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Non-Life Other Catastrophe Risk

Calculate the Other Catastrophe Risk Capital instantly.

€
€
€
€
€

Component Gross Sum

€5 500 000

Before correlation diversification

−

Correlation Adjustment

€3 000 000

−54.5% of standalone

Capital relief

=

Other Cat Capital

€2 500 000

After diversification

Other catastrophe correlation build-up

Waterfall chart showing standalone component charges, correlation adjustment, and diversified result.
StepDeltaRunning
Component 110000001000000
Component 210000002000000
Component 310000003000000
Component 410000004000000
Component 515000005500000
Gross Sum55000005500000
Correlation Adjustment-30000002500000
Other Cat Capital25000002500000
Other catastrophe component shares
Other catastrophe component sharesShare of each segment in the total.Component 527.3% · €1.5MComponent 118.2% · €1.0MComponent 218.2% · €1.0MComponent 318.2% · €1.0MComponent 418.2% · €1.0M
ModuleShareAmount
Component 527.3%€1.5M
Component 118.2%€1.0M
Component 218.2%€1.0M
Component 318.2%€1.0M
Component 418.2%€1.0M

Other catastrophe correlation matrix

1.000.00
Other catastrophe correlation matrix
C1Component 1C2Component 2C3Component 3C4Component 4C5Component 5
C1Component 1
1.00
0.00
0.00
0.00
0.00
C2Component 2
0.00
1.00
0.00
0.00
0.00
C3Component 3
0.00
0.00
1.00
0.00
0.00
C4Component 4
0.00
0.00
0.00
1.00
0.00
C5Component 5
0.00
0.00
0.00
0.00
1.00
1Step 1

Aggregate prepared other-catastrophe component charges by square-root formula

SCRother=∑i=15Componenti2SCR_{other}=\sqrt{\sum_{i=1}^{5} Component_i^2}

Understand the Non-Life Other Catastrophe Risk

Overview

This calculator implements the gross capital requirement for the Other Non-Life Catastrophe Risk sub-module within the Solvency II standard formula.[1] The Other Catastrophe Risk requirement is defined as the economic capital necessary to cover the loss in basic own funds resulting from an absolute 1-in-200 year catastrophe event affecting residual non-life obligations.[2]

Input Terms

  • Premium Volume (Gross): The total written premium for the other (miscellaneous) non-life obligations.[1]
  • Specified Scale Factor: The regulatory factor (EUR 100 per 100 of premium) representing the 1-in-200 year scenario-specific severity.

Technical Rationale

The Other Non-Life Catastrophe 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 extreme loss events in miscellaneous non-life portfolios, such as legal expenses or assistance, that are not specifically covered in other catastrophe sub-modules.[1]

The calculation uses a simple volume-driven formula, applying a prescribed severity factor (100%) to the written premium. This ensures that the undertaking holds a fixed capital buffer against the extreme tail volatility inherent in residual non-life lines. The final result represents the gross "other" catastrophe component before aggregation into the total Non-Life Catastrophe Risk.

Important Notes

  • Gross vs. Net SCR: This calculator determines the standalone Non-Life Other 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.[3]
  • Reporting: The displayed result is intended to support the corresponding standard-formula component feeding the S.25.01.01 standard-formula reporting view.[4]

Sources

  1. Delegated Regulation (EU) 2015/35 - Art. 135 (Sub-module for other non-life catastrophe risk) - 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.