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Article number: 144
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.
Metadata
RULEBOOK TOPIC: SECTION 4 - Health underwriting risk module
RULEBOOK CATEGORY: DELEGATED REGULATION (EU) 2015/35
Last update on: 26 Mar 2024