Question ID: 2089
Regulation Reference: (EU) No 2009/138 - Solvency II Directive (Insurance and Reinsurance)
Topic: Other
Article: 139
Status: Rejected
Date of submission: 17 Dec 2019
Question
I submitted the following question on 7/10/2019. Can you confirm it is not yet answered? When can I expect an answer?
Some clients make use of cash flow models which produce monthly cash flows. In these models the morbidity/disability/recovery rates are of monthly basis instead of yearly base.
Are the shocks defined for disability/morbidity/recovery as in article 139 are meant for yearly rates or should be also applied to monthly rates?
Example: recovery rate for coming 12 months is 25% on yearly basis. Applying the article leads to 25%*(1-0,2)=20% after stress on yearly basis.
If the recovery rate is recalculated to monthly basis, say 1-(1-25%)^(1/12)=2,37% then is my question whether one should apply the shock 0,8% to 2,37% for the coming months and find 2,37%*0,8= 1,90% or should use the calculated recovery rate on yearly basis after stress 20% and then transform this one to a monthly rate by the formula 1-(1-20%)^(1/12)=1,84% and this becomes the monthly recovery rate after stress.
For some rates the impact on the liability can be material.
Background of the question
Disability shock for Health SLT (article 139)
EIOPA answer
Please note that this question has been rejected because the matter it refers to has been answered in2032.