S.26.13 – Internal model: Non-Life & Health NSLT Underwriting risk
Download PDFS.26.13 – Internal model: Non-Life & Health NSLT Underwriting risk
General comments:
This section relates to the annual submission of information for groups.
This template shall be reported based on availability according to the internal model architecture and risk profile when possible with reasonable effort. The data to be reported shall be agreed between national supervisory authorities and groups.
This template collects information on Non-Life and Health NSLT underwriting risk in the following different risk granularities gross and net of reinsurance1 :
- Premium and Reserve Risk: Premium and Reserve Risk data including Cat.
- Catastrophe Risk (Cat): Catastrophe Risk data.
- Premium & Reserve Risk (Excluding explicit Cat): Premium and Reserve Risk data excluding explicit Cat.
- Premium Risk: The premium risk distribution should be such that its mean reflects an expected profit or loss including the movement of Premium Provisions over the year. Results should exclude Cat.
- Reserve Risk: The Reserve Risk distribution should be such that its mean is approximately zero, as there is no expected profit in a Best Estimate. Results should exclude Cat.
- Within Premium and Reserve Risk the following two segmentations are requested:
- o Solvency 2 Lines of Business (S2LoB): As defined in Annex II of the Delegated Regulation, based on lines of business (LoBs) defined in Annex I.
- o Internal Model Lines of Business (IntLoB): Is understood as the most granular level from the internal model direct outputs at which the probability distribution function of the losses and SCR are available. IntLoBs are expected to be used for internal reporting as well as the management of the capital positions by the undertaking. IntLoBs typically are close to the parameterisation level. They should enable an understanding of the internal model specific behaviour.
In case of co-Insurance on direct business, for leading insurance undertakings the full proportion of business is understood to be reported as gross direct business, whereby the proportion shared with non-leading insurers is considered to be treated as outward reinsurance.
Overall the following applies:
- Monetary amounts of this template are discounted.
- High percentiles represent adverse results for the undertaking since the underlying distribution is a loss distribution (i.e. 99.5 is used for the SCR calculation).
- In general, it is expected that the requested figures are available at both granularities (internal or Solvency 2 LoBs) and consistently reported for each of these 2 granularities to the extent possible (means add up, etc.).
- The word diversified is in this template used to differentiate between different levels of granularity (e.g. diversified reserve risk is the overall aggregated reserve risk in comparison to the sum of undiversified S2LoBs).
1 Co-Insurance on direct business: For leading insurance undertakings the full proportion of business is understood to be reported as gross direct business, whereby the proportion shared with non-leading insurers is considered to be treated as outward reinsurance,
Because there are different ways of modelling these risks, undertakings are not requested to change their internal model to be able to follow the structure of the codes. So, if undertakings model the catastrophe risk together with the risk of premiums and/or reserves, then they should not fill in section “Distribution of losses from catastrophe perils”. In addition, if undertakings obtain a specific distribution of premium and reserve risks for Health NSLT underwriting risk and a separate one for non-life underwriting risk without aggregating the two together, the information will be included in “Overall Health NSLT gross of reinsirance” – “Overall Health NSLT net of reinsurance” sections and “Overall Non-Life gross of reinsurance” – “Overall Non-Life net of reinsurance” sections respectively. Otherwise, “Overall Non-Life gross of reinsurance” – “Overall Non-Life net of reinsurance” sections should not be reported.
The Occurrence Exceedance Probability (OEP) is the probability that the associated loss level will be exceeded by any event in any given year. It is used when the insurance program is written on an occurrence basis, or when the loss associated with one event is important.
