Simplified calculation of the capital requirement for life mortality risk
Article 91
Where Article 88 is complied with, insurance and reinsurance undertakings may calculate the capital requirement for life mortality risk as follows: where, with respect to insurance and reinsurance policies with a positive capital at risk: (a) CAR denotes the total capital at risk, meaning the sum over all contracts of the higher of zero and the difference between the following amounts: (i) the sum of: — the amount that the insurance or reinsurance undertaking would currently pay in the event of the death of the persons insured under the contract after deduction of the amounts recoverable from reinsurance contracts and special purpose vehicles; — the expected present value of amounts not covered in the previous indent that the undertaking would pay in the future in the event of the immediate death of the persons insured under the contract after deduction of the amounts recoverable from reinsurance contracts and special purpose vehicles; (ii) the best estimate of the corresponding obligations after deduction of the amounts recoverable form reinsurance contracts and special purpose vehicles; (b) q denotes the expected average mortality rate of the insured persons during the following 12 months weighted by the sum insured; (c) n denotes the modified duration in years of payments payable on death included in the best estimate; (d) i k denotes the annualized spot rate for maturity k of the relevant risk-free term structure as referred to in Article 43.