Article 114
Non-life underwriting risk module
1.
The non-life underwriting risk module shall consist of all of the following sub-modules:
(a)
the non-life premium and reserve risk sub-module referred to in point (a) of the third subparagraph of Article 105(2) of Directive 2009/138/EC;
(b)
the non-life catastrophe risk sub-module referred to in point (b) of the third subparagraph of Article 105(2) of Directive 2009/138/EC;
(c)
the non-life lapse risk sub-module.
2.
The capital requirement for non-life 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)
CorrNL(i,j) denotes the correlation parameter for non-life 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 parameter CorrNL(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 i |
Non-life premium and reserve |
Non-life catastrophe |
Non-life lapse |
|
Non-life premium and reserve |
1 |
0,25 |
0 |
|
Non-life catastrophe |
0,25 |
1 |
0 |
|
Non-life lapse |
0 |
0 |
1 |