The Aggregate Exceedance Probability (AEP) is the probability that the associated loss level will be exceeded by the aggregated losses in any given year and is used when the insurance program is written on an aggregate basis.
| CODE | ITEM | INSTRUCTIONS |
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| Risk model data | ||
| C0010/R0010 | Is SCR risk measure for Premium risk centred? |
One of the options in the following closed list shall be used: |
| Yes – SCR is measured as deviation from the expected result (Centred risk). Please describe in code C0010/R0020. |
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| No – SCR is measured as deviation from zero (Non-centred risk). Please describe in code C0010/R0020. |
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| Other – Please describe in code C0010/R0020. |
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| C0010/R0020 | Short description of SCR risk measure used for Premium risk |
Describe the way in which the Internal Model SCR risk measure for Premium risk is derived (e.g. from the “economic” Profit and Loss distribution). |
| Use as reference point the metric defined for the SCR in Article 101 of the Solvency II Directive and go through all aspects where your approach may differ (e.g. deviations from the VaR 1/200, the 1-year time horizon of risk, risk as deviation from the expected result, etc). |
| If the approved Internal Model risk measure complies with the risk measure as defined by Article 101 of the Solvency II Directive please confirm by inserting “Internal Model risk measure as defined in Article 101 of the Solvency II directive”. |
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| C0010/R0030 | Is SCR risk measure for Reserve risk centred? |
One of the options in the following closed list shall be used: |
| Yes – Risk Capital includes a deviation from the expected result (centred risk). Please describe in code C0010/R0040. |
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| No – Risk Capital includes a deviation from zero (Non-centred risk). Please describe in code C0010/R0040. |
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| Other – Please describe in code C0010/R0040. |
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| C0010/R0040 | Short description of SCR risk measure used for Reserve risk |
Describe the way the in which Internal Model the SCR risk measure for Reserve risk is derived (e.g. from the economic Profit and Loss distribution). |
| Use as reference point the standard metric used for the SCR under Solvency II Directive Section 4 Subsection 1 & 2 (Focus in particular on Article 101, 104, 105, 108) under Solvency II and go through all aspects where your approach may differ (e.g. deviations from the VaR 1/200, the 1-year time horizon of risk, risk as deviation from the expected result, going concern, etc). |
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| If the approved Internal Model risk measure complies with all assumptions of Section 4 Subsection 2 please confirm by inserting “Internal Model risk measure in line with Standard Formula risk measure definition” |
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| C0010/R0050 | Is SCR risk measure for Catastrophe risk centred? |
One of the options in the following closed list shall be used: Yes – Risk Capital includes a deviation from the expected result (centred risk). Please describe in code C0010/R0060. |
| No – Risk Capital includes a deviation from zero (Non-centred risk). Please describe in code C0010/R0060. Other – Please describe in code C0010/R0060. |
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| C0010/R0060 | Short description of SCR risk measure used for Catastrophe risk |
Describe the way the in which the Internal Model SCR risk measure for Catastrophe risk is derived. (e.g. from the economic Profit and Loss distribution). |
| Use as reference point the standard metric used for the SCR under Solvency II Directive Section 4 Subsection 1 & 2 (Focus in particular on Article 101, 104, 105, 108) under Solvency II and go through all aspects where your approach may differ (e.g. deviations from the VaR 1/200, the 1-year |
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| time horizon of risk, risk as deviation from the expected result, going concern, etc). |
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| If the approved Internal Model risk measure complies with all assumptions of Section 4 Subsection 2 please confirm by inserting “Internal Model risk measure in line with Standard Formula risk measure definition” |
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| Internal LoB mapping | ||
| C0020 | Internal line of business | Name of internal line of business used in the internal model. It shall be consistent across the template. |
| C0030 | Solvency II line of business |
Identification of the Non-Life line of business as defined in Annex I to Delegated Regulation (EU) 2015/35, reported. The following closed list shall be used: 1 – Medical expense insurance |
| 2 – Income protection insurance |
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| 3 – Workers’ compensation insurance |
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| 4 – Motor vehicle liability insurance |
