.12.2020) by The Solvency 2 and Insurance (Amendment, etc.) (EU Exit) Regulations 2019 (S.I. 2019/407), regs. 1(2), 4, Sch. 3 (as amended by S.I. 2020/1301, regs. 1, 3, Sch. para. 27(a) and S.I. 2020/1385, regs. 1(2), 54(2))
where:
each of the sums cover all the geographical regions set out in paragraph 8;
V(prem,r,s) denotes the volume measure for premium risk of the segment s and the region r;
V(res,r,s) denotes volume measure for reserve risk of the segment s and the region r.
Modifications etc. (not altering text)
C3 Annex 4: power to amend and revoke conferred (31.12.2020) by The Solvency 2 and Insurance (Amendment, etc.) (EU Exit) Regulations 2019 (S.I. 2019/407), regs. 1(2), 4, Sch. 3 (as amended by S.I. 2020/1301, regs. 1, 3, Sch. para. 27(a) and S.I. 2020/1385, regs. 1(2), 54(2))
The correlation parameter CorrS(s,t) referred to in Article 117(1) shall be equal to the item set out in row s and in column t of the following correlation matrix. The headings of the rows and columns denote the numbers of the segments set out Annex II:
t s | 1 | 2 | 3 | 4 | 5 | 6 | 7 | 8 | 9 | 10 | 11 | 12 |
---|---|---|---|---|---|---|---|---|---|---|---|---|
1 | 1 | 0,5 | 0,5 | 0,25 | 0,5 | 0,25 | 0,5 | 0,25 | 0,5 | 0,25 | 0,25 | 0,25 |
2 | 0,5 | 1 | 0,25 | 0,25 | 0,25 | 0,25 | 0,5 | 0,5 | 0,5 | 0,25 | 0,25 | 0,25 |
3 | 0,5 | 0,25 | 1 | 0,25 | 0,25 | 0,25 | 0,25 | 0,5 | 0,5 | 0,25 | 0,5 | 0,25 |
4 | 0,25 | 0,25 | 0,25 | 1 | 0,25 | 0,25 | 0,25 | 0,5 | 0,5 | 0,25 | 0,5 | 0,5 |
5 | 0,5 | 0,25 | 0,25 | 0,25 | 1 | 0,5 | 0,5 | 0,25 | 0,5 | 0,5 | 0,25 | 0,25 |
6 | 0,25 | 0,25 | 0,25 | 0,25 | 0,5 | 1 | 0,5 | 0,25 | 0,5 | 0,5 | 0,25 | 0,25 |
7 | 0,5 | 0,5 | 0,25 | 0,25 | 0,5 | 0,5 | 1 | 0,25 | 0,5 | 0,5 | 0,25 | 0,25 |
8 | 0,25 | 0,5 | 0,5 | 0,5 | 0,25 | 0,25 | 0,25 | 1 | 0,5 | 0,25 | 0,25 | 0,5 |
9 | 0,5 | 0,5 | 0,5 | 0,5 | 0,5 | 0,5 | 0,5 | 0,5 | 1 | 0,25 | 0,5 | 0,25 |
10 | 0,25 | 0,25 | 0,25 | 0,25 | 0,5 | 0,5 | 0,5 | 0,25 | 0,25 | 1 | 0,25 | 0,25 |
11 | 0,25 | 0,25 | 0,5 | 0,5 | 0,25 | 0,25 | 0,25 | 0,25 | 0,5 | 0,25 | 1 | 0,25 |
12 | 0,25 | 0,25 | 0,25 | 0,5 | 0,25 | 0,25 | 0,25 | 0,5 | 0,25 | 0,25 | 0,25 | 1 |
Modifications etc. (not altering text)
C4 Annex 5: power to amend and revoke conferred (31.12.2020) by The Solvency 2 and Insurance (Amendment, etc.) (EU Exit) Regulations 2019 (S.I. 2019/407), regs. 1(2), 4, Sch. 3 (as amended by S.I. 2020/1301, regs. 1, 3, Sch. para. 27(a) and S.I. 2020/1385, regs. 1(2), 54(2))
Modifications etc. (not altering text)
C5 Annex 6: power to amend and revoke conferred (31.12.2020) by The Solvency 2 and Insurance (Amendment, etc.) (EU Exit) Regulations 2019 (S.I. 2019/407), regs. 1(2), 4, Sch. 3 (as amended by S.I. 2020/1301, regs. 1, 3, Sch. para. 27(a) and S.I. 2020/1385, regs. 1(2), 54(2))
Modifications etc. (not altering text)
C6 Annex 7: power to amend and revoke conferred (31.12.2020) by The Solvency 2 and Insurance (Amendment, etc.) (EU Exit) Regulations 2019 (S.I. 2019/407), regs. 1(2), 4, Sch. 3 (as amended by S.I. 2020/1301, regs. 1, 3, Sch. para. 27(a) and S.I. 2020/1385, regs. 1(2), 54(2))
AT | BE | CH | CZ | FR | DE | HU | IT | BG | PL | RO | SI | SK | UK | |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
AT | 1,00 | 0,00 | 0,25 | 0,50 | 0,00 | 0,75 | 0,50 | 0,00 | 0,25 | 0,25 | 0,25 | 0,00 | 0,50 | 0,00 |
BE | 0,00 | 1,00 | 0,00 | 0,00 | 0,25 | 0,25 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 |
CH | 0,25 | 0,00 | 1,00 | 0,00 | 0,25 | 0,25 | 0,00 | 0,25 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 |
CZ | 0,50 | 0,00 | 0,00 | 1,00 | 0,00 | 0,50 | 0,25 | 0,00 | 0,00 | 0,75 | 0,25 | 0,00 | 0,75 | 0,00 |
FR | 0,00 | 0,25 | 0,25 | 0,00 | 1,00 | 0,25 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 |
DE | 0,75 | 0,25 | 0,25 | 0,50 | 0,25 | 1,00 | 0,25 | 0,00 | 0,00 | 0,75 | 0,25 | 0,00 | 0,25 | 0,00 |
HU | 0,50 | 0,00 | 0,00 | 0,25 | 0,00 | 0,25 | 1,00 | 0,00 | 0,25 | 0,25 | 0,50 | 0,00 | 0,25 | 0,00 |
IT | 0,00 | 0,00 | 0,25 | 0,00 | 0,00 | 0,00 | 0,00 | 1,00 | 0,00 | 0,00 | 0,00 | 0,25 | 0,00 | 0,00 |
BG | 0,25 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,25 | 0,00 | 1,00 | 0,00 | 0,50 | 0,00 | 0,00 | 0,00 |
PL | 0,25 | 0,00 | 0,00 | 0,75 | 0,00 | 0,75 | 0,25 | 0,00 | 0,00 | 1,00 | 0,25 | 0,00 | 0,25 | 0,00 |
RO | 0,25 | 0,00 | 0,00 | 0,25 | 0,00 | 0,25 | 0,50 | 0,00 | 0,50 | 0,25 | 1,00 | 0,00 | 0,25 | 0,00 |
SI | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,25 | 0,00 | 0,00 | 0,00 | 1,00 | 0,25 | 0,00 |
SK | 0,50 | 0,00 | 0,00 | 0,75 | 0,00 | 0,25 | 0,25 | 0,00 | 0,00 | 0,25 | 0,25 | 0,25 | 1,00 | 0,00 |
UK | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 1,00 |
Modifications etc. (not altering text)
C7 Annex 8: power to amend and revoke conferred (31.12.2020) by The Solvency 2 and Insurance (Amendment, etc.) (EU Exit) Regulations 2019 (S.I. 2019/407), regs. 1(2), 4, Sch. 3 (as amended by S.I. 2020/1301, regs. 1, 3, Sch. para. 27(a) and S.I. 2020/1385, regs. 1(2), 54(2))
a Except Guadeloupe, Martinique, the Collectivity of Saint Martin and Réunion | ||
Abbreviation of region r | Region r | Hail risk factor Q ( hail , r ) |
---|---|---|
AT | Republic of Austria | 0,08 % |
BE | Kingdom of Belgium | 0,03 % |
CZ | Czech Republic | 0,045 % |
CH | Swiss Confederation; Principality of Lichtenstein | 0,06 % |
FR | French Republic a ; Principality of Monaco; Principality of Andorra | 0,01 % |
DE | Federal Republic of Germany | 0,02 % |
IT | Italian Republic; Republic of San Marino; Vatican City State | 0,05 % |
LU | Grand Duchy of Luxembourg | 0,03 % |
NL | Kingdom of the Netherlands | 0,02 % |
ES | Kingdom of Spain | 0,01 % |
SI | Republic of Slovenia | 0,08 % |
AT | BE | CZ | FR | DE | IT | LU | NL | CH | SI | ES | |
---|---|---|---|---|---|---|---|---|---|---|---|
AT | 1,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 |
BE | 0,00 | 1,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,25 | 0,25 | 0,00 | 0,00 | 0,00 |
CZ | 0,00 | 0,00 | 1,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 |
FR | 0,00 | 0,00 | 0,00 | 1,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 |
DE | 0,00 | 0,00 | 0,00 | 0,00 | 1,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 |
IT | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 1,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 |
