Health NSLT Standard Deviation

Health

Calculate the Total Non-Similar-to-Life Techniques Standard Deviation instantly.

Medical Expense Premium Volume

€

Medical Expense Reserve Volume

€

Income Protection Premium Volume

€

Income Protection Reserve Volume

€

Workers' Compensation Premium Volume

€

Workers' Compensation Reserve Volume

€

Non-Proportional Health Reinsurance Premium Volume

€

Non-Proportional Health Reinsurance Reserve Volume

€

Total NSLT Standard Deviation

0.06

Medical Expense Segment Volume

€19 644 670

Medical Expense Segment Standard Deviation

0.04

Income Protection Segment Volume

€10 964 467

Income Protection Segment Standard Deviation

0.09

Workers' Compensation Segment Volume

€9 137 056

Workers' Compensation Segment Standard Deviation

0.08

Non-Proportional Health Reinsurance Segment Volume

€5 253 807

Non-Proportional Health Reinsurance Segment Standard Deviation

0.16

Legal Parameters by Segment

SegmentPrem. SigmaRes. Sigma

Medical Expense

5.0%

Income Protection

8.5%

14.0%

Workers' Compensation

8.0%

11.0%

Non-Proportional Health Reinsurance

17.0%

20.0%

Legal Correlation Matrix

1.000.50

Legal Correlation Matrix
	MEMedical Expense	IPIncome Protection	WCWorkers' Compensation	NPHNon-Proportional Health Reinsurance
MEMedical Expense	1.00	0.50	0.50	0.50
IPIncome Protection	0.50	1.00	0.50	0.50
WCWorkers' Compensation	0.50	0.50	1.00	0.50
NPHNon-Proportional Health Reinsurance	0.50	0.50	0.50	1.00

1Step 1

Medical Expense Segment Volume

\textit{Medical Expense Segment Volume} = \textit{Medical Expense Premium Volume} + \textit{Medical Expense Reserve Volume}

2Step 2

Medical Expense Segment Standard Deviation

\textit{Medical Expense Segment Standard Deviation} = \frac{\sqrt{\textit{Medical Expense Premium Sigma} \times \textit{Medical Expense Premium Volume} \times \textit{Medical Expense Premium Sigma} \times \textit{Medical Expense Premium Volume} + \textit{Medical Expense Premium Sigma} \times \textit{Medical Expense Premium Volume} \times \textit{Medical Expense Reserve Sigma} \times \textit{Medical Expense Reserve Volume} + \textit{Medical Expense Reserve Sigma} \times \textit{Medical Expense Reserve Volume} \times \textit{Medical Expense Reserve Sigma} \times \textit{Medical Expense Reserve Volume}}}{\textit{Medical Expense Segment Volume}}

\textit{Medical Expense Segment Standard Deviation} = \frac{\sqrt{\textit{Medical Expense Premium Sigma} \times \textit{Medical Expense Premium Volume} \times \textit{Medical Expense Premium Sigma} \times \textit{Medical Expense Premium Volume} + \textit{Medical Expense Premium Sigma} \times \textit{Medical Expense Premium Volume} \times \textit{Medical Expense Reserve Sigma} \times \textit{Medical Expense Reserve Volume} + \textit{Medical Expense Reserve Sigma} \times \textit{Medical Expense Reserve Volume} \times \textit{Medical Expense Reserve Sigma} \times \textit{Medical Expense Reserve Volume}}}{\textit{Medical Expense Segment Volume}}

\begin{aligned}\textit{Medical Expense Segment Standard Deviation} &= \frac{\sqrt{\textit{Medical Expense Premium Sigma} \times \textit{Medical Expense Premium Volume} \times \textit{Medical Expense Premium Sigma} \times \textit{Medical Expense Premium Volume} + \textit{Medical Expense Premium Sigma} \times \textit{Medical Expense Premium Volume} \times \textit{Medical Expense Reserve Sigma} \times \textit{Medical Expense Reserve Volume} + \textit{Medical Expense Reserve Sigma} \times \textit{Medical Expense Reserve Volume} \times \textit{Medical Expense Reserve Sigma} \times \textit{Medical Expense Reserve Volume}}}{\textit{Medical Expense Segment Volume}}\end{aligned}

