TITLE IU.K. [X1VALUATION AND RISK-BASED CAPITAL REQUIREMENTS (PILLAR I), ENHANCED GOVERNANCE (PILLAR II) AND INCREASED TRANSPARENCY (PILLAR III)]
CHAPTER VU.K. SOLVENCY CAPITAL REQUIREMENT STANDARD FORMULA
SECTION 3 U.K. Life underwriting risk module
Article 136U.K.Correlation coefficients
1.The life underwriting risk module shall consist of all of the following sub-modules:
(a)the mortality risk sub-module referred to in point (a) of subparagraph 2 of Article 105(3) of Directive 2009/138/EC;
(b)the longevity risk sub-module referred to in point (b) of subparagraph 2 of Article 105(3) of Directive 2009/138/EC;
(c)the disability-morbidity risk sub-module referred to in point (c) of subparagraph 2 of Article 105(3) of Directive 2009/138/EC;
(d)the life-expense risk sub-module referred to in point (d) of subparagraph 2 of Article 105(3) of Directive 2009/138/EC;
(e)the revision risk sub-module referred to in point (e) of subparagraph 2 of Article 105(3) of Directive 2009/138/EC;
(f)the lapse risk sub-module referred to in point (f) of subparagraph 2 of Article 105(3) of Directive 2009/138/EC;
(g)the life-catastrophe risk sub-module referred to in point (g) of subparagraph 2 of Article 105(3) of Directive 2009/138/EC.
2.The capital requirement for life underwriting risk shall be equal to the following:
where:
the sum covers all possible combinations (i,j) of the sub-modules set out in paragraph 1;
CorrNL(i,j) denotes the correlation parameter for life underwriting risk for sub-modules i and j;
SCRi and SCRj denote the capital requirements for risk sub-module i and j respectively.
3.The correlation coefficient Corri,j referred to in point 3 of Annex IV of Directive 2009/138/EC shall be equal to the item set out in row i and in column j of the following correlation matrix:
| j i | Mortality | Longevity | Disability | Life expense | Revision | Lapse | Life catastrophe |
|---|---|---|---|---|---|---|---|
| Mortality | 1 | – 0,25 | 0,25 | 0,25 | 0 | 0 | 0,25 |
| Longevity | – 0,25 | 1 | 0 | 0,25 | 0,25 | 0,25 | 0 |
| Disability | 0,25 | 0 | 1 | 0,5 | 0 | 0 | 0,25 |
| Life expense | 0,25 | 0,25 | 0,5 | 1 | 0,5 | 0,5 | 0,25 |
| Revision | 0 | 0,25 | 0 | 0,5 | 1 | 0 | 0 |
| Lapse | 0 | 0,25 | 0 | 0,5 | 0 | 1 | 0,25 |
| Life catastrophe | 0,25 | 0 | 0,25 | 0,25 | 0 | 0,25 | 1 |
Modifications etc. (not altering text)
C1 Art. 136(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))
Editorial Information
X1 Substituted by Corrigendum to 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) (Official Journal of the European Union L 12 of 17 January 2015).