Correlation coefficients
Article 136
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) SCR i and SCR j denote the capital requirements for risk sub-module i and j respectively. 3. The correlation coefficient Corr i,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