Question ID: 2306
Regulation Reference: (EU) No 2015/35 - supplementing Dir 2009/138/EC - taking up & pursuit of the business of Insurance and Reinsurance (SII)
Topic: Solvency Capital Requirement (SCR)
Article: 122
Status: Final
Date of submission: 17 Jun 2021
Question
How should the definition of events be considered for EEA regions which applying the requirement so of the EEA Natural Catastrophe Charges? We interpret this that each region is impacted by either a single event (Subsidence, Earthquake) or a double event (Flood, Wind, Hail). As such for companies with exposure across multiple regions the standard formula assumes greater than one event for each peril.
EIOPA answer
As you mentioned, for EEA exposures, the COMMISSION DELEGATED REGULATION (EU) 2015/35 of 10 October 2014 supplementing Directive 2009/138/EC of the European Parliament and of the Council on the taking-up and pursuit of the business of Insurance and Reinsurance (Solvency II) specify the number of events for each peril/submodule. For example, the earthquake scenario is always a single event regardless of how many countries an undertaking writes business in. The earthquake scenario is calibrated (in theory) to provide a 1-in-200 OEP estimate on a pan-EEA basis.