Skip to content

Health NSLT Standard Deviation

Calculate the Total Non-Similar-to-Life Techniques Standard Deviation instantly.

SegmentPremium VolumeReserve VolumeSegment VolumePremium SigmaSegment Sigma
Medical Expense
€
€
€19 644 6705.00%4.35%
Income Protection
€
€
€10 964 4678.50%9.36%
Workers' Compensation
€
€
€9 137 0568.00%8.10%
Non-Proportional Health
€
€
€5 253 80717.00%15.79%

Total NSLT Standard Deviation

6.07%

=

Square-Root Portfolio Variance

€2 731 436

÷

Total NSLT Volume

€45 000 000

NSLT standard deviation correlation build-up

Waterfall chart showing standalone component charges, correlation adjustment, and diversified result.
StepDeltaRunning
Medical Expense854388.0095603319854388.0095603319
Income Protection1025845.62511447991880233.6346748117
Workers' Compensation740284.8052806942620518.4399555055
Non-Proportional Health829549.57079231313450068.0107478187
Segment Sigma-Volume Sum3450068.01074781873450068.0107478187
Correlation Adjustment-718632.35531278892731435.65543503
Square-Root Portfolio Variance2731435.655435032731435.65543503
NSLT segment sigma-volume shares
NSLT segment sigma-volume sharesShare of each segment in the total.Income Protection29.7% · €1.0MMedical Expense24.8% · €854KNon-ProportionalHealth24.0% · €830KWorkers'Compensation21.5% · €740K
ModuleShareAmount
Income Protection29.7%€1.0M
Medical Expense24.8%€854K
Non-Proportional Health24.0%€830K
Workers' Compensation21.5%€740K

NSLT correlation matrix

1.000.50
NSLT correlation matrix
1Medical Expense2Income Protection3Workers' Compensation4Non-Proportional Health
1Medical Expense
1.00
0.50
0.50
0.50
2Income Protection
0.50
1.00
0.50
0.50
3Workers' Compensation
0.50
0.50
1.00
0.50
4Non-Proportional Health
0.50
0.50
0.50
1.00
1Step 1

Calculate each NSLT segment standard deviation from premium and reserve volumes

σs=f(σprem,Vprem,σres,Vres)\sigma_s=f(\sigma_{prem},V_{prem},\sigma_{res},V_{res})
2Step 2

Aggregate segment standard deviations using the NSLT correlation matrix

σNSLT=∑i∑jCorrijσiViσjVj∑iVi\sigma_{NSLT}=\frac{\sqrt{\sum_i\sum_j Corr_{ij}\sigma_iV_i\sigma_jV_j}}{\sum_i V_i}

Understand the Health NSLT Standard Deviation

Overview

This calculator implements the Health NSLT Standard Deviation calculation within the Solvency II standard formula.[1] The standard deviation is defined as the measure of volatility associated with the undertaking's health-NSLT insurance and reinsurance obligations. It is calibrated to reflect the expected fluctuations in health-claims frequency and severity over a one-year horizon.

Input Terms

  • Prescribed Health Volatility: The volatility factors provided by EIOPA for each health line of business (LoB).[1]
  • Undertaking-Specific Parameters (USP): The internal health-volatility estimates used if the undertaking has supervisory approval for custom factors.
  • Diversified Health Volatility: The measure after aggregating the health-NSLT premium and reserve risk components.

Technical Rationale

The Health NSLT Standard Deviation is the primary volatility driver for the Health NSLT Premium & Reserve Risk requirement. It ensures that the capital requirement is representative of the undertaking's specific health-risk profile and its LoB-diversification.

The calculation aggregates the standard deviations for each health-LoB using the prescribed correlation matrix. This ensures the undertaking holds enough capital to absorb the risk of simultaneous large health-claims across multiple portfolios. The result is then multiplied by the Health NSLT Volume Measure to determine the total capital requirement for health-NSLT premium & reserve risk.[1]

Important Notes

  • 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.[2]
  • Reporting: The displayed result is intended to support the corresponding standard-formula component feeding the S.25.01.01 standard-formula reporting view.[3]

Sources

  1. Delegated Regulation (EU) 2015/35 - Art. 148 (Standard deviation for NSLT health premium and reserve risk) - EIOPA
  2. Directive 2009/138/EC - Art. 37 (Capital add-on) - EIOPA
  3. 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.