LU | 0,00 | 0,25 | 0,00 | 0,00 | 0,00 | 0,00 | 1,00 | 0,25 | 0,00 | 0,00 | 0,00 |
NL | 0,00 | 0,25 | 0,00 | 0,00 | 0,00 | 0,00 | 0,25 | 1,00 | 0,00 | 0,00 | 0,00 |
CH | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 1,00 | 0,00 | 0,00 |
SI | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 1,00 | 0,00 |
ES | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 1,00] |
Modifications etc. (not altering text)
C8 Annex 9: power to amend and revoke conferred (31.12.2020) by The Solvency 2 and Insurance (Amendment, etc.) (EU Exit) Regulations 2019 (S.I. 2019/407), regs. 1(2), 4, Sch. 3 (as amended by S.I. 2020/1301, regs. 1, 3, Sch. para. 27(a) and S.I. 2020/1385, regs. 1(2), 54(2))
[F1The risk zones of regions set out in annexes V-VIII as referred to in annexes X-XIII shall be equal to the postal code areas or administrative units in the following tables.]
The regions LU, MT, Guadeloupe, Martinique, St Martin and Reunion shall consist of only one zone.
Mappings of risk zones for the regions with only one risk zone which are part of another region
The regions Principality of Andorra, Principality of Lichtenstein, Principality of Monaco, Republic of San Marino and Vatican City State shall consist of only one zone each. The zones shall be mapped to the following regions:
Principality of Andorra | zone 9 of the region FR |
Principality of Lichtenstein | zone 19 of the region CH |
Principality of Monaco | zone 06 of the region FR |
Republic of San Marino | zone 47 of the region IT |
Vatican City State | zone 00 of the region IT |
For the purpose of this Annex, the following shall apply:
[F1The mapping of risk zones for the regions AT, CZ, CH, DE, HE, IT, NL, NO, PL, PT, ES and SK shall be based on the first 2 digits of the postal code;]
The mapping of risk zones for the regions BE and CY shall be based on the first digit of the postal code;
The mapping of risk zones for IE shall be based on the first 2 letters of the postal code;
The mapping of risk zones for UK shall be based on the first 2 letters of the postal code where the risk is located, with the exception of postal codes which have a digit in the second position. The risks in those postal codes postal codes which have a digit in the second position shall be mapped to zones identified by a 1-letter code.
The mapping of risk zones for the region SE shall be based on the numbers assigned to counties. ]
The mapping of risk zones for the region FI shall be based on the first 2 digits of the postal code. ]
Textual Amendments
F2Inserted 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).
The mapping of risk zones for the region FR shall be based on the first 2 digits of the postal code.
The mappings for the region SI shall be based on the 4 digits of the postal code.
The mapping of risk zones for the region DK shall be based on the first 2 digits of the postal code.
Risk Zone | Region | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
1 | 90 | 92 | 93 | 94 | 95 | 96 | 97 | 98 | 99 | |
2 | 69 | 74 | 75 | 76 | 77 | 78 | 79 | |||
3 | 80 | 82 | 83 | 84 | 85 | 86 | 87 | 88 | 89 | |
4 | 62 | 65 | 66 | 67 | 68 | 72 | ||||
5 | 60 | 61 | 63 | 64 | 70 | 71 | 73 | |||
6 | 50 | 52 | 53 | 54 | 55 | 56 | 57 | 58 | 59 | |
7 | 40 | 41 | 42 | 43 | 44 | 45 | ||||
8 | 46 | 47 | 48 | 49 | ||||||
9 | 30 | 31 | 32 | 33 | 34 | 35 | 36 | |||
10 | 10 | 11 | 12 | 13 | 14 | 15 | 16 | 17 | 18 | 19 |
20 | 21 | 22 | 23 | 24 | 25 | 26 | 27 | 28 | 29 | |
11 | 37 |
Modifications etc. (not altering text)
C9 Annex 10: power to amend and revoke conferred (31.12.2020) by The Solvency 2 and Insurance (Amendment, etc.) (EU Exit) Regulations 2019 (S.I. 2019/407), regs. 1(2), 4, Sch. 3 (as amended by S.I. 2020/1301, regs. 1, 3, Sch. para. 27(a) and S.I. 2020/1385, regs. 1(2), 54(2))
Textual Amendments
F3 Substituted by Commission Delegated Regulation (EU) 2020/442 of 17 December 2019 correcting 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).
Modifications etc. (not altering text)
C10 Annex 11: power to amend and revoke conferred (31.12.2020) by The Solvency 2 and Insurance (Amendment, etc.) (EU Exit) Regulations 2019 (S.I. 2019/407), regs. 1(2), 4, Sch. 3 (as amended by S.I. 2020/1301, regs. 1, 3, Sch. para. 27(a) and S.I. 2020/1385, regs. 1(2), 54(2))
i | Liability risk group i | Risk factor f(liability,i) |
---|---|---|
1 | Professional malpractice liability insurance and proportional reinsurance obligations other than professional malpractice liability insurance and reinsurance for self-employed craftspersons or artisans | 100 % |
2 | Employers liability insurance and proportional reinsurance obligations | 160 % |
3 | Directors and officers liability insurance and proportional reinsurance obligations | 160 % |
4 | Liability insurance and reinsurance obligations included in lines of business 8 and 20 as set out in Annex I, other than obligations included in liability risk groups 1 to 3 and other than personal liability insurance and proportional reinsurance and other than professional malpractice liability insurance and reinsurance for self-employed craftspersons or artisans | 100 % |
5 | Non-proportional reinsurance of obligations relating to insurance obligations included in line of business 8 as set out in Annex I | 210 % |
For the purpose of the above table, the following definitions shall apply:
Professional malpractice liability insurance obligations mean liability insurance obligations included in line of business 8 as set out in Annex I which cover liabilities arising out of professional practice in relation to clients and patients;
Employers liability insurance obligations mean liability insurance obligations included in line of business 8 as set out in Annex I which cover liabilities of employers arising out of death, illness, accident, disability or infirmity of an employee in the course of the employment;
Directors and officers insurance obligations mean liability insurance obligations included in line of business 8 as set out in Annex I which cover liabilities of directors and officers of a company, arising out of the management of that company, or losses of the company itself to the extent it indemnifies its directors and officers in relation to such liabilities.