3Step 3

Income Protection Segment Volume

\textit{Income Protection Segment Volume} = \textit{Income Protection Premium Volume} + \textit{Income Protection Reserve Volume}

4Step 4

Income Protection Segment Standard Deviation

\textit{Income Protection Segment Standard Deviation} = \frac{\sqrt{\textit{Income Protection Premium Sigma} \times \textit{Income Protection Premium Volume} \times \textit{Income Protection Premium Sigma} \times \textit{Income Protection Premium Volume} + \textit{Income Protection Premium Sigma} \times \textit{Income Protection Premium Volume} \times \textit{Income Protection Reserve Sigma} \times \textit{Income Protection Reserve Volume} + \textit{Income Protection Reserve Sigma} \times \textit{Income Protection Reserve Volume} \times \textit{Income Protection Reserve Sigma} \times \textit{Income Protection Reserve Volume}}}{\textit{Income Protection Segment Volume}}

\textit{Income Protection Segment Standard Deviation} = \frac{\sqrt{\textit{Income Protection Premium Sigma} \times \textit{Income Protection Premium Volume} \times \textit{Income Protection Premium Sigma} \times \textit{Income Protection Premium Volume} + \textit{Income Protection Premium Sigma} \times \textit{Income Protection Premium Volume} \times \textit{Income Protection Reserve Sigma} \times \textit{Income Protection Reserve Volume} + \textit{Income Protection Reserve Sigma} \times \textit{Income Protection Reserve Volume} \times \textit{Income Protection Reserve Sigma} \times \textit{Income Protection Reserve Volume}}}{\textit{Income Protection Segment Volume}}

\begin{aligned}\textit{Income Protection Segment Standard Deviation} &= \frac{\sqrt{\textit{Income Protection Premium Sigma} \times \textit{Income Protection Premium Volume} \times \textit{Income Protection Premium Sigma} \times \textit{Income Protection Premium Volume} + \textit{Income Protection Premium Sigma} \times \textit{Income Protection Premium Volume} \times \textit{Income Protection Reserve Sigma} \times \textit{Income Protection Reserve Volume} + \textit{Income Protection Reserve Sigma} \times \textit{Income Protection Reserve Volume} \times \textit{Income Protection Reserve Sigma} \times \textit{Income Protection Reserve Volume}}}{\textit{Income Protection Segment Volume}}\end{aligned}

5Step 5

Workers' Compensation Segment Volume

\textit{Workers' Compensation Segment Volume} = \textit{Workers' Compensation Premium Volume} + \textit{Workers' Compensation Reserve Volume}

6Step 6

Workers' Compensation Segment Standard Deviation

\textit{Workers' Compensation Segment Standard Deviation} = \frac{\sqrt{\textit{Workers' Compensation Premium Sigma} \times \textit{Workers' Compensation Premium Volume} \times \textit{Workers' Compensation Premium Sigma} \times \textit{Workers' Compensation Premium Volume} + \textit{Workers' Compensation Premium Sigma} \times \textit{Workers' Compensation Premium Volume} \times \textit{Workers' Compensation Reserve Sigma} \times \textit{Workers' Compensation Reserve Volume} + \textit{Workers' Compensation Reserve Sigma} \times \textit{Workers' Compensation Reserve Volume} \times \textit{Workers' Compensation Reserve Sigma} \times \textit{Workers' Compensation Reserve Volume}}}{\textit{Workers' Compensation Segment Volume}}

