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Non-Life Catastrophe Risk

Calculate the Non-Life Catastrophe Risk Capital Requirement instantly.

€
€
€
€

Gross Branch Sum

€21 389 180

Before correlation diversification

−

Diversification Benefit

€8 754 901

−40.9% of standalone

Capital relief

=

Catastrophe Capital

€12 634 279

After diversification

Non-life catastrophe correlation build-up

Waterfall chart showing standalone component risk amounts, diversification benefit, and diversified result.
StepImpactRunning
Natural Catastrophe2894529.32270516132894529.3227051613
Non-Proportional Property35000006394529.322705161
Man-Made Catastrophe9274292.42584036715668821.748545527
Other Non-Life Catastrophe5720358.38038142521389180.12892695
Gross Branch Sum21389180.1289269521389180.12892695
Diversification Benefit-8754901.15231193812634278.976615014
Catastrophe Capital12634278.97661501412634278.976615014
Non-life catastrophe branch shares
Non-life catastrophe branch sharesShare of each segment in the total.Man-MadeCatastrophe43.4% · €9.3MOther Non-LifeCatastrophe26.7% · €5.7MNon-ProportionalProperty16.4% · €3.5MNaturalCatastrophe13.5% · €2.9M
ModuleShareAmount
Man-Made Catastrophe43.4%€9.3M
Other Non-Life Catastrophe26.7%€5.7M
Non-Proportional Property16.4%€3.5M
Natural Catastrophe13.5%€2.9M

Non-life catastrophe branch correlation matrix

1.000.001.00
Non-life catastrophe branch correlation matrix
NATNatural CatastropheNPPNon-Proportional PropertyMANMan-Made CatastropheOTHOther Non-Life Catastrophe
NATNatural Catastrophe
1.00
1.00
0.00
0.00
NPPNon-Proportional Property
1.00
1.00
0.00
0.00
MANMan-Made Catastrophe
0.00
0.00
1.00
0.00
OTHOther Non-Life Catastrophe
0.00
0.00
0.00
1.00
1Step 1

Sum catastrophe branch capital before diversification

Gross=NatCat+NPProperty+ManMade+OtherGross=NatCat+NPProperty+ManMade+Other
2Step 2

Aggregate natural catastrophe with non-proportional property, then combine with man-made and other catastrophe risk

SCRcat=(NatCat+NPProperty)2+ManMade2+Other2SCR_{cat}=\sqrt{(NatCat+NPProperty)^2+ManMade^2+Other^2}
3Step 3

Reconcile final capital and branch mix

Delta=Gross−SCRcatDelta=Gross-SCR_{cat}

Understand the Non-Life Catastrophe Risk

Overview

This calculator implements the gross capital requirement for the Non-Life Catastrophe Risk sub-module within the Solvency II standard formula.[1] The Catastrophe Risk requirement is defined as the economic capital necessary to cover the loss in basic own funds resulting from extreme, low-frequency 1-in-200 year tail events, including natural and man-made disasters.[2]

Input Terms

  • Natural Catastrophe Risk: The capital requirement for natural hazards such as windstorm, flood, earthquake, and hail.[3]
  • Non-Proportional Property Reinsurance: A specific sub-module for the risk associated with non-proportional property reinsurance obligations.[4]
  • Man-Made Catastrophe Risk: The capital requirement for human-driven disasters such as fire, aviation, marine, motor, and liability events.[5]
  • Other Non-Life Catastrophe Risk: A residual category for catastrophe risks not captured in the primary natural or man-made sub-modules.[6]

Technical Rationale

The Non-Life Catastrophe Risk sub-module is calibrated to a 99.5% confidence level over a one-year horizon. Unlike premium and reserve risk, catastrophe risk focuses on low-probability, extreme-impact scenarios that can cause sudden and severe depletion of own funds. The standard formula uses a scenario-based approach, where the requirement is the instantaneous loss in NAV under each prescribed disaster scenario.[1]

Article 119 aggregates natural catastrophe, man-made catastrophe, and non-proportional catastrophe components because each captures a different tail-event family.[1] The correlation rules recognize that these event families can diversify, while still preserving the portfolio's overall non-life catastrophe sensitivity before Non-Life Risk diversification.

Important Notes

  • Scenario Binding Path: For natural catastrophe risk, the requirement is determined by summing the results for each hazard, such as windstorm, flood, and earthquake, after applying the specified geographical diversification rules.
  • Man-Made Severity: Man-made catastrophe results typically depend on the largest individual concentration (e.g., the largest building for fire risk or the largest vessel for marine risk) or the risk-weighted exposure across the portfolio.[5]
  • Gross vs. Net SCR: This calculator determines the standalone Non-Life Catastrophe Risk SCR. Solvency II risk is only finalized as a net impact on Basic Own Funds after diversification in Non-Life Risk, 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.[7]
  • Reporting: The displayed result is intended to support the corresponding standard-formula component for the S.25.01.01 standard-formula reporting view.[8]

Sources

  1. Delegated Regulation (EU) 2015/35 - Art. 119 (Non-life catastrophe 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. 120 (Natural catastrophe risk sub-module) - EIOPA
  4. Delegated Regulation (EU) 2015/35 - Art. 127 (Sub-module for catastrophe risk of non-proportional property reinsurance) - EIOPA
  5. Delegated Regulation (EU) 2015/35 - Art. 128 (Man-made catastrophe risk sub-module) - EIOPA
  6. Delegated Regulation (EU) 2015/35 - Art. 135 (Sub-module for other non-life catastrophe risk) - EIOPA
  7. Directive 2009/138/EC - Art. 37 (Capital add-on) - EIOPA
  8. 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.