Health SLT Longevity Risk Simplification

Overview

This calculator implements the simplified capital requirement for Health SLT Longevity Risk within the Solvency II standard formula.^[1] It estimates the effect of a longevity stress for similar-to-life health obligations.

Input Terms

• Average Mortality Rate During Next 12 Months (q): The expected average mortality rate for the health SLT longevity-sensitive portfolio.^[1]
• Modified Duration of Benefit Payments: The modified duration of benefit payments included in the best estimate.^[1]
• Best Estimate of Longevity-Sensitive SLT Health Obligations: The best estimate amount for health SLT obligations exposed to longevity risk.^[1]
• Article 98 Mortality Decrease: The prescribed health SLT longevity mortality decrease used in the simplified formula.^[1]
• Article 98 Escalation Factor: The Article 98 duration escalation factor used to approximate the reserve effect over the payment duration.^[1]

Technical Rationale

Article 98 approximates health longevity capital by applying the longevity stress to the best estimate through a mortality and duration factor.^[1] The simplification is a proportional substitute for a full stressed valuation only where the Article 98 conditions are supportable; broader Health Risk aggregation remains a separate capital requirement step.

Important Notes

• Applicability: The simplification should only be used where the selected health obligations behave like life techniques and are materially exposed to longevity risk.^[1]
• Gross vs. Net SCR: This simplification estimates the standalone Health SLT Longevity Risk SCR. Solvency II risk is only finalized as a net impact on Basic Own Funds after diversification in the higher Health Risk aggregation path, then within BSCR, and after the top-level LAC TP and LAC DT adjustments.
• Regulatory deviation: Material deviation from the standard-formula assumptions or from the conditions supporting this simplification may support a capital add-on or a move toward a fuller or internal-model approach where justified.^[2]
• Reporting: The simplified result is intended to support the corresponding standard-formula component for the S.25.01.01 standard-formula reporting view, not to replace the full article-based result where the simplification is not justified.^[3]