\textit{Workers' Compensation Segment Standard Deviation} = \frac{\sqrt{\textit{Workers' Compensation Premium Sigma} \times \textit{Workers' Compensation Premium Volume} \times \textit{Workers' Compensation Premium Sigma} \times \textit{Workers' Compensation Premium Volume} + \textit{Workers' Compensation Premium Sigma} \times \textit{Workers' Compensation Premium Volume} \times \textit{Workers' Compensation Reserve Sigma} \times \textit{Workers' Compensation Reserve Volume} + \textit{Workers' Compensation Reserve Sigma} \times \textit{Workers' Compensation Reserve Volume} \times \textit{Workers' Compensation Reserve Sigma} \times \textit{Workers' Compensation Reserve Volume}}}{\textit{Workers' Compensation Segment Volume}}

\begin{aligned}\textit{Workers' Compensation Segment Standard Deviation} &= \frac{\sqrt{\textit{Workers' Compensation Premium Sigma} \times \textit{Workers' Compensation Premium Volume} \times \textit{Workers' Compensation Premium Sigma} \times \textit{Workers' Compensation Premium Volume} + \textit{Workers' Compensation Premium Sigma} \times \textit{Workers' Compensation Premium Volume} \times \textit{Workers' Compensation Reserve Sigma} \times \textit{Workers' Compensation Reserve Volume} + \textit{Workers' Compensation Reserve Sigma} \times \textit{Workers' Compensation Reserve Volume} \times \textit{Workers' Compensation Reserve Sigma} \times \textit{Workers' Compensation Reserve Volume}}}{\textit{Workers' Compensation Segment Volume}}\end{aligned}

7Step 7

Non-Proportional Health Reinsurance Segment Volume

\textit{Non-Proportional Health Reinsurance Segment Volume} = \textit{Non-Proportional Health Reinsurance Premium Volume} + \textit{Non-Proportional Health Reinsurance Reserve Volume}

8Step 8

Non-Proportional Health Reinsurance Segment Standard Deviation

\textit{Non-Proportional Health Reinsurance Segment Standard Deviation} = \frac{\sqrt{\textit{Non-Proportional Health Reinsurance Premium Sigma} \times \textit{Non-Proportional Health Reinsurance Premium Volume} \times \textit{Non-Proportional Health Reinsurance Premium Sigma} \times \textit{Non-Proportional Health Reinsurance Premium Volume} + \textit{Non-Proportional Health Reinsurance Premium Sigma} \times \textit{Non-Proportional Health Reinsurance Premium Volume} \times \textit{Non-Proportional Health Reinsurance Reserve Sigma} \times \textit{Non-Proportional Health Reinsurance Reserve Volume} + \textit{Non-Proportional Health Reinsurance Reserve Sigma} \times \textit{Non-Proportional Health Reinsurance Reserve Volume} \times \textit{Non-Proportional Health Reinsurance Reserve Sigma} \times \textit{Non-Proportional Health Reinsurance Reserve Volume}}}{\textit{Non-Proportional Health Reinsurance Segment Volume}}

\textit{Non-Proportional Health Reinsurance Segment Standard Deviation} = \frac{\sqrt{\textit{Non-Proportional Health Reinsurance Premium Sigma} \times \textit{Non-Proportional Health Reinsurance Premium Volume} \times \textit{Non-Proportional Health Reinsurance Premium Sigma} \times \textit{Non-Proportional Health Reinsurance Premium Volume} + \textit{Non-Proportional Health Reinsurance Premium Sigma} \times \textit{Non-Proportional Health Reinsurance Premium Volume} \times \textit{Non-Proportional Health Reinsurance Reserve Sigma} \times \textit{Non-Proportional Health Reinsurance Reserve Volume} + \textit{Non-Proportional Health Reinsurance Reserve Sigma} \times \textit{Non-Proportional Health Reinsurance Reserve Volume} \times \textit{Non-Proportional Health Reinsurance Reserve Sigma} \times \textit{Non-Proportional Health Reinsurance Reserve Volume}}}{\textit{Non-Proportional Health Reinsurance Segment Volume}}

\begin{aligned}\textit{Non-Proportional Health Reinsurance Segment Standard Deviation} &= \frac{\sqrt{\textit{Non-Proportional Health Reinsurance Premium Sigma} \times \textit{Non-Proportional Health Reinsurance Premium Volume} \times \textit{Non-Proportional Health Reinsurance Premium Sigma} \times \textit{Non-Proportional Health Reinsurance Premium Volume} + \textit{Non-Proportional Health Reinsurance Premium Sigma} \times \textit{Non-Proportional Health Reinsurance Premium Volume} \times \textit{Non-Proportional Health Reinsurance Reserve Sigma} \times \textit{Non-Proportional Health Reinsurance Reserve Volume} + \textit{Non-Proportional Health Reinsurance Reserve Sigma} \times \textit{Non-Proportional Health Reinsurance Reserve Volume} \times \textit{Non-Proportional Health Reinsurance Reserve Sigma} \times \textit{Non-Proportional Health Reinsurance Reserve Volume}}}{\textit{Non-Proportional Health Reinsurance Segment Volume}}\end{aligned}

