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

Article 117 U.K. Standard deviation for non-life premium and reserve risk

1. The standard deviation for non-life premium and reserve risk shall be equal to the following:

where:

(a)

V_nl denotes the volume measure for non-life premium and reserve risk;

(b)

the sum covers all possible combinations (s,t) of the segments set out in Annex II;

(c)

CorrS_(s,t) denotes the correlation parameter for non-life premium and reserve risk for segment s and segment t set out in Annex IV;

(d)

σ_s and σ_t denote standard deviations for non-life premium and reserve risk of segments s and t respectively;

(e)

V_s and V_t denote volume measures for premium and reserve risk of segments s and t, referred to in Article 116, respectively.

2. For all segments set out in Annex II, the standard deviation for non-life premium and reserve risk of a particular segment s shall be equal to the following:

where:

(a)

σ_(prem,s) denotes the standard deviation for non-life premium risk of segment s determined in accordance with paragraph 3;

(b)

σ_(res,s) denotes the standard deviation for non-life reserve risk of segment s as set out in Annex II;

(c)

V_(prem,s) denotes the volume measure for premium risk of segment s referred to in Article 116;

(d)

V_(res,s) denotes the volume measure for reserve risk of segment s referred to in Article 116.

3. For all segments set out in Annex II, the standard deviation for non-life premium risk of a particular segment shall be equal to the product of the standard deviation for non-life gross premium risk of the segment set out in Annex II and the adjustment factor for non-proportional reinsurance. For segments 1, 4 and 5 set out in Annex II the adjustment factor for non-proportional reinsurance shall be equal to 80 %. For all other segments set out in Annex the adjustment factor for non-proportional reinsurance shall be equal to 100 %.