Life Longevity Risk Simplification

Calculate the Longevity Risk Capital Requirement instantly.

Average Mortality Rate During Next Twelve Months (q)

Modified Duration of Benefit Payments

Best Estimate of Longevity-Sensitive Obligations

€

Longevity Mortality Decrease

Longevity Escalation Factor

Longevity Risk Capital Requirement

€2 918 794

Longevity Mortality Decrease

20.0%

Longevity Escalation Factor

1.10

1Step 1

Longevity Risk Capital Requirement

\textit{Longevity Risk Capital Requirement} = \textit{Longevity Mortality Decrease} \times \textit{Average Mortality Rate During Next Twelve Months (q)} \times \textit{Modified Duration of Benefit Payments} \times {\textit{Longevity Escalation Factor}}^{\frac{\textit{Modified Duration of Benefit Payments} - 1}{2}} \times \textit{Best Estimate of Longevity-Sensitive Obligations}

\textit{Longevity Risk Capital Requirement} = \textit{Longevity Mortality Decrease} \times \textit{Average Mortality Rate During Next Twelve Months (q)} \times \textit{Modified Duration of Benefit Payments} \times {\textit{Longevity Escalation Factor}}^{\frac{\textit{Modified Duration of Benefit Payments} - 1}{2}} \times \textit{Best Estimate of Longevity-Sensitive Obligations}

\begin{aligned}\textit{Longevity Risk Capital Requirement} &= \textit{Longevity Mortality Decrease} \times \textit{Average Mortality Rate During Next Twelve Months (q)} \times \textit{Modified Duration of Benefit Payments} \times {\textit{Longevity Escalation Factor}}^{\frac{\textit{Modified Duration of Benefit Payments} - 1}{2}} \times \textit{Best Estimate of Longevity-Sensitive Obligations}\end{aligned}

Understand the Life Longevity Risk Simplification

Overview

This calculator implements the simplified capital requirement for Life Longevity Risk within the Solvency II standard formula.^[1] It estimates the capital effect of the longevity stress for obligations where lower mortality increases the value of liabilities.

Input Terms

Average Mortality Rate During Next 12 Months (q): The expected average mortality rate for the longevity-sensitive portfolio used in the Article 92 factor.^[1]
Modified Duration of Benefit Payments: The modified duration of the benefit payments included in the best estimate of the relevant obligations.^[1]
Best Estimate of Longevity-Sensitive Obligations: The best estimate amount for obligations exposed to longevity risk.^[1]
Article 92 Mortality Decrease: The prescribed longevity mortality decrease used in the simplified formula.^[1]
Article 92 Escalation Factor: The Article 92 duration escalation factor used to approximate the reserve effect over the payment duration.^[1]

Technical Rationale

Article 92 approximates the capital requirement by applying the prescribed longevity stress to the best estimate through an escalation factor based on mortality and duration.^[1] The calculation provides the simplified longevity component before aggregation in Life Risk.

Important Notes

Applicability: The simplification should only be used where the portfolio is sufficiently homogeneous for Article 92 to be representative.^[1]
Gross vs. Net SCR: This simplification estimates the standalone Life Longevity Risk SCR. Solvency II risk is only finalized as a net impact on Basic Own Funds after diversification in Life Risk, 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]

Sources

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.