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Health NSLT HRES Adjustment

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

SegmentNon-HRES PremiumHRES PremiumNon-HRES ReserveHRES ReservePremium SigmaReserve SigmaSegment Sigma
Medical Expense
€
€
€
€
5.00%5.42%4.49%
Income Protection
€
€
€
€
7.52%10.85%7.71%
Workers' Compensation
€
€
€
€
6.64%8.22%6.37%
Non-Proportional Health
€
-
€
-17.00%20.00%15.79%

Total NSLT Standard Deviation

5.09%

=

Square-Root Portfolio Variance

€4 696 181

÷

Total HRES-Adjusted Volume

€92 253 807

HRES-adjusted NSLT correlation build-up

Waterfall chart showing standalone component risk amounts, diversification benefit, and diversified result.
StepImpactRunning
Medical Expense1931806.14969514991931806.1496951499
Income Protection1851200.62391951473783006.7736146646
Workers' Compensation1273067.16240738825056073.936022053
Non-Proportional Health829549.57079231315885623.506814365
HRES Sigma-Volume Sum5885623.5068143655885623.506814365
Diversification Benefit-1189442.32928471554696181.17752965
Square-Root Portfolio Variance4696181.177529654696181.17752965
HRES-adjusted segment sigma-volume shares
HRES-adjusted segment sigma-volume sharesShare of each segment in the total.Medical Expense32.8% · €1.9MIncome Protection31.5% · €1.9MWorkers'Compensation21.6% · €1.3MNon-ProportionalHealth14.1% · €830K
ModuleShareAmount
Medical Expense32.8%€1.9M
Income Protection31.5%€1.9M
Workers' Compensation21.6%€1.3M
Non-Proportional Health14.1%€830K

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

Blend base and HRES sigma factors by premium and reserve volume split

σadj=σbaseVnonHRES+σHRESVHRESVtotal\sigma_{adj}=\frac{\sigma_{base}V_{nonHRES}+\sigma_{HRES}V_{HRES}}{V_{total}}
2Step 2

Calculate each segment standard deviation from adjusted premium and reserve sigmas

σs=f(σprem,adj,Vprem,σres,adj,Vres)\sigma_s=f(\sigma_{prem,adj},V_{prem},\sigma_{res,adj},V_{res})
3Step 3

Aggregate NSLT 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 HRES Adjustment

Overview

This calculator implements the Health NSLT HRES Adjustment used in the Solvency II health NSLT premium and reserve standard-deviation calculation.[1] It separates volumes covered by a health risk equalisation system from other NSLT health volumes.

Input Terms

  • Non-HRES Premium Volume: The premium volume for HRES-eligible NSLT health segments that is not covered by a health risk equalisation system.[2][1]
  • HRES Premium Volume: The premium volume for HRES-eligible NSLT health segments covered by a health risk equalisation system.[2][1]
  • Non-HRES Reserve Volume: The reserve volume for HRES-eligible NSLT health segments that is not covered by a health risk equalisation system.[2][1]
  • HRES Reserve Volume: The reserve volume for HRES-eligible NSLT health segments covered by a health risk equalisation system.[2][1]
  • Unsupported Segment Premium Volume: The premium volume for NSLT health segments that do not support the HRES adjustment.[2][3]
  • Unsupported Segment Reserve Volume: The reserve volume for NSLT health segments that do not support the HRES adjustment.[2][3]

Technical Rationale

Article 149 adjusts the premium and reserve standard deviations for health NSLT obligations covered by a health risk equalisation system.[1] The resulting segment standard deviations are Article 148 inputs for NSLT health premium and reserve risk.[3]

Important Notes

  • HRES boundary: Only volumes meeting the Article 149 health risk equalisation system conditions should receive the adjusted HRES standard-deviation treatment.[1]
  • Reporting: The HRES-adjusted volatility inputs support the NSLT health premium and reserve risk fields in the S.26.04.01 health underwriting risk reporting view; they are not standalone SCR components.[4]

Sources

  1. Delegated Regulation (EU) 2015/35 - Art. 149 (Health risk equalisation systems) - EIOPA
  2. Delegated Regulation (EU) 2015/35 - Art. 147 (Volume measure for NSLT health premium and reserve risk) - EIOPA
  3. Delegated Regulation (EU) 2015/35 - Art. 148 (Standard deviation for NSLT health premium and reserve risk) - EIOPA
  4. Commission Implementing Regulation (EU) 2023/894 - QRT S.26.04.01 (SCR health underwriting risk) - 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.