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Non-Life Man-Made Catastrophe Risk

Calculate the Man-Made Catastrophe Risk Capital Requirement instantly.

€
€
€
€
€
€

Gross Sum

€20 906 596

Before correlation diversification

−

Diversification Benefit

€11 632 304

−55.6% of standalone

Capital relief

=

Man-Made Catastrophe Risk SCR

€9 274 292

After diversification

Man-made catastrophe correlation build-up

Waterfall chart showing standalone component risk amounts, diversification benefit, and diversified result.
StepImpactRunning
Motor Vehicle Liability Risk60000006000000
Marine Risk2163330.76527839348163330.765278393
Aviation Risk220000010363330.765278393
Fire Risk430000014663330.765278393
Liability Risk2000624.902374255716663955.66765265
Credit and Suretyship Risk4242640.68711928620906596.354771934
Gross Sum20906596.35477193420906596.354771934
Diversification Benefit-11632303.9289315689274292.425840367
Man-Made Catastrophe Risk SCR9274292.4258403679274292.425840367
Man-made catastrophe peril shares
Man-made catastrophe peril sharesShare of each segment in the total.Motor VehicleLiability28.7% · €6.0MFire20.6% · €4.3MCredit andSuretyship20.3% · €4.2MAviation10.5% · €2.2MMarine10.3% · €2.2MLiability9.6% · €2.0M
ModuleShareAmount
Motor Vehicle Liability Risk28.7%€6.0M
Fire Risk20.6%€4.3M
Credit and Suretyship Risk20.3%€4.2M
Aviation Risk10.5%€2.2M
Marine Risk10.3%€2.2M
Liability Risk9.6%€2.0M

Man-made catastrophe correlation matrix

1.000.00
Man-made catastrophe correlation matrix
MotorMotor Vehicle Liability RiskMarineMarine RiskAviationAviation RiskFireFire RiskLiabilityLiability RiskCreditCredit and Suretyship Risk
MotorMotor Vehicle Liability Risk
1.00
0.00
0.00
0.00
0.00
0.00
MarineMarine Risk
0.00
1.00
0.00
0.00
0.00
0.00
AviationAviation Risk
0.00
0.00
1.00
0.00
0.00
0.00
FireFire Risk
0.00
0.00
0.00
1.00
0.00
0.00
LiabilityLiability Risk
0.00
0.00
0.00
0.00
1.00
0.00
CreditCredit and Suretyship Risk
0.00
0.00
0.00
0.00
0.00
1.00
1Step 1

Sum contributing man-made catastrophe peril capital before diversification

Gross=∑iSCRiGross=\sum_i SCR_i
2Step 2

Aggregate contributing perils with zero cross-correlation

SCRman−made=∑iSCRi2SCR_{man-made}=\sqrt{\sum_i SCR_i^2}
3Step 3

Reconcile final capital and peril mix

Delta=Gross−SCRman−madeDelta=Gross-SCR_{man-made}

Understand the Non-Life Man-Made Catastrophe Risk

Overview

This calculator implements the diversified capital requirement for Man-made Catastrophe Risk within the Solvency II Non-Life Underwriting standard formula.[1]

Input Terms

  • Fire Catastrophe Risk: The capital requirement for large-scale fire events in buildings or concentrated property areas.[2]
  • Marine Catastrophe Risk: The capital requirement for catastrophic shipping or offshore accidents.[3]
  • Aviation Catastrophe Risk: The capital requirement for large-scale aviation disasters.[4]
  • Motor Vehicle Liability Risk: The capital requirement for large-scale motor accidents (e.g., in tunnels).[5]
  • Liability Catastrophe Risk: The capital requirement for catastrophic liability claims across multiple business lines.[6]
  • Credit & Suretyship Risk: The capital requirement for large-scale defaults in credit and bonding portfolios.[7]

Technical Rationale

The Man-made Catastrophe Risk sub-module is calibrated to a 99.5% confidence level over a one-year horizon. It aggregates the motor, marine, aviation, fire, liability, and credit/suretyship capital requirements by square-root sum of squares.

Article 128 groups fire, motor liability, marine, aviation, liability, credit and suretyship, and other man-made catastrophe risks because they are severe event risks with different drivers.[1] The root-sum-square structure recognizes diversification between those drivers: a catastrophic fire and a major credit default can occur in the same year, but they are not assumed to be perfectly correlated in the 1-in-200 year tail.

Important Notes

  • Exposure Concentration: The requirement is highly sensitive to the undertaking's largest single-item exposures (e.g., the largest building insured for fire or the largest vessel for marine).
  • Gross vs. Net SCR: This calculator determines the standalone Non-Life Man-Made 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.[8]
  • Reporting: The displayed result is intended to support the corresponding standard-formula component for the S.25.01.01 standard-formula reporting view.[9]

Sources

  1. Delegated Regulation (EU) 2015/35 - Art. 128 (Man-made catastrophe risk sub-module) - EIOPA
  2. Delegated Regulation (EU) 2015/35 - Art. 132 (Fire risk sub-module) - EIOPA
  3. Delegated Regulation (EU) 2015/35 - Art. 130 (Marine risk sub-module) - EIOPA
  4. Delegated Regulation (EU) 2015/35 - Art. 131 (Aviation risk sub-module) - EIOPA
  5. Delegated Regulation (EU) 2015/35 - Art. 129 (Motor vehicle liability risk sub-module) - EIOPA
  6. Delegated Regulation (EU) 2015/35 - Art. 133 (Liability risk sub-module) - EIOPA
  7. Delegated Regulation (EU) 2015/35 - Art. 134 (Credit and suretyship risk sub-module) - EIOPA
  8. Directive 2009/138/EC - Art. 37 (Capital add-on) - EIOPA
  9. 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.