1. 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.
2. The capital requirement for non-life underwriting risk shall be equal to the following:
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) SCRi and SCRj denote the capital requirements for risk sub-module i and j respectively.
3. 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:
|
i / j |
Non-life premium and r |
|---|