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| 5 – Other motor insurance |
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| 6 – Marine, aviation and transport insurance |
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| 7 – Fire and other damage to property insurance |
8 – General liability insurance 9 – Credit and suretyship insurance 10 – Legal expenses insurance 11 – Assistance 12 – Miscellaneous financial loss 13 – Proportional medical expense reinsurance 14 – Proportional income protection reinsurance 15 – Proportional workers’ compensation reinsurance 16 – Proportional motor vehicle liability reinsurance 17 – Proportional other motor reinsurance 18 – Proportional marine, aviation and transport reinsurance 19 – Proportional fire and other damage to property reinsurance 20 – Proportional general liability reinsurance 21 – Proportional credit and suretyship reinsurance 22 – Proportional legal expenses reinsurance 23 – Proportional assistance reinsurance 24 – Proportional miscellaneous financial loss reinsurance 25 – Non–proportional health reinsurance 26 – Non–proportional casualty reinsurance 27 – Non–proportional marine, aviation and transport reinsurance 28 – Non–proportional property reinsurance It is expected the insurance and reinsurance undertakings indicate in which Solvency II LoB each internal LoB is included. If one Internal LoB maps to two or more Solvency II LoBs then C0040 reports the corresponding proportion (as a value between 0 and 1) of the internal LoB for
| each mapped Solvency II LoB. These values shall add up to 1 for each internal LoB that maps to two or more Solvency II LoBs. If there is a one-to-one mapping then C0040 shall be 1. |
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| C0040 | Premium risk indicator | The following closed list shall be used: - Assigned to premium risk - Not assigned to premium risk |
| C0050 | Reserve risk indicator | The following closed list shall be used: - Assigned to reserve risk - Not assigned to reserve risk |
| C0060 | Proportion of Internal Line of Business allocated to SII Line of Business |
Proportion of internal line of business allocated to SII line of business as a decimal number e.g. if it’s 10% then use 0.1. |
| Gross Reserve risk model data | ||
| Z0010 | SII Line of Business | Identification of the Non-Life line of business as defined in Annex I to Delegated Regulation (EU) 2015/35, reported. The following closed list shall be used: |
| 1 – Medical expense insurance |
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| 2 – Income protection insurance |
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| 3 – Workers’ compensation insurance 4 – Motor vehicle liability insurance |
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| 5 – Other motor insurance |
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| 6 – Marine, aviation and transport insurance 7 – Fire and other damage to property insurance |
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| 8 – General liability insurance |
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| 9 – Credit and suretyship insurance |
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| 10 – Legal expenses insurance |
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| 11 – Assistance |
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| 12 – Miscellaneous financial loss |
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| 13 – Proportional medical expense reinsurance |
| 14 – Proportional income protection reinsurance |
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| 15 – Proportional workers’ compensation reinsurance |
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| 16 – Proportional motor vehicle liability reinsurance |
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| 17 – Proportional other motor reinsurance |
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| 18 – Proportional marine, aviation and transport reinsurance |
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| 19 – Proportional fire and other damage to property reinsurance |
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| 20 – Proportional general liability reinsurance |
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| 21 – Proportional credit and suretyship reinsurance |
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| 22 – Proportional legal expenses reinsurance |
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| 23 – Proportional assistance reinsurance |
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| 24 – Proportional miscellaneous financial loss reinsurance |
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| 25 – Non–proportional health reinsurance |
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| 26 – Non–proportional casualty reinsurance |
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| 27 – Non–proportional marine, aviation and transport reinsurance |
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| 28 – Non–proportional property reinsurance |
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| Z0020 | Risk type | One of the options in the following closed list shall be used: |
| 1 – Non-life and NSLT health reserve risk aggregated jointly with implicit catastrophe risk |
