Subset of standard parameters that may be replaced by undertaking-specific parameters

1. The subset of standard parameters that may be replaced by undertaking-specific parameters as set out in Article 104(7) of Directive 2009/138/EC shall comprise the following parameters:

(a) in the non-life premium and reserve risk sub-module, for each segment set out in Annex II of this Regulation:

(i) the standard deviation for non-life premium risk referred to in Article 117(2)(a) of this Regulation;

(ii) the standard deviation for non-life gross premium risk referred to in Article 117(3) of this Regulation;

(iii) the adjustment factor for non-proportional reinsurance referred to in Article 117(3) of this Regulation, provided that there is a recognisable excess of loss reinsurance contract for that segment as set out in paragraph 2 of this Article;

(iv) the standard deviation for non-life reserve risk referred to in Article 117(2)(b) of this Regulation;

(b) in the life revision risk sub-module, the increase in the amount of annuity benefits referred to in Article 141 of this Regulation, provided that the annuities falling under that sub-module are not subject to material inflation risk;

(c) in the NSLT health premium and reserve risk sub-module, for each segment set out in Annex XIV of this Regulation:

(i) the standard deviation for NSLT health premium risk referred to in Article 148(2)(a) of this Regulation;

(ii) the standard deviation for NSLT health gross premium risk referred to in Article 148(3) of this Regulation;

(iii) the adjustment factor for non-proportional reinsurance referred to in Article 148(3) of this Regulation, provided that there is a recognisable excess of loss reinsurance contract for that segment as set out in paragraph 2;

(iv) the standard deviation for NSLT health reserve risk referred to in Article 148(2)(b) of this Regulation;

(d) in the health revision risk sub-module, the increase in the amount of annuity benefits referred to in Article 158 of this Regulation, provided that the annuities falling under that sub-module are not subject to material inflation risk.

Insurance and reinsurance undertakings shall not replace both the standard parameters referred to in point (a)(ii) and (iii) of the same segment or both the standard parameters referred to in point (c)(ii) and (iii) of the same segment.

2. An excess of loss reinsurance contract for a segment shall be considered recognisable provided it meets the following conditions:

(a) it provides, to the extent that losses of the ceding undertaking that relate either to single insurance claims or all insurance claims under the same policy during a specified time period are larger than a specified retention, complete compensation for such losses up to a specified limit or without limit;

(b) it covers all insurance claims that the insurance or reinsurance undertaking may incur in the segment or homogeneous risk groups within the segment during the following 12 months;

(c) it allows for a sufficient number of reinstatements so as to ensure that all claims of multiple events incurred during the following 12 months are covered;

(d) it complies with Articles 209, 210, 211 and 213.

For the purposes of this Article ‘excess of loss reinsurance contract’ shall also denote arrangements with special purpose vehicles that provide risk transfer which is equivalent to that of an excess of loss reinsurance contract.

3. Where insurance or reinsurance undertakings have concluded several excess of loss reinsurance contracts that each meet the requirements set out in point (d) of paragraph 2, and that in combination meet the requirements set out in points (a), (b) and (c) of paragraph 2, their combination shall be considered as one recognisable excess of loss insurance contract.

4. For the purposes of points (b) and (d) of paragraph 1, inflation risk shall be considered to be material where ignoring it in the calculation of the capital requirement for revision risk could influence the decision-making or the judgement of the users of that information, including the supervisory authorities.