Non-life underwriting risk module

The non-life underwriting risk module shall consist of all of the following sub-modules:

(a) the non-life premium and reserve risk sub-module referred to in point (a) of the third subparagraph of Article 105(2) of Directive 2009/138/EC;

(b) the non-life catastrophe risk sub-module referred to in point (b) of the third subparagraph of Article 105(2) of Directive 2009/138/EC;

(c) the non-life lapse risk sub-module.

The capital requirement for non-life underwriting risk shall be equal to the following:

SCR_non-life = sqrt (sum_i,j CorrNL_(i,j) * SCR_i * SCR_j)

where:

(a) the sum covers all possible combinations (i,j) of the sub-modules set out in paragraph 1;

(b) CorrNL (i,j) denotes the correlation parameter for non-life underwriting risk for sub-modules i and j;

(c) SCR i and SCR j denote the capital requirements for risk sub-module i and j respectively.

The correlation parameter CorrNL (i,j) referred to in paragraph 2 denotes the item set out in row i and in column j of the following correlation matrix (see here for the table)