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| 2 – Non-life and NSLT health reserve risk aggregated jointly |
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| 3 – Non-life underwriting reserve risk with implicit catastrophe risk |
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| 4 – Non-life underwriting reserve risk |
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| C0070 | Diversified reserve risk excluding explicit Catastrophe Risk |
Aggregate reserve risk gross/net of reinsurance after applying diversification effects among different risks. |
| It will include catastrophe risk if it is modelled jointly with the reserve risk, otherwise catastrophe risk will be reported using separate fields described in the “Distribution of losses from catastrophe perils” section of this LOG file. |
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| C0080 | SII Line of Business | Reserve risk gross/net of reinsurance for each Solvency II LoB. It will include catastrophe risk if it is modelled jointly with the reserve risk, otherwise catastrophe risk will be reported using separate fields described in the “Distribution of losses from catastrophe perils” section of this LOG file. |
| C0090 | Internal Line of Business |
Reserve risk gross/net of reinsurance for each internal LoB. It will include catastrophe risk if it is modelled jointly with the reserve risk, otherwise catastrophe risk will be reported using separate fields described in the “Distribution of losses from catastrophe perils” section of this LOG file. |
| R0070 | Provision for claims outstanding - discounted |
The best estimate of claims (gross of reinsurance) that have not been settled. It includes all claims not yet settled, reported and not reported. Based on Article 77 Solvency II Directive, the best estimate corresponds to the probability-weighted average of future cash-flows, taking account of the time value of money (expected present value of future cash-flows), using the relevant risk-free interest rate term structure. |
| R0080 | Premium Provision - discounted (only if premium provision allocated to reserve risk) |
The discounted sum of future cash flows that comprise the premium provisions, gross of the amounts recoverable from reinsurance contracts, special purpose vehicles and finite reinsurance regarding direct and accepted business. This cell should be filled in if the |
| premium provision at the reporting reference date is allocated to reserve risk. |
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| R0090 | Solvency Capital Requirement |
This is the amount of funds that insurance and reinsurance groups need to face their risks. It is required to identify the solvency capital requirement for each internal line of business, SII LoB and aggregate level based on gross of reinsurance data. This cell represents the stand-alone risk of the respective granularity with the approved risk measure of the Internal Model. |
| R0100 | Simulated (output) mean |
This is the mean of the probability distribution of the future cash out-flows relating to claims events on a one-year time horizon basis as at the reporting reference date. It is the output obtained based on the simulation process (gross of reinsurance and on a discounted basis). |
| R0110 | Simulated (output) standard deviation |
This is the standard deviation of the probability distribution of the future cash out-flows (Combined ratio styled) relating to claims events on a one-year time horizon basis as at the reporting reference date. It is the output obtained based on the simulation process (gross of reinsurance and on a discounted basis). |
| R0120-R0330 | Percentiles from 0.001 to 0.999 |
The undertaking is expected to indicate the amounts of the percentiles required in the table related to the probability distribution of the future cash out-flows relating to claims events on a one-year time horizon basis as at the reporting reference date obtained based on the simulation process (gross of reinsurance and on a discounted basis). |
| If the risk measure definition is in line with the risk measure definition of Article 101 of the Solvency II Directive, the 99.5 percentile will differ by the Simulated (output) mean from the SCR. |
| Net Reserve risk model data | ||
|---|---|---|
| R0340 | Provision for claims outstanding - discounted |
The best estimate of claims (net of reinsurance recoverables) that have not been settled. It includes all claims not yet settled, reported and not reported. Based on Article 77 Solvency II Directive, the best estimate corresponds to the probability-weighted average of future cash-flows, taking account of the time value of money (expected present value of future cash-flows), using the relevant risk-free interest rate term structure. |
| R0350 | Premium Provision - discounted (only if premium provision allocated to reserve risk) |
The discounted sum of future cash flows that comprise the premium provisions net of reinsurance recoverables. This cell should be filled in if the premium provision at the reporting reference date is allocated to reserve risk. |
| R0360 | Solvency Capital Requirement |
This is the amount of funds that insurance and reinsurance groups need to face their risks. It is required to identify the solvency capital requirement for each internal line of business, SII LoB and aggregate level based on net of reinsurance data. |
