Question
Difference between Annotated Template and spécifications (31 april 2014) concerning Man-Made cat risk CREDIT formula :
QIS page 286 SCR 9.132: SCR_CREDIT=root of(SCR_DEFAUT^2+SCR_RECESSION^2)
S2701 LA12 : SCR_CREDIT=SCR_DEFAUT+SCR_RECESSION.
Which formula is relevant ?
EIOPA answer
Please note that the Commission’s Delegated Act containing implementing rules for Solvency II have been published (Regulation 35/2015) and therefore this should be the relevant source to use.
In this case article 133 which specifies that the capital requirement for liability risk shall be equal to the following:
where: the sum includes all possible combinations of liability risk groups (i,j) as set out in Annex XI; Corr(liability,i,j) denotes the correlation coefficient for liability risk of liability risk groups i and j as set out in Annex XI and SCR(liability,i) denotes the capital requirement for liability risk of liability risk group i.