Article 136
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:
(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 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 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 |