(1) The Basic Solvency Capital Requirement set out in Regulation 117(1) shall be equal to the following:
where -
SCRi denotes the risk module i;
SCRj denotes the risk module j;
'i,j' means that the sum of the different terms should cover all possible combinations of i and j.
(2) 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.
(3) 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 |
0,25 |
1 |
0 |
|
Non-life |
0,25 |
0,5 |
0 |
0 |
1 |