1. Calculation of the Basic Solvency Capital Requirement
The Basic Solvency Capital Requirement set out in Article 104(1) shall be equal to the following:
where SCRi denotes the risk module i and SCRj denotes the risk module j, and where "i,j" means that the sum of the different terms should cover all possible combinations of i and j. In the calculation, SCRi and SCRj are replaced by the following:
- SCR non-life denotes the non-life underwriting risk module,
- SCR life denotes the life underwriting risk module,
- SCR health denotes the health underwriting risk module,
- SCR market denotes the market risk module,
- SCR default denotes the counterparty default risk module,
The factor Corr i,j denotes the item set out in row i and in column j of the following correlation matrix:
|
i/j |
Market |
Default |
Life |
Health |
Non-life |
|---|---|---|---|---|---|
|
Market |
1 |
0,25 |
0,25 |
0,25 |
0,25 |
|
Default |
0,25 |
1 |
0,25 |
0,25 |
0,5 |
|
Life |
0,25 |
0,25 |
1 |
0,25 |
0 |
|
Health |
0,25 |
0,25 |
0 |