Non-Life Liability Risk

Overview

This calculator implements the diversified Non-Life Liability Risk amount within the man-made catastrophe risk module.^[1] Article 133 prepares a separate amount for each Annex XI liability risk group, then aggregates those five amounts with the prescribed Annex XI correlation matrix.

Input Terms

• Professional Malpractice Risk: The Article 133 amount for claims arising from professional-service errors, omissions, negligence, or breach of professional duty.^[1]
• Employers Liability Risk: The Article 133 amount for workplace injury, illness, disease, or similar claims brought under employer responsibility.^[1]
• Directors and Officers Risk: The Article 133 amount for claims linked to management acts by directors or officers, including governance, disclosure, or fiduciary allegations.^[1]
• General Liability Risk: The Article 133 amount for third-party liability exposure not captured by the more specific liability risk groups, such as public, product, bodily injury, or property-damage liability.^[1]
• Non-Proportional Liability Reinsurance Risk: The Article 133 amount for accepted liability reinsurance where the cover responds above an attachment point or by layer rather than as a proportional share.^[1]

Technical Rationale

For each liability group, Article 133 multiplies the next-12-month premium base by the fixed Annex XI factor for that group.^[1] The liability aggregation then applies the Article 133 square-root correlation method across the five group amounts.

The correlation matrix is needed because liability catastrophe losses can share systemic drivers, such as legal, social, inflationary, or casualty trends, without every liability class being treated as fully simultaneous. The diversified result is therefore lower than the arithmetic sum when the Annex XI correlations allow diversification, and reaches the arithmetic sum only in the fully correlated limit.

Important Notes

• Risk-group evidence: Each liability class needs its own premium, largest limit, and unlimited-cover evidence because Annex XI uses different factors and Article 133 uses class-specific claim-count assumptions.
• Recoverables: Article 133 states that the instantaneous loss amount is calculated without deduction of amounts recoverable from reinsurance contracts or special purpose vehicles. Any recovery effect belongs in a full stressed basic-own-funds model, not as a simple subtraction from the group amount.
• Gross vs. Net SCR: This calculator determines the standalone Non-Life Liability 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.^[2]
• Reporting: The displayed result is intended to support the corresponding standard-formula component for the S.25.01.01 standard-formula reporting view.^[3]