Health underwriting risk module

1. The health underwriting risk module shall consist of all of the following sub-modules:

(a) the NSLT health insurance underwriting risk sub-module;

(b) the SLT health insurance underwriting risk sub-module;

(c) the health catastrophe risk sub-module.

2. The capital requirement for health underwriting risk shall be equal to the following:

SCR health= sqrt( sum(i,j) CorrH(i,j) * SCR  i * SCR j)

where:

(a) the sum covers all possible combinations (i,j) of the sub-modules set out in paragraph 1;

(b) CorrH (i,j) denotes the correlation parameter for health 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 CorrH(i,j) referred to in paragraph 2 denotes the item set out in row i and in column j of the following correlation matrix  (see here for the table)

4. Insurance and reinsurance undertakings shall apply:

(a) the NSLT health underwriting risk sub-module to health insurance and reinsurance obligations included in lines of business 1, 2, 3, 13, 14, 15 and 25 as set out in Annex I;

(b) the SLT health underwriting risk sub-module to health insurance and reinsurance obligations included in lines of business 29, 33 and 35 as set out in Annex I;

(c) the health catastrophe risk sub-module to health insurance and reinsurance obligations.