Personal liability insurance obligations mean liability insurance obligations included in line of business 8 as set out in Annex I which cover liabilities of natural persons in their capacity of private householders.
j i | 1 | 2 | 3 | 4 | 5 |
---|---|---|---|---|---|
1 | 1 | 0 | 0,5 | 0,25 | 0,5 |
2 | 0 | 1 | 0 | 0,25 | 0,5 |
3 | 0,5 | 0 | 1 | 0,25 | 0,5 |
4 | 0,25 | 0,25 | 0,25 | 1 | 0,5 |
5 | 0,5 | 0,5 | 0,5 | 0,5 | 1 |
Modifications etc. (not altering text)
C11 Annex 12: power to amend and revoke conferred (31.12.2020) by The Solvency 2 and Insurance (Amendment, etc.) (EU Exit) Regulations 2019 (S.I. 2019/407), regs. 1(2), 4, Sch. 3 (as amended by S.I. 2020/1301, regs. 1, 3, Sch. para. 27(a) and S.I. 2020/1385, regs. 1(2), 54(2))
i | Group of insurance and reinsurance obligations i | Risk factor ci |
---|---|---|
1 | Insurance and reinsurance obligations included in lines of business 6 and 18 as set out in Annex I other than marine insurance and reinsurance and aviation insurance and reinsurance | 100 % |
2 | Reinsurance obligations included in line of business 27 as set out in Annex I other than marine reinsurance and aviation reinsurance | 250 % |
3 | Insurance and reinsurance obligations included in lines of business 12 and 24 as set out in Annex I, other than extended warranty insurance and reinsurance obligations provided that the portfolio of these obligations is highly diversified and these obligation do not cover the costs of product recalls | 40 % |
4 | Reinsurance obligations included in line of business 26 as set out in Annex I other than general liability reinsurance | 250 % |
5 | Non-proportional reinsurance obligations relating to insurance obligations included in lines of business 9 and 21 as set out in Annex I | 250 % |
For the purpose of group 3, ‘extended warranty insurance obligation’ means insurance obligations which cover the cost of repair or replacement in the event of a breakdown of a consumer good used by the individuals in a private capacity and which may also provide additional cover against eventualities such as accidental damage, loss or theft and assistance in setting up, maintaining and operating the good.
Modifications etc. (not altering text)
C12 Annex 13: power to amend and revoke conferred (31.12.2020) by The Solvency 2 and Insurance (Amendment, etc.) (EU Exit) Regulations 2019 (S.I. 2019/407), regs. 1(2), 4, Sch. 3 (as amended by S.I. 2020/1301, regs. 1, 3, Sch. para. 27(a) and S.I. 2020/1385, regs. 1(2), 54(2))
Member States of the European Union
Principality of Andorra
Republic of Iceland
Principality of Lichtenstein
Principality of Monaco
Kingdom of Norway
Republic of San Marino
Swiss Confederation
Vatican City State
[F4the United Kingdom]
Textual Amendments
F4 Words in Annex 13 inserted (31.12.2020) by The Solvency 2 and Insurance (Amendment, etc.) (EU Exit) Regulations 2019 (S.I. 2019/407), regs. 1(2), 11(98) (as amended by S.I. 2020/1385, regs. 1(2), 54(2) and with savings in S.I. 2019/680, reg. 11)
Modifications etc. (not altering text)
C13 Annex 14: power to amend and revoke conferred (31.12.2020) by The Solvency 2 and Insurance (Amendment, etc.) (EU Exit) Regulations 2019 (S.I. 2019/407), regs. 1(2), 4, Sch. 3 (as amended by S.I. 2020/1301, regs. 1, 3, Sch. para. 27(a) and S.I. 2020/1385, regs. 1(2), 54(2))
Segment | Lines of business, as set out in Annex I, that the segment consists of | Standard deviation for gross premium risk of the segment | Standard deviation for reserve risk of the segment | |
---|---|---|---|---|
1 | Medical expense insurance and proportional reinsurance | 1 and 13 | 5 % | 5,7 % |
2 | Income protection insurance and proportional reinsurance | 2 and 14 | 8,5 % | 14 % |
3 | Workers' compensation insurance and proportional reinsurance | 3 and 15 | 9,6 % | 11 % |
4 | Non-proportional health reinsurance | 25 | 17 % | 17 %] |
Modifications etc. (not altering text)
C14 Annex 15: power to amend and revoke conferred (31.12.2020) by The Solvency 2 and Insurance (Amendment, etc.) (EU Exit) Regulations 2019 (S.I. 2019/407), regs. 1(2), 4, Sch. 3 (as amended by S.I. 2020/1301, regs. 1, 3, Sch. para. 27(a) and S.I. 2020/1385, regs. 1(2), 54(2))
The correlation parameter CorrHS(s,t) referred to in Article 148(1) shall be equal to the item set out in row s and in column t of the following correlation matrix. The headings of the rows and columns denote the numbers of the segments set out Annex XIV:
t s | 1 | 2 | 3 | 4 |
---|---|---|---|---|
1 | 1 | 0,5 | 0,5 | 0,5 |
2 | 0,5 | 1 | 0,5 | 0,5 |
3 | 0,5 | 0,5 | 1 | 0,5 |
4 | 0,5 | 0,5 | 0,5 | 1 |
Modifications etc. (not altering text)
C15 Annex 16: power to amend and revoke conferred (31.12.2020) by The Solvency 2 and Insurance (Amendment, etc.) (EU Exit) Regulations 2019 (S.I. 2019/407), regs. 1(2), 4, Sch. 3 (as amended by S.I. 2020/1301, regs. 1, 3, Sch. para. 27(a) and S.I. 2020/1385, regs. 1(2), 54(2))
Event type e | x e — Ratio of persons which will be affected by event type e as the result of the accident |
---|---|
Death caused by an accident | 10 % |
Permanent disability caused by an accident | 3,5 % |
Disability that lasts 12 months caused by an accident | 16,5 % |
Medical treatment caused by an accident | 30 %] |
Healthcare utilisation type h | Hh — Ratio of persons with clinical symptoms which will utilise healthcare of type h |
---|---|
Hospitalisation | 1 % |
Consultation with a medical practitioner | 20 % |
No formal medical care sought | 79 % |
‘accident year’ means, with respect to a payment for an insurance or reinsurance claim, the year in which the insured event that gave rise to that claim took place;
‘development year’ means, with respect to a payment for an insurance or reinsurance claim, the difference between the year of that payment and the accident year of that payment.
‘reporting year’ means, with respect to a payment for an insurance or reinsurance claim, the year in which the insured event that gave rise to that claim was notified to the insurance or reinsurance undertaking;
‘financial year’ means, with respect to a payment for an insurance or reinsurance claim, the year in which this payment took place.
the payments made and the best estimates of the provision for claims outstanding in segment s after the first development year of the accident year of those claims (aggregated losses);
the premiums earned in segment s;
Those aggregated losses and earned premiums shall be available separately for each accident year of the insurance and reinsurance claims in segment s.
the data are representative for the premium risk that the insurance or reinsurance undertaking is exposed to during the following twelve months;
data are available for at least five consecutive accident years;
[F5where the premium risk method is applied to replace the standard parameters referred to in Article 218(1)(a)(ii) and (c)(ii), the aggregated losses and earned premiums are not adjusted for recoverable from reinsurance contracts and special purpose vehicles or reinsurance premiums;]
[F5where the premium risk method is applied to replace the standard parameters referred to in Article 218(1)(a)(i) and (c)(i):]
the aggregated losses 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;
the earned premiums are adjusted for reinsurance premiums which are consistent with the reinsurance contracts and special purpose vehicles that are in place to provide cover for the following twelve months;
the aggregated losses are adjusted for catastrophe claims to the extent that the risk of those claims is reflected in the non-life or health catastrophe risk sub-modules;
the aggregated losses include the expenses incurred in servicing the insurance and reinsurance obligations;
the data fit the following assumptions:
expected aggregated losses in a particular segment and accident year are linear proportional in premiums earned in a particular accident year;
the variance of aggregated losses in a particular segment and accident year is quadratic in premiums earned in a particular accident year;
aggregated losses follow a lognormal distribution;
maximum likelihood estimation is appropriate.
