SOLVENCY CAPITAL REQUIREMENT (SCR) STANDARD FORMULA
ANNEX IV附則
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 SCR i denotes the risk module i and SCR j 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, SCR i and SCR j are replaced by the following: — SCR non-life denotes the non-life underwriting risk module, — SCR life denotes the life underwriting risk module, — SCR health denotes the health underwriting risk module, — SCR market denotes the market risk module, — SCR default denotes the counterparty default risk module, 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 SCR i denotes the sub-module i and SCR j 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, SCR i and SCR j are replaced by the following: — SCR nl premium and reserve denotes the non-life premium and reserve risk sub-module, — SCR nl catastrophe denotes the non-life catastrophe risk sub-module, 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 SCR i denotes the sub-module i and SCR j 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, SCR i and SCR j are replaced by the following: — SCR mortality denotes the mortality risk sub-module, — SCR longevity denotes the longevity risk sub-module, — SCR disability denotes the disability – morbidity risk sub-module, — SCR life expense denotes the life expense risk sub-module, — SCR revision denotes the revision risk sub-module, — SCR lapse denotes the lapse risk sub-module, — SCR life catastrophe denotes the life catastrophe risk sub-module, 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 SCR i denotes the sub-module i and SCR j 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, SCR i and SCR j are replaced by the following: — SCR interest rate denotes the interest rate risk sub-module, — SCR equity denotes the equity risk sub-module, — SCR property denotes the property risk sub-module, — SCR spread denotes the spread risk sub-module, — SCR concentration denotes the market risk concentrations sub-module, — SCR currency denotes the currency risk sub-module,