Skip to content

Non-Life Risk

AGGREGATIONNon-Life

Calculate the Solvency Capital Required for Non-Life Underwriting Risk instantly.

Inputs
€
€
€

Standalone Non-Life Sum

€325

Before diversification

−

Diversification Benefit

€84

−25.8% of standalone

Capital relief

=

Non-Life Risk SCR

€241

After diversification

Non-Life Risk

Waterfall chart showing module contributions, diversification, operational risk, LACDT adjustment, and total SCR.
StepDeltaRunning
Premium & Reserve Risk180180
Catastrophe Risk120300
Lapse Risk25325
Standalone Non-Life Sum325325
Diversification Benefit-83.70142975972692241.29857024027308
Non-Life Risk SCR241.29857024027308241.29857024027308
Non-life sub-module shares
Risk module sharesShare of each SCR module in total stand-alone module charges.Premium & Reserve55.4% · €180Catastrophe36.9% · €120Lapse7.7% · €25
ModuleShareAmount
Premium & Reserve Risk55.4%€180
Catastrophe Risk36.9%€120
Lapse Risk7.7%€25

Non-life risk correlation matrix

1.000.000.25
Non-life risk correlation matrix
PRPremium & ReserveCATCatastropheLAPLapse
PRPremium & Reserve
1.00
0.25
0.00
CATCatastrophe
0.25
1.00
0.00
LAPLapse
0.00
0.00
1.00
1Step 1

Non-Life Risk SCR

Non-Life Risk SCR=∑i,jCorri,j×SCRi×SCRj\textit{Non-Life Risk SCR} = \sqrt{\sum_{i,j} Corr_{i,j} \times SCR_i \times SCR_j}
2Step 2

Diversification Benefit

Diversification Benefit=max⁡(0,Premium & Reserve Risk+Catastrophe Risk+Lapse Risk−Non-Life Risk SCR)\textit{Diversification Benefit} = \max\left(0, \textit{Premium \& Reserve Risk} + \textit{Catastrophe Risk} + \textit{Lapse Risk} - \textit{Non-Life Risk SCR}\right)
3Step 3

Standalone Non-Life Total

Standalone Non-Life Total=Non-Life Risk SCR+Diversification Benefit\textit{Standalone Non-Life Total} = \textit{Non-Life Risk SCR} + \textit{Diversification Benefit}
Understand the Non-Life Risk

Overview

This calculator implements the Non-Life Underwriting Risk module within the standard formula. It combines premium and reserve risk, catastrophe risk, and non-life lapse risk into the diversified non-life term used in BSCR.[1][2]

Input terms

  • Premium & Reserve Risk: The capital requirement for segment-level premium and reserve risks after the standard formula diversification benefit has been applied through the Annex IV correlation matrix.[3][4]
  • Catastrophe Risk: The charge for low-frequency, high-severity natural and man-made events that are not captured by the ordinary premium-and-reserve volatility approach.[5][6]
  • Lapse Risk: The charge for adverse mass discontinuance of the relevant long-duration non-life contracts.[7]

Calculation

Premium and reserve risk uses the standard-formula coefficient-of-variation approach rather than undertaking-specific stochastic modeling, so the charge is driven by the regulatory volume measure and prescribed standard-deviation parameters.[3][4] Catastrophe risk sits separately because low-frequency tail events do not fit the ordinary premium-and-reserve volatility model, and lapse risk is then added as its own stress before the three components are combined through the non-life aggregation structure.[1][7][5]

Important notes

  • The premium-risk volume measure is deliberately conservative.: Capital relief is not meant to arise simply because written premium falls while reserve exposure from prior business remains.[8]
  • Natural-cat quantification depends on exposure detail.: Where CRESTA-quality data is unavailable, the simplification route is usually more conservative than the full exposure-based treatment.[8]
  • Undertaking-specific parameters may exist: for undertakings that have supervisory approval to replace some industry-wide factors with their own experience-based parameters.[8]
  • The non-life result benefits from BSCR diversification: against the wider capital stack, especially where the portfolio sits alongside other materially different risk families.[8][9]
  • Reporting: The non-life-risk result is intended to reconcile to the non-life-underwriting part of the Solvency II QRT package, including the S.26 family of views.[10]

Sources

  1. Delegated Regulation (EU) 2015/35 - Art. 114 (Non-life underwriting risk module) - EIOPA
  2. Directive 2009/138/EC - Art. 101 (99.5% VaR / 1-in-200 calibration) - EIOPA
  3. Delegated Regulation (EU) 2015/35 - Art. 115 (Non-life premium and reserve risk sub-module) - EUR-Lex
  4. Delegated Regulation (EU) 2015/35 - Annex II (Non-life premium and reserve risk standard deviations by segment) - EUR-Lex
  5. Delegated Regulation (EU) 2015/35 - Art. 119 (Non-life catastrophe risk sub-module) - EIOPA
  6. Delegated Regulation (EU) 2015/35 - Art. 135 (Sub-module for other non-life catastrophe risk) - EIOPA
  7. Delegated Regulation (EU) 2015/35 - Art. 118 (Non-life lapse risk sub-module) - EUR-Lex
  8. Commission Delegated Regulation (EU) 2015/35 - EUR-Lex
  9. Delegated Regulation (EU) 2015/35 - Art. 87 (Calculation of the basic Solvency Capital Requirement) - EIOPA
  10. Commission Implementing Regulation (EU) 2015/2450 (QRT templates) - EUR-Lex

Solvency II: Pillar 1, Aggregation