| R0370 | Simulated (output) mean |
This is the mean of the probability distribution. It is the output obtained based on the simulation process (net of reinsurance and on discounted basis). |
| R0380 | Simulated (output) standard deviation |
This is the standard deviation of the probability distribution. It is the output obtained based on the simulation process (net of reinsurance and on discounted basis). |
| R0390-R0600 | Percentiles from 0.001 to 0.999 |
The undertaking is expected to indicate the amounts of the percentiles required in the table related to the probability distribution obtained based on the simulation process (net of reinsurance and on discounted basis). |
| Gross Premium risk model data |
| Z0020 | Risk type | One of the options in the following closed list shall be used: |
|---|---|---|
| 1 – Non-life and NSLT health premium risk aggregated jointly with implicit catastrophe risk |
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| 2 – Non-life and NSLT health premium risk aggregated jointly |
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| 3 – Non-life underwriting premium risk with implicit catastrophe risk |
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| 4 – Non-life underwriting premium risk |
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| C0100 | Diversified premium risk excluding explicit Catastrophe Risk |
Aggregate premium risk gross/net of reinsurance after applying diversification effects among different risks. |
| It will include catastrophe risk if it is modelled jointly with the premium risk, otherwise catastrophe risk will be reported using separate codes described in the “DISTRIBUTION OF LOSSES FROM CATASTROPHE PERILS” section of this LOG file. |
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| C0110 | SII Line of Business | Premium risk gross/net of reinsurance for each Solvency II LoB. |
| It will include catastrophe risk if it is modelled jointly with the premium risk, otherwise catastrophe risk will be reported using separate codes described in the “DISTRIBUTION OF LOSSES FROM CATASTROPHE PERILS” section of this LOG file. |
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| C0120 | Internal Line of Business |
Premium risk gross/net of reinsurance for each internal LoB. |
| It will include catastrophe risk if it is modelled jointly with the premium risk, otherwise catastrophe risk will be reported using separate codes described in the “DISTRIBUTION OF LOSSES FROM CATASTROPHE PERILS” section of this LOG file. |
| R0610 | Gross Written Premium | Gross premiums written shall comprise all amounts due during the financial year in respect of insurance contracts, arising from direct business, regardless of the fact that such amounts may relate in whole or in part to a later financial year. |
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| R0620 | Gross Earned Premium | It is the sum of gross premiums written minus the change in the gross provision for unearned premiums related to insurance direct business. |
| R0630 | Gross written premium planned in the 12 months post the reporting Reference Date |
Gross premium planned to be written within the 12 months following the reporting reference date via binder agreements either signed before or after the reference date. |
| R0640 | Gross written unearned premium at the Reference Date (only if premium provision allocated to premium risk) |
Written unearned premium gross of reinsurance. This cell should be filled in if the premium provision at the reporting reference date is allocated to premium risk. |
| R0650 | Premium Provision - discounted (only if premium provision allocated to premium risk) |
The discounted sum of future cash flows that comprise the premium provisions, gross of the amounts recoverable from reinsurance contracts, special purpose vehicles and finite reinsurance regarding direct and accepted business. This cell should be filled in if the premium provision at the reporting reference date is allocated to premium risk. |
| R0660 | Solvency Capital Requirement |
This is the amount of funds that insurance and reinsurance groups need to face their risks. It is required to identify the solvency capital requirement for each internal line of business, SII LoBs and aggregate level based on gross of reinsurance data. |
| R0670 | Simulated (output) mean |
This is the mean loss ratio of the probability distribution. It is the output obtained based on the simulation process (gross of reinsurance and on a discounted basis). |
Solvency II software
| R0680 | Simulated (output) standard deviation |
This is the standard deviation of the probability distribution. It is the output obtained based on the simulation process (gross of reinsurance and on a discounted basis). |
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| R0690-R0900 | Percentiles from 0.001 to 0.999 |
The undertaking is expected to indicate the amounts of the percentiles required in the table related to the probability distribution obtained based on the simulation process (gross of reinsurance and on a discounted basis). |
| Net Premium risk model data | ||
| R0910 | Net Written Premium | Net premiums written shall comprise all amounts due during the financial year in respect of insurance contracts, arising from direct business, regardless of the fact that such amounts may relate in whole or in part to a later financial year. |
| R0920 | Net Earned Premium | It is the sum of net premiums written minus the change in the net provision for unearned premiums related to insurance direct business. |
| R0930 | Net written premium planned in the 12 months post the Reference Date |
Net premium planned to be written within the 12 months following the reporting reference date via binder agreements either signed before or after the reference date. |
| R0940 | Net written unearned premium at the Reference Date (only if premium provision allocated to premium risk) |
Written unearned premium net of reinsurance. This cell should be filled in if the premium provision at the reporting reference date is allocated to premium risk. |
| R0950 | Premium Provision - discounted (only if premium provision allocated to premium risk) |
The discounted sum of future cash flows that comprise the premium provisions net of reinsurance recoverables. This cell should be filled in if the premium provision at the reporting reference date is allocated to premium risk. |
| R0960 | Solvency Capital Requirement |
This is the amount of funds that insurance and reinsurance groups need to face their risks. It is required to identify the solvency capital requirement for each internal line of business, SII LoBs and aggregate level based on net of reinsurance data. |
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| R0970 | Simulated (output) mean |
This is the mean of the probability distribution. It is the output obtained based on the simulation process (net of reinsurance and on a discounted basis). |
| R0980 | Simulated standard deviation |
This is the standard deviation of the probability distribution. It is the output obtained based on the simulation process (net of reinsurance and on a discounted basis). |
| R0990-R1200 | Percentiles from 0.001 to 0.999 |
The undertaking is expected to indicate the amounts of the percentiles required in the table related to the probability distribution obtained based on the simulation process (net of reinsurance and on a discounted basis). |
| Overall Non-Life and Health NSLT gross of reinsurance | ||
| Z0020 | Risk type | One of the options in the following closed list shall be used: |
| 1 – Non-life and NSLT health premium risk and reserve risk aggregated jointly with implicit catastrophe risk |
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| 2 – Non-life and NSLT health premium risk and reserve risk aggregated jointly |
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| 3 – Non-life underwriting premium risk and reserve risk with implicit catastrophe risk |
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| 4 – Non-life underwriting premium risk and reserve risk |
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| 5 – NSLT health underwriting premium risk and reserve risk aggregated separately with implicit catastrophe risk |
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| 6 – NSLT health underwriting premium risk and reserve risk aggregated separately |
| C0130 | Total undiversified | The total amount of non-life and health NSLT underwriting risk before applying diversification effects among different non life risks. This amount will include catastrophe risk if it is modelled jointly with the premium and reserve risk, otherwise catastrophe risk will be reported using separate codes described in the “DISTRIBUTION OF LOSSES FROM CATASTROPHE PERILS” section of this LOG file. |
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| C0140 | Diversification | The difference between total undiversified standalone non-life and health NSLT underwriting risk and total non-life underwriting risk diversified. This amount is the diversification effect and shall be reported as a negative value. |
| C0150 | Diversified | The total amount of non-life and health NSLT risk underwriting after applying diversification effects among different risks. This amount will include catastrophe risk if it is modelled jointly with the premium and reserve risk, otherwise catastrophe risk will be reported using separate codes described in the “DISTRIBUTION OF LOSSES FROM CATASTROPHE PERILS” section of this LOG file. |
| R1210 | Solvency Capital Requirement |
This is the amount of funds that insurance and reinsurance undertakings need to face their risks. It is required to identify the solvency capital requirement for each internal line of business, SII LoBs and aggregate level based on gross of reinsurance data. |
| R1220 | Simulated (output) mean |
This is the mean of the probability distribution. It is the output obtained based on the simulation process (gross of reinsurance and on a discounted basis). |
| R1230 | Simulated (output) standard deviation |
This is the standard deviation of the probability distribution. It is the output obtained based on the simulation process |
| (gross of reinsurance and on a discounted basis). |
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| R1240-R1450 | Percentiles from 0.001 to 0.999 |
The undertaking is expected to indicate the amounts of the percentiles required in the chart related to the probability distribution obtained based on the simulation process (gross of reinsurance and on a discounted basis). |
