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ANNEX IV

Solvency II
Directive 2009/138/EC of the European Parliament and of the Council of 25 November 2009 on the taking-up and pursuit of the business of Insurance and Reinsurance (Solvency II) (recast) (Text with EEA relevance) · European Union

The Basic Solvency Capital Requirement set out in Article 104(1) shall be equal to the following: Basic SCR = Σ_(i,j)Corr_(i,j) × SCR_(i) × SCR_(j) where SCR_(i) denotes the risk module i and SCR_(j) denotes the risk module j, and where ‘i,j’ means that the sum of the different terms should cover all possible combinations of i and j. In the calculation, SCR_(i) and SCR_(j) are replaced by the following: SCR _(non-life) denotes the non-life underwriting risk module, SCR _(life) denotes the life underwriting risk module, SCR _(health) denotes the health underwriting risk module, SCR _(market) denotes the market risk module, SCR _(default) denotes the counterparty default risk module, The factor Corr _(i,j) denotes the item set out in row i and in column j of the following correlation matrix: j i Market Default Life Health Non-life Market 1 0,25 0,25 0,25 0,25 Default 0,25 1 0,25 0,25 0,5 Life 0,25 0,25 1 0,25 0 Health 0,25 0,25 0,25 1 0 Non-life 0,25 0,5 0 0 1 The non-life underwriting risk module set out in Article 105(2) shall be equal to the following: SCR_(non-life) = Σ_(i,j)Corr_(i,j) × SCR_(i) × SCR_(j) where SCR_(i) denotes the sub-module i and SCR_(j) denotes the sub-module j, and where ‘i,j’ means that the sum of the different terms should cover all possible combinations of i and j. In the calculation, SCR_(i) and SCR_(j) are replaced by the following: SCR _(nl premium and reserve) denotes the non-life premium and reserve risk sub-module, SCR _(nl catastrophe) denotes the non-life catastrophe risk sub-module, The life underwriting risk module set out in Article 105(3) shall be equal to the following: SCR_(life) = Σ_(i,j)Corr_(i,j) × SCR_(i) × SCR_(j) where SCR_(i) denotes the sub-module i and SCR_(j) denotes the sub-module j, and where ‘i,j’ means that the sum of the different terms should cover all possible combinations of i and j. In the calculation, SCR_(i) and SCR_(j) are replaced by the following: SCR _(mortality) denotes the mortality risk sub-module, SCR _(longevity) denotes the longevity risk sub-module, SCR _(disability) denotes the disability – morbidity risk sub-module, SCR _(life expense) denotes the life expense risk sub-module, SCR _(revision) denotes the revision risk sub-module, SCR _(lapse) denotes the lapse risk sub-module, SCR _(life catastrophe) denotes the life catastrophe risk sub-module, Structure of the market risk module The market risk module, set out in Article 105(5) shall be equal to the following: SCR_(market) = Σ_(i,j)Corr_(i,j) × SCR_(i) × SCR_(j) where SCR_(i) denotes the sub-module i and SCR_(j) denotes the sub-module j, and where ‘i,j’ means that the sum of the different terms should cover all possible combinations of i and j. In the calculation, SCR_(i) and SCR_(j) are replaced by the following: SCR _(interest rate) denotes the interest rate risk sub-module, SCR _(equity) denotes the equity risk sub-module, SCR _(property) denotes the property risk sub-module, SCR _(spread) denotes the spread risk sub-module, SCR _(concentration) denotes the market risk concentrations sub-module, SCR _(currency) denotes the currency risk sub-module,

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Source: EUR-Lex (Cellar) · retrieved 2026-10-09 · Text as adopted (Official Journal); later amendments are not incorporated in this text.