Simplified calculation for captive insurance and reinsurance undertakings of the capital requirement for non-life premium and reserve risk

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.