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European Insurance and Occupational Pensions Authority

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

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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^2 pr;s  + 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^2 (prem;s) + V(prem;s) + V(res, s) + V^2(res, s))

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.

Metadata

RULEBOOK TOPIC:  SUBSECTION 6 - Proportionality and simplifications

RULEBOOK CATEGORY:  DELEGATED REGULATION (EU) 2015/35

Last update on:  03 May 2021