Health Risk

Overview

This calculator implements the diversified capital requirement for the Health Underwriting Risk module within the Solvency II standard formula.^[1] The Health Risk requirement is defined as the economic capital necessary to cover the loss in basic own funds resulting from a 1-in-200 year stress event across SLT, NSLT, and catastrophe scenarios.^[2]

Input Terms

• NSLT Health Underwriting Risk: The capital requirement for Health obligations valued using non-similar-to-life techniques, including premium, reserve, and lapse risks.^[3]
• SLT Health Underwriting Risk: The capital requirement for Health obligations valued using similar-to-life techniques, involving biometric and behavioral actuarial shocks.^[4]
• Health Catastrophe Risk: The capital requirement for extreme tail events impacting the health portfolio, such as mass accidents and concentrated pandemic scenarios.^[5]

Technical Rationale

The Health Underwriting Risk module is calibrated to a 99.5% confidence level over a one-year horizon. The module applies a mandatory distinction between Similar-to-Life Techniques (SLT) and Non-Similar-to-Life Techniques (NSLT), as the underlying reserving and risk dynamics for these exposures differ fundamentally.^[1]

SLT business is stressed using the biometric framework (mortality, longevity, disability, etc.) through the SLT health correlation matrix, while NSLT business is primarily measured through the premium and reserve volatility logic defined in Article 145. The final module result is the diversified sum of the sub-module requirements, providing the diversified health underwritingterm in the BSCR aggregation.

Important Notes

• Article 113 Scope: The Health underwriting module applies to health insurance and reinsurance obligations. The SLT/NSLT split is an internal health-module allocation step after the obligation has first been identified as health underwriting risk.^[6]
• Technique-Based Classification: Contracts must be allocated to SLT or NSLT based on the actuarial techniques used to value the technical provisions, not by the business line's colloquial name. This distinction is critical for the correct regulatory capital factor application.^[1]
• Health-Catastrophe Aggregation: Unlike Intangible Asset Risk, the Health Catastrophe sub-module is integrated into the Health module's square-root aggregation rather than being added linearly on top.^[1]
• 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.^[7]
• Reporting: The displayed result is intended to support the corresponding standard-formula component for the S.25.01.01 standard-formula reporting view.^[8]