The answer to this question is provided by the European Commission.

According to Article 105(3)(b) of Directive 2009/138/EC, the capital requirement for longevity risk should cover the risk of loss, or of adverse change in the value of insurance liabilities, resulting from changes in the level, trend, or volatility of mortality rates, where a decrease in the mortality rate leads to an increase in the value of insurance liabilities. 

Accordingly, the objective of the provisions in Article 138(2) of Commission Delegated Regulation (EU) 2015/35 is to identify where a decrease in the mortality rate leads to an increase in the value of insurance liabilities. The term ‘insurance policy’ appearing in that provision, while not defined in that Regulation or in Directive 2009/138/EC, should be understood with that objective in mind. 

To that end, the loss in basic own funds that would result from an instantaneous permanent decrease in mortality rates should be determined at a level where changes in mortality rates could realistically affect the value of insurance liabilities in situations when longevity risks materialise. Therefore, Article 138 allows for some grouping of policies. 

More concretely, point (a) of Article 138(2) provides that an assessment considering jointly multiple insurance policies in respect to the same insurance person would be appropriate. 

The provision in point (b) of Article 138(2) provides that an assessment at the level of groups of policies would also be appropriate, where the calculation of technical provisions is based on groups of policies as referred to in point (b) of that paragraph. 

Therefore, likewise, where one contractual agreement between a policyholder and an insurance undertaking provides for life insurance coverage for several insured persons, the obligations pertaining to each insured person do not need to be considered as separate insurance policies for the purpose of Article 138 of Commission Delegated Regulation (EU) 2015/35. 

Disclaimer provided by the European Commission:

The answers clarify provisions already contained in the applicable legislation. They do not extend in any way the rights and obligations deriving from such legislation nor do they introduce any additional requirements for the concerned operators and competent authorities. The answers are merely intended to assist natural or legal persons, including competent authorities and Union institutions and bodies in clarifying the application or implementation of the relevant legal provisions. Only the Court of Justice of the European Union is competent to authoritatively interpret Union law. The views expressed in the internal Commission Decision cannot prejudge the position that the European Commission might take before the Union and national courts.