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

• Sum Insured (Gross): The total value of property exposure insured against windstorm damage in each geographical zone.^[1]
• Specified Geographical Factor: The regulatory factor (e.g., Q_wind) representing the 1-in-200 year windstorm severity for each designated zone.^[3]
• Weighted Exposure: The combination of sum insured and geographical factors used to derive the local windstorm charge.

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]

The calculation first multiplies the exposure in each zone by the prescribed windstorm severity factor. These results are then aggregated using the correlation matrix provided in Annex IX, which recognizes that windstorms can affect multiple neighboring countries but are unlikely to peak across the entire continent simultaneously. The final result represents the gross windstorm 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.
• Geographical Concentration: The requirement is highly sensitive to the concentration of property values in high-risk coastal or northern European zones.
• 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.^[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]