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Health SLT Underwriting Risk

Calculate the Similar-to-Life Techniques Health Risk Capital instantly.

€
€
€
€
€
€

Standalone Component Total

€13 300 000

Before correlation diversification

−

Correlation Adjustment

€6 037 597

−45.4% of standalone

Capital relief

=

SLT Health Risk Capital

€7 262 403

After diversification

Health SLT correlation build-up

Waterfall chart showing standalone component charges, correlation adjustment, and diversified result.
StepDeltaRunning
Mortality31500003150000
Longevity21000005250000
Disability26000007850000
Expense19000009750000
Revision125000011000000
Lapse230000013300000
Standalone Component Total1330000013300000
Correlation Adjustment-6037596.8164800987262403.183519902
SLT Health Risk Capital7262403.1835199027262403.183519902
Health SLT sub-module shares
Health SLT sub-module sharesShare of each segment in the total.Mortality23.7% · €3.2MDisability19.5% · €2.6MLapse17.3% · €2.3MLongevity15.8% · €2.1MExpense14.3% · €1.9MRevision9.4% · €1.3M
ModuleShareAmount
Mortality23.7%€3.2M
Disability19.5%€2.6M
Lapse17.3%€2.3M
Longevity15.8%€2.1M
Expense14.3%€1.9M
Revision9.4%€1.3M

Health SLT correlation matrix

1.00-0.250.000.250.50
Health SLT correlation matrix
MORTMortalityLONGLongevityDISDisabilityEXPExpenseREVRevisionLAPLapse
MORTMortality
1.00
-0.25
0.25
0.25
0.00
0.00
LONGLongevity
-0.25
1.00
0.00
0.25
0.25
0.25
DISDisability
0.25
0.00
1.00
0.50
0.00
0.00
EXPExpense
0.25
0.25
0.50
1.00
0.50
0.50
REVRevision
0.00
0.25
0.00
0.50
1.00
0.00
LAPLapse
0.00
0.25
0.00
0.50
0.00
1.00
1Step 1

Capture standalone component charges for Health SLT Risk

Standalone=∑iSCRiStandalone=\sum_i SCR_i
2Step 2

Apply the standard formula aggregation relationship

SCR=∑i∑jCorrijSCRiSCRjSCR=\sqrt{\sum_i\sum_j Corr_{ij}SCR_iSCR_j}
3Step 3

Reconcile final capital and component mix

Delta=Standalone−SCRDelta=Standalone-SCR

Understand the Health SLT Underwriting Risk

Overview

This calculator implements the aggregation of the Health Similar to Life Techniques (SLT) underwriting risk sub-module within the Solvency II standard formula.[1] The Health SLT Risk requirement is defined as the economic capital necessary to cover the loss in basic own funds resulting from an aggregate stress to health obligations managed using life actuarial techniques.[2]

Input Terms

  • Mortality Risk (Health SLT): The capital requirement for adverse shifts in death rates for long-term health contracts.[3]
  • Longevity Risk (Health SLT): The capital requirement for adverse shifts in survival rates.[4]
  • Disability-Morbidity Risk (Health SLT): The capital requirement for adverse shifts in sickness inception and recovery rates.[5]
  • Expense Risk (Health SLT): The capital requirement for increases in administrative costs and inflation.[6]
  • Revision Risk (Health SLT): The capital requirement for adverse revision of annuity benefits.[7]
  • Lapse Risk (Health SLT): The capital requirement for adverse policyholder termination behavior.[8]

Technical Rationale

The Health SLT Risk sub-module is calibrated to a 99.5% confidence level over a one-year horizon. It aggregates the granular risks associated with long-term, non-cancellable health insurance obligations that are managed similarly to life insurance (e.g., permanent health insurance or long-term care).

The calculation uses the standard Solvency II square-root aggregation formula with a prescribed correlation matrix.[1] This ensures the capital requirement accounts for the diversification between biometric, expense, and lapse risks within the health SLT portfolio. The result represents the total health SLT component before further aggregation into the Health Underwriting Risk module.

Important Notes

  • Gross vs. Net SCR: This calculator determines the standalone Health SLT Underwriting Risk SCR. 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.[9]
  • Reporting: The displayed result is intended to support the corresponding standard-formula component feeding the S.25.01.01 standard-formula reporting view.[10]

Sources

  1. Delegated Regulation (EU) 2015/35 - Art. 151 (SLT health underwriting risk sub-module) - EIOPA
  2. Directive 2009/138/EC - Art. 101 (99.5% VaR / 1-in-200 calibration) - EIOPA
  3. Delegated Regulation (EU) 2015/35 - Art. 152 (Health mortality risk sub-module) - EIOPA
  4. Delegated Regulation (EU) 2015/35 - Art. 153 (Health longevity risk sub-module) - EIOPA
  5. Delegated Regulation (EU) 2015/35 - Art. 154 (Health disability-morbidity risk sub-module) - EIOPA
  6. Delegated Regulation (EU) 2015/35 - Art. 157 (Health expense risk sub-module) - EIOPA
  7. Delegated Regulation (EU) 2015/35 - Art. 158 (Health revision risk sub-module) - EIOPA
  8. Delegated Regulation (EU) 2015/35 - Art. 159 (SLT health lapse risk sub-module) - EIOPA
  9. Directive 2009/138/EC - Art. 37 (Capital add-on) - EIOPA
  10. Commission Implementing Regulation (EU) 2023/894 - QRT S.25.01.01 (SCR standard formula) - EUR-Lex

Default values are illustrative sample inputs for navigation, training, and QA. Replace them with controlled data before using the result in capital analysis, governance, or reporting decisions.