Textual Amendments
F5Substituted 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).
accident years are denoted by consecutive numbers starting with 1 for the first accident year for which data are available;
T denotes the latest accident year for which data are available;
for all accident years, the aggregated losses in segment s in a particular accident year t are denoted by yt ;
for all accident years, the premiums earned in segment s in a particular accident year t are denoted by xt .
where:
c denotes the credibility factor set out in section G;
σ(prem,s) denotes the standard parameter that should be replaced by the undertaking-specific parameter.
where:
where:
For the determination of the minimal amount, no values for the mixing parameter less than zero or exceeding 1 shall be considered.
the sum of the best estimate provision at the end of the financial year for claims that were outstanding in segment s at the beginning of the financial year and the payments made during the financial year for claims that were outstanding in segment s at the beginning of the financial year;
the best estimate of the provision for claims outstanding in segment s at the beginning of the financial year.
The amounts referred to in points (a) and (b) shall be available separately for different financial years.
the data are representative for the reserve 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 data 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;
the data include the expenses incurred in servicing the insurance and reinsurance obligations.
the data fit the following assumptions:
the amount referred to paragraph 1(a) in that particular segment and financial year is linear proportional in the best estimate of the provision for claims outstanding in that particular segment and financial year;
the variance of the amount referred to paragraph 1(a) in a particular segment and financial year is quadratic in the provision for claims outstanding in a particular segment and financial year;
the amount referred to paragraph 1(a) follows a lognormal distribution;
maximum likelihood estimation is appropriate.
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;
for all financial years, the amount referred to paragraph 1(a) in segment s in a particular financial year t is denoted by yt ;
for all financial years, the best estimate of the provision for claims outstanding in segment s in a particular financial year t are denoted by xt .
where:
c denotes the credibility factor set out in section G;
σ(prem,s) denotes the standard parameter that should be replaced by the undertaking-specific parameter.
where:
where:
For the determination of the minimal amount, no values for the mixing parameter less than zero or exceeding 1 shall be considered.
the data are representative for the reserve risk that the insurance or reinsurance undertaking is exposed to during the following twelve months;
data are available for at least five consecutive accident years;
in the first accident year, data are available for at least five consecutive development years;
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;
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;
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;
the cumulative claims amounts shall include the expenses incurred in servicing the insurance or reinsurance obligations;
the data are consistent with the following assumptions about the stochastic nature of cumulative claims amounts:
cumulative claims amounts for different accident years are mutually stochastically independent;
for all accident years the implied incremental claim amounts are stochastically independent;
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;
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
the accident years are denoted by consecutive numbers starting with 0 for the first accident year for which data are available;
I denotes the latest accident year for which data are available;
J denotes the latest development year in the first accident year for which data are available;
C(i,j) denotes the cumulative claims for accident year i and development year j.
where:
c denotes the credibility factor set out in section G;
MSEP denotes the mean squared error of prediction as specified in paragraph 5;
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:
σ(res,s) denotes the standard parameter for non-life reserve risk or NSLT health reserve risk of segment s.
where:
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:
the data are representative for the premium risk that the insurance or reinsurance undertaking is exposed to during the following twelve months;
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;
the ultimate claim amounts are estimated in the year the insurance and reinsurance claims were reported;
data are available for at least five reporting years;
where the recognisable excess of loss reinsurance contract applies to gross claims, the ultimate claim amounts are gross;
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;
the ultimate claim amounts shall not include expenses incurred in servicing the insurance and reinsurance obligations;
the data are consistent with the assumption that ultimate claim amounts follow a lognormal distribution, including in the tail of the distribution.
insurance and reinsurance claims for which data are available are denoted by consecutive numbers starting with 1;
n denotes the number of insurance and reinsurance claim for which data are available;
Yi denotes the ultimate claim amount of insurance or reinsurance claim i;
μ and ω denote the first and second moment, respectively, of the claim amount distribution, being equal to the following amounts:
b 1 denotes the amount of the retention of the recognisable excess of loss reinsurance contract referred to in Article 218(2);
[F5where 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.]
where:
c denotes the credibility factor set out in section G;
NP′ denotes the estimated adjustment factor for non-proportional reinsurance set out in paragraph 5;
NP denotes the adjustment factor for non-proportional reinsurance set out in Article 117(2).
where the parameters μ 2, ω 1 and ω 2 are set out in paragraph 6.
where:
where:
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;
NP′(h) denotes the estimated adjustment factor for non-proportional reinsurance of homogeneous risk group h determined in accordance with paragraph 5.
The data for estimating the undertaking-specific adjustment factor for non-proportional reinsurance shall consist of the aggregated annual losses of insurance and reinsurance claims that were reported to the insurance or reinsurance undertaking in segment s during the last financial years.
The following method-specific data requirements shall apply:
the data are representative for the premium risk that the insurance or reinsurance undertaking is exposed to during the following 12 months;
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;
the aggregated annual losses are estimated in the year the insurance and reinsurance claims were reported;
data are available for at least five reporting years;
where the recognisable stop loss reinsurance contract applies to gross claims, the aggregated annual losses are gross;
where the recognisable stop 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 aggregated annual losses;
the aggregated annual losses shall not include expenses incurred in servicing the insurance and reinsurance obligations;
the data are consistent with the assumption that aggregated annual losses follow a lognormal distribution, including in the tail of the distribution.
For the purpose of paragraphs 4-7, the following notation shall apply:
n denotes the number of financial years for which aggregated annual losses data is available;
Y i denotes the aggregated losses in financial year i ;
μ and ω denote the first and second moment, respectively, of the aggregated annual losses distribution, being equal to the following amounts:
b 1 denotes the amount of the retention of the recognisable stop loss reinsurance contract referred to in Article 218(2);
where the recognisable stop loss reinsurance contract referred to in Article 218(2) provides compensation only up to a specified limit, b 2 denotes the amount of that limit.
The undertaking-specific specific adjustment factor for non-proportional reinsurance shall be equal to the following:
NP USP = c · NP′ + (1 – c ) · NP
where:
c denotes the credibility factor set out in section G;
NP′ denotes the estimated adjustment factor for non-proportional reinsurance set out in paragraph 5;
NP denotes the adjustment factor for non-proportional reinsurance set out in Article 117(2).
The estimated adjustment factor for non-proportional reinsurance shall be equal to the following:
where the parameters μ 1 , μ 2 , ω 1 and ω 2 are set out in paragraph 6.
The parameters μ 1 , μ 2 , ω 1 and ω 2 shall be equal to the following:
where:
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:
where:
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;
NP′ ( h ) denotes the estimated adjustment factor for non-proportional reinsurance of homogeneous risk group h determined in accordance with paragraph 5.]
Time lengths in years | Credibility factor c |
---|---|
5 | 34 % |
6 | 43 % |
7 | 51 % |
8 | 59 % |
9 | 67 % |
10 | 74 % |
11 | 81 % |
12 | 87 % |
13 | 92 % |
14 | 96 % |
15 and larger | 100 % |
Time lengths in years | Credibility factor c |
---|---|
5 | 34 % |
6 | 51 % |
7 | 67 % |
8 | 81 % |
9 | 92 % |
10 and larger | 100 % |
for the premium risk method, the number of accident years for which data are available;
for reserve risk method 1, the number of financial years for which data are available;
for reserve risk method 2, the number of accident years for which data are available;
for the revision risk method, the number of financial years for which data are available;
for the non-proportional reinsurance method, the number of reporting years for which data are available.
