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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 4 U.K. Health underwriting risk module

Article 144U.K.Health underwriting risk module

1.The health underwriting risk module shall consist of all of the following sub-modules:

(a)the NSLT health insurance underwriting risk sub-module;

(b)the SLT health insurance underwriting risk sub-module;

(c)the health catastrophe risk sub-module.

2.The capital requirement for health underwriting risk shall be equal to the following:

where:

(a)

the sum covers all possible combinations (i,j) of the sub-modules set out in paragraph 1;

(b)

CorrH(i,j) denotes the correlation parameter for health underwriting risk for sub-modules i and j;

(c)

SCRi and SCRj denote the capital requirements for risk sub-module i and j respectively.

3.The correlation coefficient CorrH(i,j) referred to in paragraph 2 denotes the item set out in row i and in column j of the following correlation matrix:

j iNSLT health underwritingSLT health underwritingHealth catastrophe
NSLT health underwriting10,50,25
SLT health underwriting0,510,25
Health catastrophe0,250,251

4.Insurance and reinsurance undertakings shall apply:

(a)the NSLT health underwriting risk sub-module to health insurance and reinsurance obligations included in lines of business 1, 2, 3, 13, 14, 15 and 25 as set out in Annex I;

(b)the SLT health underwriting risk sub-module to health insurance and reinsurance obligations included in lines of business 29, 33 and 35 as set out in Annex I;

(c)the health catastrophe risk sub-module to health insurance and reinsurance obligations.

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