Question
Difference between Annotated Template and spécifications (31 april 2014) concerning Man-Made cat risk CREDIT LIABILITY :
QIS page 284 SCR 9.126 :KF7=SUM with correlation (KA7:KE7)
S2701 KF7 : KF7=SUM(KA7:KE7)
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.