‘unit of the partial internal model’ is a component of the partial internal model that is separately calculated and not aggregated within the partial internal model;
the Basic Solvency Capital Requirements as laid down in sections C to F;
the capital requirement for operational risk as laid down in Article 107 of Directive 2009/138/EC, where that capital requirement is not within the scope of the partial internal model, and calculated with the partial internal model, where that capital requirement is within the scope of the partial internal model;
the adjustment for the loss-absorbing capacity of technical provisions and deferred taxes, as laid down in paragraph 3, where that adjustment is not within the scope of the partial internal model, and calculated with the partial internal model where that adjustment is within the scope of the partial internal model.
the Basic Solvency Capital Requirement referred to in Articles 206(1) and (2) and 207(1) is calculated in accordance with sections B to F;
points (a) to (d) of Article 206(2) apply only to calculations with the standard formula;
for the purposes of Article 206(2) the capital requirements used in the calculation of the Basic Solvency Capital Requirement that are calculated with the partial internal take into account the risk-mitigating effect provided by future discretionary benefits of insurance contracts;
the capital requirement for operational risk referred to in Article 207(1)(c) is calculated in accordance with paragraph 2(b).
The Basic Solvency Capital Requirement shall be equal to the sum of the capital requirements for the units of the partial internal model, the capital requirement derived by applying the standard formula for the Basic Solvency Capital Requirement only to the risks that are out of the scope of the partial internal model and the capital requirement for intangible asset risk as set out in Article 203.
where:
the sum covers all possible combinations (i,j) of the aggregation list set out in paragraph 2;
Corr(i,j) denotes the correlation parameter, for items i and j of the aggregation list;
SCRi and SCRj denote the capital requirements for the items i and j of the aggregation list respectively;
SCRint denotes the capital requirement for intangible asset risk as set out in Article 203.
they shall cover each of the units of the partial internal model;
[F5they include each of the following sub-modules of the standard formula excluding those within the scope of the partial internal model:]
the sub-modules of the non-life underwriting risk module set out in Article 114(1);
the sub-modules of the life underwriting risk module set out in Article 105(3) of Directive 2009/138/EC;
the sub-modules of the health underwriting risk module set out in Article 151(1);
the sub-modules of the market risk module set out in Article 105(5) of Directive 2009/138/EC;
[F5they include the counterparty default risk module of the standard formula unless it is within the scope of the partial internal model.]
However, where none of the sub-modules of a module of the standard formula are within the scope of the partial internal module, the aggregation list shall include that module instead of its sub-modules.
for all items i and j from the aggregation list the correlation parameter Corr(i,j) shall not be less than – 1 and shall not exceed 1;
for all items i and j from the aggregation list the correlation parameters Corr(i,j) and Corr(j,i) shall be equal;
for all items i from the aggregation list the correlation parameter Corr(i,i) shall be equal to 1;
for any assignment of real numbers to the items of the aggregation list the following shall hold:
where:
the sum covers all possible combinations (i,j) of the aggregation list;
xi and xj are the numbers assigned to the items i and j, respectively, of the aggregation list;
where the items i and j from the aggregation list are modules of the standard formula, the correlation parameter Corr(i,j) shall be equal to the correlation parameter of the standard formula that is used to aggregate those two modules;
where the items i and j from the aggregation list are sub-modules of the same module of the standard formula, then the correlation parameter Corr(i,j) shall be equal to the correlation parameter of the standard formula that is used to aggregate those two sub-modules;
for all items i and j from the aggregation list the correlation parameter Corr(i,j) shall not be less than Corrmin (i,j) and shall not exceed Corrmax (i,j) , where Corrmin (i,j) and Corrmax (i,j) are appropriate lower and upper bounds selected by the undertaking.
Insurance and reinsurance undertakings shall choose the correlation parameters referred to in point (b) of paragraph 1 in such a way that no other set of correlation parameters that meets the requirements set out in points (a) to (g) results in a higher Solvency Capital Requirement, calculated in accordance with paragraph 1.
where:
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;
ω 1 denotes the first implied correlation parameter as set out in paragraph 2;
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;
ω 2 denotes the second implied correlation parameter as set out in paragraph 3;
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;
P denotes the capital requirement reflecting the risks that are within the scope of the partial internal model, calculated with the partial internal model.
SCRint denotes the capital requirement for intangible asset risk as set out in Article 203.
where:
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;
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;
SS is defined as in paragraph 1(a);
d 1 is equal to 1 where SS or SC are zero and equal to zero where SS and SC are different from zero.
where ω 1 is as defined in paragraph 2 and ω 3 is the third implied correlation parameter as set out in paragraph 4.
where:
P, Ps and Pc are as defined in paragraph 1;
d 2 is equal to 1 where Ps or Pc are zero and equal to zero where Ps and Pc are different from zero.
where:
P denotes the capital requirement reflecting the risks that are within the scope of the partial internal model, calculated with the partial internal model;
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;
k denotes the number of modules of the standard formula that are within the scope of the partial internal model;
n denotes the number of modules of the standard formula;
l denotes the number of modules of the standard formula for each of which the capital requirement can be calculated with the partial internal model;
Corr(i,j) denotes the correlation parameter of the standard formula for the aggregation of modules i and j;
Pi denotes the capital requirement for the module i of the standard formula, calculated with the partial internal model;
Si and Sj denote the capital requirement for modules i and j of the standard formula respectively which are calculated in the following way:
the module is calculated with the standard formula provided that the module does not consists of sub-modules;
the module is calculated in accordance with paragraph 2 provided that the module consist of sub-modules.
SCRint denotes the capital requirement for intangible asset risk as set out in Article 203.
P denotes the capital requirement reflecting the risks of the sub-modules of that particular module which are within the scope of the partial internal model, calculated with the partial internal model;
SS denotes the capital requirement derived by applying that particular module only to the risks not covered by the partial internal model;
k denotes the number of sub-modules of that particular module that are within the scope of the partial internal model;
n denotes the number of sub-modules of that particular module;
l denotes the number of sub-modules of that particular module for each of which the capital requirement can be calculated with the partial internal model;
Corr(i,j) denotes the correlation parameter of the standard formula for the aggregation of sub-modules i and j of that particular module;
Pi denotes the capital requirement for the sub-module i of that particular module, calculated with the partial internal model;
Si and Sj denote the capital requirement for sub-modules i and j of that particular module respectively which are calculated in the following way:
the sub-module is calculated with the standard formula provided that the sub-module does not consists of other sub-modules;
the sub-module is calculated in accordance with paragraph 3 provided that the sub-module consist of other sub-modules.
SCRint shall be set to zero.
P denotes the capital requirement reflecting the risks of the sub-modules of that particular sub-module which are within the scope of the partial internal model, calculated with the partial internal model;
SS denotes the capital requirement derived by applying that particular sub-module only to the risks not covered by the partial internal model;
k denotes the number of sub-modules of that particular sub-module that are within the scope of the partial internal model;
n denotes the number of sub-modules of that particular sub-module;
l denotes the number of sub-modules of that particular sub-module for each of which the a capital requirement can be calculated with the partial internal model;
Corr(i,j) denotes the correlation parameter of the standard formula for the aggregation of sub-modules i and j of that particular sub-module;
Pi denotes the capital requirement for the sub-module i of that particular sub-module, calculated with the partial internal model;
Si and Sj denote the capital requirement for sub-modules i and j of that particular sub-module respectively which are calculated in the following way:
the sub-module is calculated with the standard formula provided that the sub-module does not consists of other sub-modules;
the sub-module is calculated in accordance with this paragraph provided that the sub-module consist of other sub-modules.
