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Actuably

Non-Life Windstorm Risk

AdvancedRequires external valuation

Calculate the Windstorm Risk Capital Requirement instantly.

Use the undertaking's valuation model for the capital impact. This page documents the prescribed stress.

#
Annex V RegionWindstorm SCR
1
€
2
€
3
€
4
€

Gross Sum

€2 550 000

Before correlation diversification

−

Diversification Benefit

€710 843

−27.9% of standalone

Capital relief

=

Windstorm Risk Capital Requirement

€1 839 157

After diversification

Windstorm top-level aggregation build-up

Waterfall chart showing standalone component risk amounts, diversification benefit, and diversified result.
StepImpactRunning
AT - Republic of Austria (AT)12000001200000
BE - Kingdom of Belgium (BE)8000002000000
CH - Swiss Confederation; Principality of Lichtenstein (CH)4000002400000
Other Regions (OTH)1500002550000
Gross Sum25500002550000
Diversification Benefit-710842.58422504781839157.4157749522
Windstorm Risk1839157.41577495221839157.4157749522
Windstorm component shares
Windstorm component sharesShare of each segment in the total.AT - Republicof Austria (AT)47.1% · €1.2MBE - Kingdomof Belgium (BE)31.4% · €800KCH - Swiss Confederation;Principality of Lichtenstein (CH)15.7% · €400KOtherRegions (OTH)5.9% · €150K
ModuleShareAmount
AT - Republic of Austria (AT)47.1%€1.2M
BE - Kingdom of Belgium (BE)31.4%€800K
CH - Swiss Confederation; Principality of Lichtenstein (CH)15.7%€400K
Other Regions (OTH)5.9%€150K

Windstorm top-level correlation matrix

1.000.000.250.50
Windstorm top-level correlation matrix
ATAT - Republic of Austria (AT)BEBE - Kingdom of Belgium (BE)CHCH - Swiss Confederation; Principality of Lichtenstein (CH)OTHOther Regions (OTH)
ATAT - Republic of Austria (AT)
1.00
0.25
0.50
0.00
BEBE - Kingdom of Belgium (BE)
0.25
1.00
0.25
0.00
CHCH - Swiss Confederation; Principality of Lichtenstein (CH)
0.50
0.25
1.00
0.00
OTHOther Regions (OTH)
0.00
0.00
0.00
1.00
1Step 1

Capture windstorm region amounts by annex v region

Components={SCR1,…,SCRn}Components=\{SCR_1,\ldots,SCR_n\}
2Step 2

Apply the Article 121 top-level aggregation formula

SCRwindstorm=∑r,sCorrWSr,sSCRrSCRs+SCRother2SCR_{windstorm}=\sqrt{\sum_{r,s}CorrWS_{r,s}SCR_rSCR_s+SCR_{other}^{2}}
3Step 3

Reconcile gross sum, diversification benefit, and final SCR

Adjustment=Gross−SCRAdjustment=Gross-SCR

Understand the Non-Life Windstorm Risk

Overview

This calculator implements the gross capital requirement for the Windstorm Risk sub-module within the Solvency II Non-Life Underwriting standard formula.[1] The Windstorm Risk requirement is defined as the economic capital necessary to cover the loss in basic own funds resulting from an extreme, low-frequency 1-in-200 year windstorm hazard.[2]

Input Terms

  • Windstorm SCR: The capital requirement for windstorm risk in each region after the Article 121 regional scenario and zone mechanics have been calculated.[1]
  • Annex V Region: The selected region for each windstorm SCR amount. The page deduces the Article 121 regional correlation coefficient from the selected pair of Annex V regions.[1]
  • Other Regions: The capital requirement for windstorm risk in regions outside the specified regional set.[1]

Technical Rationale

The Windstorm Risk sub-module is calibrated to a 99.5% confidence level over a one-year horizon. It captures the sensitivity of the undertaking’s basic own funds to a catastrophic atmospheric event, such as a major cyclone or storm system. The standard formula uses a geographical scenario-based approach, summing the results for each hazard zone after applying the specified diversification rules between zones.[1]

Article 121 separates windstorm into regional risk amounts because large storm systems can affect several territories at once while still leaving meaningful geographical diversification. The prescribed regional correlation matrix captures that dependence without assuming every regional loss is fully simultaneous.[1]

The other-windstorm component remains visible because the regulation treats specified Annex V regions and residual windstorm exposure differently. Keeping that boundary explicit makes the calculation an aggregation endpoint rather than a substitute for the regional scenario work.

The regional scenario, zone weighted-sum-insured, and reinsurance sequence mechanics remain separate Article 121 evidence before regional SCR aggregation.

Important Notes

  • Scenario source discipline: Prepared catastrophe scenario amounts should be traceable to a documented valuation or exposure model. The calculator keeps the form focused on result-driving scenario amounts and leaves evidence review in the methodology file or governance workflow.
  • Geographical Concentration: The requirement is highly sensitive to the concentration of property values in high-risk coastal or northern European zones.
  • Model boundary: This page is the final aggregation step. It does not calculate sums insured, weighted sums insured, specified regional losses, Scenario A, Scenario B, or the other-regions premium and diversification formula.
  • Gross vs. Net SCR: This calculator determines the standalone Non-Life Windstorm 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.[3]
  • Reporting: The displayed result is intended to support the corresponding standard-formula component for the S.25.01.01 standard-formula reporting view.[4]

Sources

  1. Delegated Regulation (EU) 2015/35 - Art. 121 (Windstorm risk sub-module) - EIOPA
  2. Directive 2009/138/EC - Art. 101 (99.5% VaR / 1-in-200 calibration) - EIOPA
  3. Directive 2009/138/EC - Art. 37 (Capital add-on) - EIOPA
  4. 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.