Health NSLT Underwriting Risk

Overview

This calculator implements the aggregation of the Health Non-Similar to Life Techniques (NSLT) underwriting risk sub-module within the Solvency II standard formula.^[1] The Health NSLT Risk requirement is defined as the economic capital necessary to cover the loss in basic own funds resulting from an aggregate stress to health NSLT obligations.^[2]

Input Terms

• Premium & Reserve Risk (Health NSLT): The capital requirement for fluctuations in premium and reserve levels for NSLT health business.^[3]
• Lapse Risk (Health NSLT): The capital requirement for adverse policyholder termination behavior for NSLT health business.

Technical Rationale

The Health NSLT Risk sub-module is calibrated to a 99.5% confidence level over a one-year horizon. It aggregates the granular risks associated with health insurance obligations that are not managed similarly to life insurance (typically short-term, renewable contracts).

The calculation uses the standard Solvency II square-root aggregation formula with a prescribed correlation matrix.^[1] This ensures the capital requirement accounts for the diversification effect between premium/reserve volatility and lapse behavior within the health NSLT portfolio. The result represents the total health NSLT component before further aggregation into the Health Underwriting Risk module.

Important Notes

• Gross vs. Net SCR: This calculator determines the standalone Health NSLT Underwriting Risk SCR. Solvency II risk is only finalized as a net impact on Basic Own Funds after diversification in the higher Health Risk aggregation chain, then within BSCR, and after the top-level LAC TP and LACDT 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 standard-formula reporting view.^[5]