SCRint shall be set to zero.
where:
P, SS , k, n, Corr(i,j) and SCRint are defined as in paragraph 1 of section E;
Si and Sj denote the capital requirement for modules i and j respectively of the standard formula which are calculated in the following way:
the module is calculated with the standard formula provided that the module does not consists of sub-modules;
the module is calculated in accordance with paragraph 2 provided that the module consist of sub-modules.
P, SS , k, n, Corr(i,j) and SCRint are defined as in paragraph 2 of section E;
Si and Sj denote the capital requirement for sub-modules i and j of that particular module respectively which are calculated in the following way:
the sub-module is calculated with the standard formula provided that the sub-module does not consists of other sub-modules;
the sub-module is calculated in accordance with paragraph 3 provided that the sub-module consist of other sub-modules.
P, SS , k, n, Corr(i,j) and SCRint are defined as in paragraph 3 of section E;
Si and Sj denote the capital requirement for sub-modules i and j of that particular module respectively which are calculated in the following way:
the sub-module is calculated with the standard formula provided that the sub-module does not consists of other sub-modules;
the sub-module is calculated in accordance with this paragraph provided that the sub-module consist of other sub-modules.
Modifications etc. (not altering text)
C16 Annex 19: power to amend and revoke conferred (31.12.2020) by The Solvency 2 and Insurance (Amendment, etc.) (EU Exit) Regulations 2019 (S.I. 2019/407), regs. 1(2), 4, Sch. 3 (as amended by S.I. 2020/1301, regs. 1, 3, Sch. para. 27(a) and S.I. 2020/1385, regs. 1(2), 54(2))
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Textual Amendments
F6 Annex 21 omitted (31.12.2020) by virtue of The Solvency 2 and Insurance (Amendment, etc.) (EU Exit) Regulations 2019 (S.I. 2019/407), regs. 1(2), 11(99) (as amended by S.I. 2020/1385, regs. 1(2), 54(2) and with savings in S.I. 2019/680, reg. 11)
Modifications etc. (not altering text)
C17 Annex 22: power to amend and revoke conferred (31.12.2020) by The Solvency 2 and Insurance (Amendment, etc.) (EU Exit) Regulations 2019 (S.I. 2019/407), regs. 1(2), 4, Sch. 3 (as amended by S.I. 2020/1301, regs. 1, 3, Sch. para. 27(a) and S.I. 2020/1385, regs. 1(2), 54(2))
The correlation parameter Corr(windstorm,r,i,j) referred to in Article 121(5) for region r shall be equal to the item set out in row i and in column j of the following correlation matrices. The headings of the rows and columns denote the region specific risk zones according to the numbers of the segments set out in Annex IX.
The correlation coefficients for the regions Grand Duchy of Luxembourg, Guadeloupe, Martinique, St Martin and Réunion shall be equal to 1.
j i | 1 | 2 | 3 | 4 | 5 | 6 | 7 | 8 | 9 |
---|---|---|---|---|---|---|---|---|---|
1 | 1,00 | 1,00 | 1,00 | 1,00 | 1,00 | 1,00 | 1,00 | 1,00 | 1,00 |
2 | 1,00 | 1,00 | 1,00 | 0,75 | 0,75 | 0,75 | 1,00 | 1,00 | 1,00 |
3 | 1,00 | 1,00 | 1,00 | 1,00 | 1,00 | 1,00 | 1,00 | 0,75 | 1,00 |
4 | 1,00 | 0,75 | 1,00 | 1,00 | 1,00 | 1,00 | 1,00 | 0,75 | 0,75 |
5 | 1,00 | 0,75 | 1,00 | 1,00 | 1,00 | 1,00 | 1,00 | 0,75 | 0,75 |
6 | 1,00 | 0,75 | 1,00 | 1,00 | 1,00 | 1,00 | 1,00 | 0,75 | 0,75 |
7 | 1,00 | 1,00 | 1,00 | 1,00 | 1,00 | 1,00 | 1,00 | 1,00 | 1,00 |
8 | 1,00 | 1,00 | 0,75 | 0,75 | 0,75 | 0,75 | 1,00 | 1,00 | 1,00 |
9 | 1,00 | 1,00 | 1,00 | 0,75 | 0,75 | 0,75 | 1,00 | 1,00 | 1,00 |
j i | 1 | 2 | 3 | 4 | 5 | 6 | 7 | 8 | 9 | 10 | 11 |
---|---|---|---|---|---|---|---|---|---|---|---|
1 | 1,00 | 1,00 | 0,75 | 0,50 | 0,50 | 0,50 | 0,50 | 0,25 | 0,50 | 0,50 | 0,25 |
2 | 1,00 | 1,00 | 1,00 | 0,75 | 0,75 | 0,75 | 0,75 | 0,50 | 0,75 | 0,50 | 0,25 |
3 | 0,75 | 1,00 | 1,00 | 1,00 | 1,00 | 0,75 | 0,75 | 0,75 | 1,00 | 0,75 | 0,50 |
4 | 0,50 | 0,75 | 1,00 | 1,00 | 1,00 | 1,00 | 0,75 | 0,75 | 0,75 | 0,75 | 0,50 |
5 | 0,50 | 0,75 | 1,00 | 1,00 | 1,00 | 1,00 | 1,00 | 0,75 | 0,75 | 0,75 | 0,50 |
6 | 0,50 | 0,75 | 0,75 | 1,00 | 1,00 | 1,00 | 1,00 | 1,00 | 1,00 | 1,00 | 0,75 |
7 | 0,50 | 0,75 | 0,75 | 0,75 | 1,00 | 1,00 | 1,00 | 1,00 | 1,00 | 1,00 | 0,75 |
8 | 0,25 | 0,50 | 0,75 | 0,75 | 0,75 | 1,00 | 1,00 | 1,00 | 0,75 | 1,00 | 0,75 |
9 | 0,50 | 0,75 | 1,00 | 0,75 | 0,75 | 1,00 | 1,00 | 0,75 | 1,00 | 1,00 | 0,75 |
10 | 0,50 | 0,50 | 0,75 | 0,75 | 0,75 | 1,00 | 1,00 | 1,00 | 1,00 | 1,00 | 0,75 |
11 | 0,25 | 0,25 | 0,50 | 0,50 | 0,50 | 0,75 | 0,75 | 0,75 | 0,75 | 0,75 | 1,00 |
j i | 1 | 2 | 3 | 4 | 5 | 6 | 7 | 8 | 9 | 10 | 11 |
---|---|---|---|---|---|---|---|---|---|---|---|
1 | 1,00 | 0,75 | 0,75 | 0,75 | 0,75 | 0,75 | 0,75 | 0,75 | 0,75 | 0,75 | 0,75 |
2 | 0,75 | 1,00 | 0,75 | 0,75 | 0,75 | 0,75 | 0,75 | 0,75 | 0,75 | 0,75 | 0,75 |
3 | 0,75 | 0,75 | 1,00 | 1,00 | 0,75 | 0,75 | 0,75 | 0,75 | 0,75 | 0,75 | 0,75 |
4 | 0,75 | 0,75 | 1,00 | 1,00 | 0,75 | 0,75 | 0,75 | 0,75 | 0,75 | 0,75 | 0,75 |
5 | 0,75 | 0,75 | 0,75 | 0,75 | 1,00 | 0,75 | 0,75 | 0,75 | 0,75 | 0,75 | 0,75 |
6 | 0,75 | 0,75 | 0,75 | 0,75 | 0,75 | 1,00 | 1,00 | 0,75 | 0,75 | 0,75 | 0,75 |
7 | 0,75 | 0,75 | 0,75 | 0,75 | 0,75 | 1,00 | 1,00 | 0,75 | 0,75 | 0,75 | 0,75 |
8 | 0,75 | 0,75 | 0,75 | 0,75 | 0,75 | 0,75 | 0,75 | 1,00 | 0,75 | 0,75 | 0,75 |
9 | 0,75 | 0,75 | 0,75 | 0,75 | 0,75 | 0,75 | 0,75 | 0,75 | 1,00 | 0,75 | 0,75 |
10 | 0,75 | 0,75 | 0,75 | 0,75 | 0,75 | 0,75 | 0,75 | 0,75 | 0,75 | 1,00 | 0,75 |
11 | 0,75 | 0,75 | 0,75 | 0,75 | 0,75 | 0,75 | 0,75 | 0,75 | 0,75 | 0,75 | 1,00] |
Modifications etc. (not altering text)
C18 Annex 23: power to amend and revoke conferred (31.12.2020) by The Solvency 2 and Insurance (Amendment, etc.) (EU Exit) Regulations 2019 (S.I. 2019/407), regs. 1(2), 4, Sch. 3 (as amended by S.I. 2020/1301, regs. 1, 3, Sch. para. 27(a) and S.I. 2020/1385, regs. 1(2), 54(2))
The correlation parameter Corr(earthquake,r,i,j) referred to in Article 122(2) for region r shall be equal to the item set out in row i and in column j of the following correlation matrices. The headings of the rows and columns denote the region specific risk zones according to the numbers of the segments set out in Annex IX.
