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- TITLE I > CHAPTER V > SECTION 1 > SUBSECTION 6
Article number: 90
1. Where Articles 88 and 89 are complied with, captive insurance and captive reinsurance undertakings may calculate the capital requirement for non-life premium and reserve risk as follows:
SCR nl prem res = sqrt(0.65 * sum_s NL_(pr,s)^2 + 0.35 * (sum_s NL_(pr,s))^2) ,
where the s covers all segments set out in Annex II.
2. For the purposes of paragraph 1, the capital requirement for non-life premium and reserve risk of a particular segment s set out in Annex II shall be equal to the following:
NL_pr,s = 0.6 sqrt(V (prem,s)^2 + V (prem,s) * V (res,s) + V (res,s)^2))
where:
(a) V (prem,s) denotes the volume measure for premium risk of segment s calculated in accordance with paragraph 3 of Article 116;
(b) V (res,s) denotes the volume measure for reserve risk of a segment calculated in accordance with paragraph 6 of Article 116.
Other related sources
- EIOPA answered Q&As:
- Question ID: 1230
Metadata
RULEBOOK TOPIC: SUBSECTION 6 - Proportionality and simplifications
RULEBOOK CATEGORY: DELEGATED REGULATION (EU) 2015/35
Last update on: 18 Mar 2024