Health SLT Longevity Risk

Overview

This calculator implements Health SLT Longevity Risk and measures the Article 153 loss in basic own funds after rebuilding the longevity-stress position from the visible stress ledger before carrying the result into Health SLT Risk.^[1]

Input Terms

• Basic Own Funds Before Stress: Basic own funds before applying the relevant underwriting stress scenario.
• Health Longevity Stress Asset Change: Health Longevity Stress Asset Change stated as a currency amount used directly in the calculator.
• Health Longevity Stress Technical Provisions Increase: Health Longevity Stress Technical Provisions Increase stated as a currency amount used directly in the calculator.
• Health Longevity Stress Other Liabilities Increase: Health Longevity Stress Other Liabilities Increase stated as a currency amount used directly in the calculator.
• Health Longevity Stress Tax Effect: Health Longevity Stress Tax Effect stated as a currency amount used directly in the calculator.
• Health Longevity Stress Other Own-Funds Change: Health Longevity Stress Other Own-Funds Change stated as a currency amount used directly in the calculator.

Technical Rationale

Longevity risk measures how much own funds would fall if policyholders survive longer than expected and annuity-like obligations persist for longer. The stressed-own-funds approach is important because the loss comes through a longer tail of liabilities and weaker release of margins, not through a single simple exposure factor.

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.
• This page is a stressed-own-funds bridge rather than a closed-form simplification. The stress-ledger movements fully determine the result.
• The stressed BOF is floored at zero on the route, so the measured capital charge cannot exceed the pre-stress basic own funds shown on the page.
• Gross vs. Net SCR: This calculator determines the standalone Health SLT Longevity 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.^[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]