The correlation coefficients for the regions Republic of Malta, Guadeloupe, Martinique and St Martin shall be equal to 1.
j i | 1 | 2 | 3 | 4 | 5 | 6 | 7 | 8 | 9 |
---|---|---|---|---|---|---|---|---|---|
1 | 1,00 | 1,00 | 0,75 | 0,75 | 1,00 | 1,00 | 1,00 | 1,00 | 1,00 |
2 | 1,00 | 1,00 | 1,00 | 1,00 | 1,00 | 1,00 | 0,75 | 1,00 | 1,00 |
3 | 0,75 | 1,00 | 1,00 | 0,75 | 0,75 | 0,50 | 0,50 | 0,75 | 0,75 |
4 | 0,75 | 1,00 | 0,75 | 1,00 | 0,75 | 0,75 | 0,50 | 0,75 | 0,75 |
5 | 1,00 | 1,00 | 0,75 | 0,75 | 1,00 | 1,00 | 0,75 | 0,75 | 1,00 |
6 | 1,00 | 1,00 | 0,50 | 0,75 | 1,00 | 1,00 | 1,00 | 0,75 | 0,75 |
7 | 1,00 | 0,75 | 0,50 | 0,50 | 0,75 | 1,00 | 1,00 | 0,75 | 0,75 |
8 | 1,00 | 1,00 | 0,75 | 0,75 | 0,75 | 0,75 | 0,75 | 1,00 | 1,00 |
9 | 1,00 | 1,00 | 0,75 | 0,75 | 1,00 | 0,75 | 0,75 | 1,00 | 1,00 |
j i | 1 | 2 | 3 | 4 | 5 | 6 |
---|---|---|---|---|---|---|
1 | 1,00 | 0,50 | 0,50 | 0,50 | 0,50 | 0,75 |
2 | 0,50 | 1,00 | 0,50 | 0,75 | 0,25 | 0,25 |
3 | 0,50 | 0,50 | 1,00 | 0,00 | 0,75 | 0,25 |
4 | 0,50 | 0,75 | 0,00 | 1,00 | 0,00 | 0,50 |
5 | 0,50 | 0,25 | 0,75 | 0,00 | 1,00 | 0,25 |
6 | 0,75 | 0,25 | 0,25 | 0,50 | 0,25 | 1,00 |
j i | 1 |
---|---|
1 | 1,00 |
j i | 01 | 03 | 04 | 05 | 06 | 07 | 08 | 09 | 10 | 12 | 13 |
---|---|---|---|---|---|---|---|---|---|---|---|
01 | 1,00 | 0,25 | 0,00 | 0,25 | 0,00 | 0,00 | 0,00 | 0,00 | 0,25 | 0,50 | 0,00 |
03 | 0,25 | 1,00 | 0,75 | 0,75 | 0,25 | 0,00 | 0,25 | 0,00 | 0,00 | 0,25 | 0,00 |
04 | 0,00 | 0,75 | 1,00 | 1,00 | 0,25 | 0,00 | 0,25 | 0,25 | 0,00 | 0,25 | 0,25 |
05 | 0,25 | 0,75 | 1,00 | 1,00 | 0,25 | 0,25 | 0,25 | 0,25 | 0,25 | 0,25 | 0,25 |
06 | 0,00 | 0,25 | 0,25 | 0,25 | 1,00 | 0,50 | 0,50 | 0,25 | 0,00 | 0,00 | 0,25 |
07 | 0,00 | 0,00 | 0,00 | 0,25 | 0,50 | 1,00 | 0,75 | 0,50 | 0,00 | 0,00 | 0,00 |
08 | 0,00 | 0,25 | 0,25 | 0,25 | 0,50 | 0,75 | 1,00 | 0,50 | 0,25 | 0,00 | 0,25 |
09 | 0,00 | 0,00 | 0,25 | 0,25 | 0,25 | 0,50 | 0,50 | 1,00 | 0,25 | 0,00 | 0,25 |
10 | 0,25 | 0,00 | 0,00 | 0,25 | 0,00 | 0,00 | 0,25 | 0,25 | 1,00 | 0,50 | 0,00 |
12 | 0,50 | 0,25 | 0,25 | 0,25 | 0,00 | 0,00 | 0,00 | 0,00 | 0,50 | 1,00 | 0,00 |
13 | 0,00 | 0,00 | 0,25 | 0,25 | 0,25 | 0,00 | 0,25 | 0,25 | 0,00 | 0,00 | 1,00 |
Modifications etc. (not altering text)
C19 Annex 24: power to amend and revoke conferred (31.12.2020) by The Solvency 2 and Insurance (Amendment, etc.) (EU Exit) Regulations 2019 (S.I. 2019/407), regs. 1(2), 4, Sch. 3 (as amended by S.I. 2020/1301, regs. 1, 3, Sch. para. 27(a) and S.I. 2020/1385, regs. 1(2), 54(2))
The correlation parameter Corr(flood,r,i,j) referred to in Article 123(5) for region r shall be equal to the item set out in row i and in column j of the following correlation matrices. The headings of the rows and columns denote the region specific risk zones according to the numbers of the segments set out in Annex IX.
