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Health NSLT Underwriting Risk

Calculate the Non-Similar-to-Life Techniques Health Risk Capital instantly.

€
€

Standalone Component Total

€10 444 307

Before correlation diversification

−

Correlation Adjustment

€1 946 709

−18.6% of standalone

Capital relief

=

NSLT Health Risk Capital

€8 497 598

After diversification

Health NSLT correlation build-up

Waterfall chart showing standalone component charges, correlation adjustment, and diversified result.
StepDeltaRunning
Premium and Reserve8194306.9663050898194306.966305089
Lapse225000010444306.966305088
Standalone Component Total10444306.96630508810444306.966305088
Correlation Adjustment-1946709.26707055058497597.699234538
NSLT Health Risk Capital8497597.6992345388497597.699234538
Health NSLT sub-module shares
Health NSLT sub-module sharesShare of each segment in the total.Premiumand Reserve78.5% · €8.2MLapse21.5% · €2.3M
ModuleShareAmount
Premium and Reserve78.5%€8.2M
Lapse21.5%€2.3M

Health NSLT correlation matrix

1.000.00
Health NSLT correlation matrix
PRPremium and ReserveLAPLapse
PRPremium and Reserve
1.00
0.00
LAPLapse
0.00
1.00
1Step 1

Capture standalone component charges for Health NSLT Risk

Standalone=∑iSCRiStandalone=\sum_i SCR_i
2Step 2

Apply the standard formula aggregation relationship

SCR=∑i∑jCorrijSCRiSCRjSCR=\sqrt{\sum_i\sum_j Corr_{ij}SCR_iSCR_j}
3Step 3

Reconcile final capital and component mix

Delta=Standalone−SCRDelta=Standalone-SCR

Understand the Health NSLT Underwriting Risk

Overview

This calculator implements the aggregation of the Health Non-Similar to Life Techniques (NSLT) underwriting risk sub-module within the Solvency II standard formula.[1] The Health NSLT Risk requirement is defined as the economic capital necessary to cover the loss in basic own funds resulting from an aggregate stress to health NSLT obligations.[2]

Input Terms

  • Premium & Reserve Risk (Health NSLT): The capital requirement for fluctuations in premium and reserve levels for NSLT health business.[3]
  • Lapse Risk (Health NSLT): The capital requirement for adverse policyholder termination behavior for NSLT health business.[4]

Technical Rationale

The Health NSLT Risk sub-module is calibrated to a 99.5% confidence level over a one-year horizon. It aggregates the granular risks associated with health insurance obligations that are not managed similarly to life insurance (typically short-term, renewable contracts).

The calculation uses the standard Solvency II square-root aggregation formula with a prescribed correlation matrix.[1] This ensures the capital requirement accounts for the diversification effect between premium/reserve volatility and lapse behavior within the health NSLT portfolio. The result represents the total health NSLT component before further aggregation into the Health Underwriting Risk module.

Important Notes

  • Gross vs. Net SCR: This calculator determines the standalone Health NSLT Underwriting Risk SCR. Solvency II risk is only finalized as a net impact on Basic Own Funds after diversification in the higher Health Risk aggregation chain, then within BSCR, and after the top-level LAC TP and LAC DT adjustments.
  • Regulatory deviation: Material deviation from standard-formula assumptions at this layer may support a capital add-on or a move toward an internal model where justified.[5]
  • Reporting: The displayed result is intended to support the corresponding standard-formula component feeding the S.25.01.01 standard-formula reporting view.[6]

Sources

  1. Delegated Regulation (EU) 2015/35 - Art. 145 (NSLT health underwriting risk sub-module) - EIOPA
  2. Directive 2009/138/EC - Art. 101 (99.5% VaR / 1-in-200 calibration) - EIOPA
  3. Delegated Regulation (EU) 2015/35 - Art. 146 (NSLT health premium and reserve risk sub-module) - EIOPA
  4. Delegated Regulation (EU) 2015/35 - Art. 150 (NSLT health lapse risk sub-module) - EIOPA
  5. Directive 2009/138/EC - Art. 37 (Capital add-on) - EIOPA
  6. Commission Implementing Regulation (EU) 2023/894 - QRT S.25.01.01 (SCR standard formula) - EUR-Lex

Default values are illustrative sample inputs for navigation, training, and QA. Replace them with controlled data before using the result in capital analysis, governance, or reporting decisions.