Correlation coefficients

1. The life underwriting risk module shall consist of all of the following sub-modules:

(a) the mortality risk sub-module referred to in point (a) of subparagraph 2 of Article 105(3) of Directive 2009/138/EC;

(b) the longevity risk sub-module referred to in point (b) of subparagraph 2 of Article 105(3) of Directive 2009/138/EC;

(c) the disability-morbidity risk sub-module referred to in point (c) of subparagraph 2 of Article 105(3) of Directive 2009/138/EC;

(d) the life-expense risk sub-module referred to in point (d) of subparagraph 2 of Article 105(3) of Directive 2009/138/EC;

(e) the revision risk sub-module referred to in point (e) of subparagraph 2 of Article 105(3) of Directive 2009/138/EC;

(f) the lapse risk sub-module referred to in point (f) of subparagraph 2 of Article 105(3) of Directive 2009/138/EC;

(g) the life-catastrophe risk sub-module referred to in point (g) of subparagraph 2 of Article 105(3) of Directive 2009/138/EC.

2. The capital requirement for life underwriting risk shall be equal to the following:

SCR life = sqrt (sum (i,j) CorrNL (i,j) * SCR i * SCR j)

where:

(a) the sum covers all possible combinations (i,j) of the sub-modules set out in paragraph 1;

(b) CorrNL(i,j) denotes the correlation parameter for life underwriting risk for sub-modules i and j;

(c) SCRi and SCRj denote the capital requirements for risk sub-module i and j respectively.

3. The correlation coefficient Corri,j referred to in point 3 of Annex IV of Directive 2009/138/EC shall be equal to the item set out in row i and in column j of the following correlation matrix (see here for the table)