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RSSMan-made catastrophe risk sub-module entailing
Capital requirement for catastrophe risk of non-proportional property reinsurance and methods of calculation
Interpretation concerning catastrophe scenarios encompassing also different scenarios.
The natural catastrophe risk sub-module shall consist of all of the following sub-modules: (a) the windstorm risk sub-module; (b) the earthquake risk sub-module; (c) the flood risk sub-module; (d) the hail risk sub-module; (e) the subsidence risk sub-module. The capital requirement for natural...
The non-life catastrophe risk sub-module shall consist of all of the following sub-modules: (a) the natural catastrophe risk sub-module; (b) the sub-module for catastrophe risk of non-proportional property reinsurance; (c) the man-made catastrophe risk sub-module; (d) the sub-module for other non...
The capital requirement for the non-life lapse risk sub-module referred to in 114(1)(c) shall be equal to the loss in basic own funds of the insurance or reinsurance undertaking resulting from a combination of the following instantaneous events: (a) the discontinuance of 40 % of the insurance...
The standard deviation for non-life premium and reserve risk shall be equal to the following: sigma_nl = 1/V_nl * sqrt (sum_s,t CorrS_(s,t) * sigma_s * V_s * sigma_t * V_t)where: (a) V nl denotes the volume measure for non-life premium and reserve risk; (b) the sum covers all possible combinations...
Where Article 88 of this Regulation is complied with, and where the counterparty requirement and the third party requirement referred to in Article 197(1) are both met, insurance or reinsurance undertakings may, for the purposes of Article 197, calculate the risk-adjusted value of a collateral...
Where Article 88 is complied with, insurance or reinsurance undertakings may use the following simplified calculations for the purposes of Articles 193, 194 and 195: (a) The best estimate referred to in Article 194(1)(d) may be calculated as follows: BE_c = (Pc/Pu) * BE_Uwhere BE U denotes the...
Where Article 88 is complied with, insurance or reinsurance undertakings may calculate the capital requirement for spread risk referred to in Article 176 of this Regulation as follows: SCR_bonds = MV^bonds * (sum_i %MV^bonds_i * stress_i = %MV^bonds_norating * min [dur_norating * 0,03;1]) + delta...