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European Insurance and Occupational Pensions Authority

Simplified calculation of the capital requirement for life-catastrophe risk

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TITLE I > CHAPTER V > SECTION 1 > SUBSECTION 6

Article number:  96

Where Article 88 is complied with, insurance and reinsurance undertakings may calculate the capital requirement for life-catastrophe risk calculated as follows:

SCR_life-catastrophe = sum_i 0,0015 * CAR_i

where:

 

 

 

(a) the sum includes all policies with a positive capital at risk;

(b) CAR i denotes the capital at risk of the policy i, meaning the higher of zero and the difference between the following amounts:

(i) the sum of:

— the amount that the insurance or reinsurance undertaking would currently pay in the event of the death of the persons insured under the contract after deduction of the amounts recoverable from reinsurance contracts and special purpose vehicles;

 

 

 

— the expected present value of amounts not covered in the previous indent that the insurance or reinsurance undertaking would pay in the future in the event of the immediate death of the persons insured under the contract after deduction of the amounts recoverable from reinsurance contracts and special purpose vehicles;

(ii) the best estimate of the corresponding obligations after deduction of the amounts recoverable from reinsurance contracts and special purpose vehicles.

Metadata

RULEBOOK TOPIC:  SUBSECTION 6 - Proportionality and simplifications

RULEBOOK CATEGORY:  DELEGATED REGULATION (EU) 2015/35

Last update on:  03 May 2021