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European Insurance and Occupational Pensions Authority

Simplified calculation of the capital requirement for health longevity risk

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TITLE I > CHAPTER V > SECTION 1 > SUBSECTION 6

Article number:  98

Where Article 88 is complied with, insurance and reinsurance undertakings may calculate the capital requirement for health longevity risk as follows:

SCR_health-longevity = 0,2 * q * n * 1,1^((n-2)/2) * BE_long

where, with respect to the policies referred to in Article 138(2):

(a) q denotes the expected average mortality rate of the insured persons during the following 12 months weighted by the sum insured;

(b) n denotes the modified duration in years of the payments to beneficiaries included in the best estimate;

(c) BE long denotes the best estimate of the obligations subject to longevity risk.

Metadata

RULEBOOK TOPIC:  SUBSECTION 6 - Proportionality and simplifications

RULEBOOK CATEGORY:  DELEGATED REGULATION (EU) 2015/35

Last update on:  03 May 2021