ANNEX IV
SOLVENCY CAPITAL REQUIREMENT (SCR) STANDARD FORMULA
1. Calculation of the Basic Solvency Capital Requirement
The Basic Solvency Capital Requirement set out in Article 104(1) shall be equal to the following:
where SCRi denotes the risk module i and SCRj denotes the risk module j, and where ‘i,j’ means that the sum of the different terms should cover all possible combinations of i and j. In the calculation, SCRi and SCRj are replaced by the following:
The factor Corr i,j denotes the item set out in row i and in column j of the following correlation matrix:
|
j i |
Market |
Default |
Life |
Health |
Non-life |
|
Market |
1 |
0,25 |
0,25 |
0,25 |
0,25 |
|
Default |
0,25 |
1 |
0,25 |
0,25 |
0,5 |
|
Life |
0,25 |
0,25 |
1 |
0,25 |
0 |
|
Health |
0,25 |
0,25 |
0,25 |
1 |
0 |
|
Non-life |
0,25 |
0,5 |
0 |
0 |
1 |
2. Calculation of the non-life underwriting risk module
The non-life underwriting risk module set out in Article 105(2) shall be equal to the following:
where SCRi denotes the sub-module i and SCRj denotes the sub-module j, and where ‘i,j’ means that the sum of the different terms should cover all possible combinations of i and j. In the calculation, SCRi and SCRj are replaced by the following:
3. Calculation of the life underwriting risk module
The life underwriting risk module set out in Article 105(3) shall be equal to the following:
where SCRi denotes the sub-module i and SCRj denotes the sub-module j, and where ‘i,j’ means that the sum of the different terms should cover all possible combinations of i and j. In the calculation, SCRi and SCRj are replaced by the following:
4. Calculation of the market risk module
Structure of the market risk module
The market risk module, set out in Article 105(5) shall be equal to the following:
where SCRi denotes the sub-module i and SCRj denotes the sub-module j, and where ‘i,j’ means that the sum of the different terms should cover all possible combinations of i and j. In the calculation, SCRi and SCRj are replaced by the following: