Health SLT Mortality Risk

Overview

This calculator implements Health SLT Mortality Risk and converts the mortality stress ledger into the standalone mortality loss that later feeds Health SLT Risk.^[1]

Input Terms

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

Technical Rationale

Mortality risk is measured as the reduction in basic own funds under a sharp increase in deaths on protection-style business. The stressed-own-funds format matters because the regulatory question is the net balance-sheet loss after claims, reserves, reinsurance, tax, and other offsets have all reacted, not just the gross increase in benefits.

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.
• The runtime floors stressed own funds at zero before measuring the loss, so the output cannot exceed the full pre-stress own-funds balance.
• The page is only as reliable as the stress-ledger sign convention feeding it; liability and technical-provision increases should reduce stressed own funds, not add to them.
• Gross vs. Net SCR: This calculator determines the standalone Health SLT Mortality 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]