9Step 9

Total NSLT Standard Deviation

\textit{Total NSLT Standard Deviation} = \operatorname{weighted\_portfolio\_standard\_deviation}\left(\textit{Medical Expense Segment Volume}, \textit{Medical Expense Segment Standard Deviation}, \textit{Income Protection Segment Volume}, \textit{Income Protection Segment Standard Deviation}, \textit{Workers' Compensation Segment Volume}, \textit{Workers' Compensation Segment Standard Deviation}, \textit{Non-Proportional Health Reinsurance Segment Volume}, \textit{Non-Proportional Health Reinsurance Segment Standard Deviation}, \textit{Medical Expense vs Income Protection Correlation}, \textit{Medical Expense vs Workers' Compensation Correlation}, \textit{Medical Expense vs Non-Proportional Health Reinsurance Correlation}, \textit{Income Protection vs Workers' Compensation Correlation}, \textit{Income Protection vs Non-Proportional Health Reinsurance Correlation}, \textit{Workers' Compensation vs Non-Proportional Health Reinsurance Correlation}\right)

\textit{Total NSLT Standard Deviation} = \operatorname{weighted\_portfolio\_standard\_deviation}\left(\textit{Medical Expense Segment Volume}, \textit{Medical Expense Segment Standard Deviation}, \textit{Income Protection Segment Volume}, \textit{Income Protection Segment Standard Deviation}, \textit{Workers' Compensation Segment Volume}, \textit{Workers' Compensation Segment Standard Deviation}, \textit{Non-Proportional Health Reinsurance Segment Volume}, \textit{Non-Proportional Health Reinsurance Segment Standard Deviation}, \textit{Medical Expense vs Income Protection Correlation}, \textit{Medical Expense vs Workers' Compensation Correlation}, \textit{Medical Expense vs Non-Proportional Health Reinsurance Correlation}, \textit{Income Protection vs Workers' Compensation Correlation}, \textit{Income Protection vs Non-Proportional Health Reinsurance Correlation}, \textit{Workers' Compensation vs Non-Proportional Health Reinsurance Correlation}\right)

Understand the Health NSLT Standard Deviation

Overview

This calculator implements the Health NSLT Standard Deviation calculation within the Solvency II standard formula.^[1] The standard deviation is defined as the measure of volatility associated with the undertaking's health-NSLT insurance and reinsurance obligations. It is calibrated to reflect the expected fluctuations in health-claims frequency and severity over a one-year horizon.

Input Terms

Prescribed Health Volatility: The volatility factors provided by EIOPA for each health line of business (LoB).^[1]
Undertaking-Specific Parameters (USP): The internal health-volatility estimates used if the undertaking has supervisory approval for custom factors.
Diversified Health Volatility: The measure after aggregating the health-NSLT premium and reserve risk components.

Technical Rationale

The Health NSLT Standard Deviation is the primary volatility driver for the Health NSLT Premium & Reserve Risk requirement. It ensures that the capital requirement is representative of the undertaking's specific health-risk profile and its LoB-diversification.

The calculation aggregates the standard deviations for each health-LoB using the prescribed correlation matrix. This ensures the undertaking holds enough capital to absorb the risk of simultaneous large health-claims across multiple portfolios. The result is then multiplied by the Health NSLT Volume Measure to determine the total capital requirement for health-NSLT premium & reserve risk.^[1]

Important Notes

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.^[2]
Reporting: The displayed result is intended to support the corresponding standard-formula component feeding the S.25.01 standard-formula reporting view.^[3]

Sources

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.