j i | 1 | 2 | 3 | 4 | 5 | 6 | 7 | 8 | 9 |
---|---|---|---|---|---|---|---|---|---|
1 | 1,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,25 | 0,00 | 0,00 |
2 | 0,00 | 1,00 | 0,75 | 0,25 | 1,00 | 0,00 | 0,00 | 1,00 | 0,25 |
3 | 0,00 | 0,75 | 1,00 | 0,25 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 |
4 | 0,00 | 0,25 | 0,25 | 1,00 | 1,00 | 0,25 | 0,00 | 0,00 | 1,00 |
5 | 0,00 | 1,00 | 0,00 | 1,00 | 1,00 | 1,00 | 0,00 | 1,00 | 0,75 |
6 | 0,00 | 0,00 | 0,00 | 0,25 | 1,00 | 1,00 | 0,25 | 0,00 | 0,00 |
7 | 0,25 | 0,00 | 0,00 | 0,00 | 0,00 | 0,25 | 1,00 | 0,25 | 0,25 |
8 | 0,00 | 1,00 | 0,00 | 0,00 | 1,00 | 0,00 | 0,25 | 1,00 | 0,50 |
9 | 0,00 | 0,25 | 0,00 | 1,00 | 0,75 | 0,00 | 0,25 | 0,50 | 1,00 |
j i | 01 | 03 | 04 | 05 | 06 | 07 | 08 | 09 | 10 | 12 | 13 |
---|---|---|---|---|---|---|---|---|---|---|---|
01 | 1,00 | 0,50 | 0,50 | 0,50 | 0,50 | 0,25 | 0,25 | 0,25 | 0,75 | 0,50 | 0,25 |
03 | 0,50 | 1,00 | 0,75 | 0,75 | 0,50 | 0,50 | 0,50 | 0,25 | 0,50 | 0,50 | 0,50 |
04 | 0,50 | 0,75 | 1,00 | 0,75 | 0,50 | 0,50 | 0,50 | 0,50 | 0,50 | 0,50 | 0,50 |
05 | 0,50 | 0,75 | 0,75 | 1,00 | 0,50 | 0,50 | 0,50 | 0,25 | 0,50 | 0,50 | 0,50 |
06 | 0,50 | 0,50 | 0,50 | 0,50 | 1,00 | 0,50 | 0,50 | 0,50 | 0,25 | 0,50 | 0,50 |
07 | 0,25 | 0,50 | 0,50 | 0,50 | 0,50 | 1,00 | 0,75 | 0,50 | 0,25 | 0,25 | 0,50 |
08 | 0,25 | 0,50 | 0,50 | 0,50 | 0,50 | 0,75 | 1,00 | 0,50 | 0,25 | 0,50 | 0,50 |
09 | 0,25 | 0,25 | 0,50 | 0,25 | 0,50 | 0,50 | 0,50 | 1,00 | 0,25 | 0,25 | 0,50 |
10 | 0,75 | 0,50 | 0,50 | 0,50 | 0,25 | 0,25 | 0,25 | 0,25 | 1,00 | 0,50 | 0,25 |
12 | 0,50 | 0,50 | 0,50 | 0,50 | 0,50 | 0,25 | 0,50 | 0,25 | 0,50 | 1,00 | 0,50 |
13 | 0,25 | 0,50 | 0,50 | 0,50 | 0,50 | 0,50 | 0,50 | 0,50 | 0,25 | 0,50 | 1,00 |
Modifications etc. (not altering text)
C20 Annex 25: power to amend and revoke conferred (31.12.2020) by The Solvency 2 and Insurance (Amendment, etc.) (EU Exit) Regulations 2019 (S.I. 2019/407), regs. 1(2), 4, Sch. 3 (as amended by S.I. 2020/1301, regs. 1, 3, Sch. para. 27(a) and S.I. 2020/1385, regs. 1(2), 54(2))
The correlation parameter Corr(hail,r,i,j) referred to in Article 124(5) for region r shall be equal to the item set out in row i and in column j of the following correlation matrices. The headings of the rows and columns denote the region specific risk zones according to the numbers of the segments set out in Annex IX.
The correlation coefficients for the Grand Duchy of Luxembourg shall be equal to 1.
j i | 1 | 2 | 3 | 4 | 5 | 6 | 7 | 8 | 9 |
---|---|---|---|---|---|---|---|---|---|
1 | 1,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 |
2 | 0,00 | 1,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 |
3 | 0,00 | 0,00 | 1,00 | 0,00 | 0,00 | 0,25 | 0,00 | 0,00 | 0,00 |
4 | 0,00 | 0,00 | 0,00 | 1,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 |
5 | 0,00 | 0,00 | 0,00 | 0,00 | 1,00 | 0,00 | 0,00 | 0,00 | 0,00 |
6 | 0,00 | 0,00 | 0,25 | 0,00 | 0,00 | 1,00 | 0,00 | 0,25 | 0,00 |
7 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 1,00 | 0,00 | 0,00 |
8 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,25 | 0,00 | 1,00 | 0,00 |
9 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 1,00 |
j i | 1 | 2 | 3 | 4 | 5 | 6 | 7 | 8 | 9 | 10 | 11 | 12 | 13 | 14 | 15 | 16 | 17 | 18 | 19 | 20 | 21 | 22 | 23 | 24 | 25 |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
51 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 |
52 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 |
53 | 0,00 | 0,00 | 0,25 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 |
54 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 |
55 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 |
56 | 0,00 | 0,00 | 0,25 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 |
57 | 0,00 | 0,25 | 0,25 | 0,25 | 0,00 | 0,00 | 0,00 | 0,25 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,25 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 |
58 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 |
59 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 |
j i | 26 | 27 | 28 | 29 | 30 | 31 | 32 | 33 | 34 | 35 | 36 | 37 | 38 | 39 | 40 | 41 | 42 | 43 | 44 | 45 | 46 | 47 | 48 | 49 | 50 |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
51 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,25 | 0,00 | 0,00 | 0,00 | 0,00 | 0,50 |
52 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,25 | 0,00 | 0,00 | 0,00 | 0,00 | 0,75 |
53 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,25 |
54 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,25 |
55 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,25 | 0,00 | 0,00 |
56 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,25 | 0,00 | 0,00 |
57 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,25 | 0,00 | 0,25 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 |
58 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,25 | 0,25 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 |
59 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 |
j i | 51 | 52 | 53 | 54 | 55 | 56 | 57 | 58 | 59 |
---|---|---|---|---|---|---|---|---|---|
51 | 1,00 | 0,50 | 0,25 | 0,25 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 |
52 | 0,50 | 1,00 | 0,25 | 0,25 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 |
53 | 0,25 | 0,25 | 1,00 | 0,25 | 0,25 | 0,00 | 0,00 | 0,00 | 0,00 |
54 | 0,25 | 0,25 | 0,25 | 1,00 | 0,25 | 0,00 | 0,00 | 0,00 | 0,00 |
55 | 0,00 | 0,00 | 0,25 | 0,25 | 1,00 | 0,25 | 0,25 | 0,25 | 0,00 |
56 | 0,00 | 0,00 | 0,00 | 0,00 | 0,25 | 1,00 | 0,25 | 0,00 | 0,00 |
57 | 0,00 | 0,00 | 0,00 | 0,00 | 0,25 | 0,25 | 1,00 | 0,25 | 0,25 |
58 | 0,00 | 0,00 | 0,00 | 0,00 | 0,25 | 0,00 | 0,25 | 1,00 | 0,25 |
59 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,25 | 0,25 | 1,00] |
j i | 1 | 2 | 3 | 4 | 5 | 6 | 7 | 8 | 9 | 10 | 11 |
---|---|---|---|---|---|---|---|---|---|---|---|
1 | 1,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 |
2 | 0,00 | 1,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 |
3 | 0,00 | 0,00 | 1,00 | 0,25 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 |
4 | 0,00 | 0,00 | 0,25 | 1,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 |
5 | 0,00 | 0,00 | 0,00 | 0,00 | 1,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 |
6 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 1,00 | 0,25 | 0,00 | 0,00 | 0,00 | 0,00 |
7 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,25 | 1,00 | 0,00 | 0,00 | 0,00 | 0,00 |
8 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 1,00 | 0,00 | 0,00 | 0,00 |
9 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 1,00 | 0,00 | 0,00 |
10 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 1,00 | 0,00 |
11 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 0,00 | 1,00] |
Modifications etc. (not altering text)
C21 Annex 26: power to amend and revoke conferred (31.12.2020) by The Solvency 2 and Insurance (Amendment, etc.) (EU Exit) Regulations 2019 (S.I. 2019/407), regs. 1(2), 4, Sch. 3 (as amended by S.I. 2020/1301, regs. 1, 3, Sch. para. 27(a) and S.I. 2020/1385, regs. 1(2), 54(2))
The correlation parameter Corr(subsidence,i,j) referred to in Article 125(1) for region r shall be equal to the item set out in row i and in column j of the following correlation matrices. The headings of the rows and columns denote the region specific risk zones according to the numbers of the segments set out in Annex IX.
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