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Non-Life Catastrophe Risk

Calculate the Non-Life Catastrophe Risk Capital instantly.

€
€
€
€

Gross Branch Sum

€26 713 481

Before correlation diversification

−

Correlation Adjustment

€8 441 878

−31.6% of standalone

Capital relief

=

Catastrophe Capital

€18 271 602

After diversification

Non-life catastrophe correlation build-up

Waterfall chart showing standalone component charges, correlation adjustment, and diversified result.
StepDeltaRunning
Natural Catastrophe12757350.82217307412757350.822173074
Non-Proportional Property350000016257350.822173074
Man-Made Catastrophe7956129.71236643424213480.534539506
Other Non-Life Catastrophe250000026713480.534539506
Gross Branch Sum26713480.53453950626713480.534539506
Correlation Adjustment-8441878.09372409818271602.440815408
Catastrophe Capital18271602.44081540818271602.440815408
Non-life catastrophe branch shares
Non-life catastrophe branch sharesShare of each segment in the total.NaturalCatastrophe47.8% · €13MMan-MadeCatastrophe29.8% · €8.0MNon-ProportionalProperty13.1% · €3.5MOther Non-LifeCatastrophe9.4% · €2.5M
ModuleShareAmount
Natural Catastrophe47.8%€13M
Man-Made Catastrophe29.8%€8.0M
Non-Proportional Property13.1%€3.5M
Other Non-Life Catastrophe9.4%€2.5M

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]

The individual catastrophe results are aggregated into a final sub-module capital requirement using the correlation rules defined in Article 119. This ensures that capital is held for the overall tail sensitivity of the portfolio, after recognizing that natural and man-made disasters are unlikely to occur simultaneously. The final result represents the gross catastrophe underwriting component before diversification in Non-Life Risk.

Important Notes

  • Scenario Binding Path: For natural catastrophe risk, the requirement is determined by summing the results for each hazard (e.g., windstorm + flood + 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 feeding 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.