Non-Life Hail Risk

Overview

This calculator implements the gross capital requirement for the Hail Risk sub-module within the Solvency II Non-Life Underwriting standard formula.^[1] The Hail 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 hail hazard.^[2]

Input Terms

• Sum Insured (Gross): The total value of property exposure insured against hail damage in each geographical zone.^[1]
• Specified Geographical Factor: The regulatory factor (e.g., Q_hail) representing the 1-in-200 year hail severity for each designated zone.^[3]

Technical Rationale

The Hail 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 hail storm, which can cause significant damage to agriculture, vehicles, and property in localized corridors. 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]

The calculation first multiplies the exposure in each zone by the prescribed hail severity factor. These results are then aggregated using the correlation matrix provided in Annex IX, which recognizes that hail events are typically highly localized but can occur across multiple neighboring regions within a single storm system. The final result represents the gross hail component before diversification in Natural Catastrophe Risk.

Important Notes

• Scenario evidence gate: Prepared catastrophe scenario amounts must carry source evidence for both scenario inputs. The selected maximum remains visible, while the governance-breach output flags unsupported scenario preparation.
• Micro-Localized Hazard: Hail risk is notably more localized than windstorm or flood, and the standard-formula factors are designed to recognize the extreme severity that can occur in narrow storm corridors.
• Gross vs. Net SCR: This calculator determines the standalone Non-Life Hail 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.^[4]
• Reporting: The displayed result is intended to support the corresponding standard-formula component feeding the S.25.01.01 standard-formula reporting view.^[5]