Health Pandemic Risk

Overview

This calculator implements the gross capital requirement for the Health Pandemic Risk sub-module within the Solvency II standard formula.^[1] The Health Pandemic Risk requirement is defined as the economic capital necessary to cover the loss in basic own funds resulting from an extreme, low-frequency 1-in-200 year tail event affecting health-related obligations through a worldwide pandemic.^[2]

Input Terms

• Event Severity: The prescribed capital amount for each type of health-related injury (e.g., death, permanent disability, or hospitalization).^[1]
• Exposed Persons: The total count of persons insured under the health-related obligations who are potentially exposed to a pandemic event.

Technical Rationale

The Health Pandemic Risk sub-module is calibrated to a 99.5% confidence level over a one-year horizon. Unlike the localized accident risks, pandemic risk focuses on a worldwide catastrophic event (e.g., a major infectious disease outbreak) that affects a significant portion of the undertaking's global insured population.^[1]

The calculation uses a scenario-based approach, summing the prescribed capital charges for each injured person based on the severity of the mortality and morbidity impacts expected in a 1-in-200 year pandemic event. This method ensures that the undertaking holds enough capital to absorb the sudden and widespread surge in claims across multiple geographical areas. The final result represents the gross health catastrophe component before diversification in Health Risk.

Important Notes

• Stress-ledger evidence gate: Stressed basic own funds must be backed by a full balance-sheet revaluation flag and model-run evidence flag. The capital result remains the visible loss in basic own funds, while the governance-breach output flags unsupported stress inputs for review. Use `underwriting-stressed-bof-loss-bridge` when the valuation delta needs to be inspected as its own atomistic calculator.
• Accident Diversification: The diversification between different types of injuries (death vs. hospitalization) is already recognized within the prescribed regulatory weights at this sub-module layer.
• Gross vs. Net SCR: This calculator determines the standalone Health Pandemic Risk SCR on the visible stressed basis. Even where the page already reflects direct own-funds or tax effects, 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.^[3]
• Reporting: The displayed result is intended to support the corresponding standard-formula component feeding the S.25.01.01 standard-formula reporting view.^[4]