| Overall Non-Life and Health NSLT net of reinsurance | ||
| R1460 | Solvency Capital Requirement |
This is the amount of funds that insurance and reinsurance undertakings need to face their risks. It is required to identify the solvency capital requirement for each internal line of business, SII LoBs and aggregate level based on net of reinsurance data. |
| R1470 | Simulated (output) mean |
This is the mean of the probability distribution. It is the output obtained based on the simulation process (net of reinsurance and on a discounted basis). |
| R1480 | Simulated (output) standard deviation |
This is the standard deviation of the probability distribution. It is the output obtained based on the simulation process (net of reinsurance and on a discounted basis). |
| R1490-R1700 | Percentiles from 0.001 to 0.999 |
The undertaking is expected to indicate the amounts of the percentiles required in the chart related to the probability distribution obtained based on the simulation process (net of reinsurance and on a discounted basis). |
| Distribution of losses from Catastrophe Perils | ||
| C0020 | Classes impacted by the catastrophe event |
List of all classes impacted by the catastrophe event for the relevant peril. |
| C0160 | Catastrophe | Name of natural catastrophe or man-made peril per modelled region. Please include name of region and peril. Do not include generic names like region1 or peril1. It is |
| recommended that the names of the perils and the regions are in English. |
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| C0170 | Commercially available vendor model used (if applicable) |
One of the options in the following closed list shall be used: Yes No |
| C0180 | Commercially available vendor model name and version used (if applicable) |
If a commercially available vendor model is used in the internal model for the peril this field should contain the name of the model and the version of the model that the simulations are based on. |
| C0190 | Explanatory information (if AEP loss is not available) |
Provide short concise information on model and reasons, if the field “AEP loss” is not available. If agreed with the responsible supervisor this field could also be used to provide information on modelling approaches in other cases. |
| C0200 | Total Sum insured | The insurance or reinsurance undertaking is expected to report their total sum insured for direct business by peril and region. |
| C0210 | Exposure amount | The exposure amount used by the undertaking that has been agreed upon with the respective supervisor. The metric used can be different among perils and regions. |
| C0220 | Exposure metric | Short description of exposure metric used in previous column (C6). |
| Distribution of losses from Catastrophe Perils - | Total (property and non-property) business | |
| Z0010 | Internal line of business | Name of the internal line of business used by the undertaking. |
| C0230- C0400/R1710 |
Simulated mean from model for Total (property and non property) business |
This is the mean of the probability distribution corresponding to each peril and aggregation of perils. It is the output obtained based on the simulation process. The mean should be reported with the following splits: - Mean of OEP for all business gross of reinsurance - Mean of AEP for all business gross of |
| reinsurance - Mean of Annual loss for all business gross of reinsurance - Mean of OEP for all business net of reinsurance - Mean of AEP for all business net of reinsurance |
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| - Mean of Annual loss for all business net of reinsurance |
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| “Annual loss” is explicitly not “Average Annual Loss” (AAL), but the loss determined according to the statistical measure, i.e. mean, standard deviation or percentile. AAL corresponds to the mean annual loss.". |
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| C0230- C0400/R1720 |
Simulated standard deviation for Total (property and non property) business |
This is the standard deviation of the probability distribution corresponding to each peril and aggregation of perils. It is the output obtained based on the simulation process. The standard deviation should be reported with the same split as the Simulated mean. |
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| C0230- C0400/R1730- R1810 |
Simulated percentiles for Total (property and non-property) business |
Probability distribution percentiles obtained based on the simulation process for each peril and aggregation of perils. Reported percentiles are 0.75, 0.9, 0.96, 0.98, 0.99, 0.995, 0.996, 0.998 and 0.999. The information for each separate percentile shall be reported with the same split as the Simulated mean. |
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| Premium and sums insured data | |||
| C0410/R1820- R1950 |
Gross Annual Premium – Direct insurance |
Split of gross annual premium written for direct business by geographical region. Geographical regions to be used are Europe, Africa, North East US, South East US, Mid West US, Western US, Northern America (excluding US), Caribbean & Central America, South America, Australia, Japan, Asia (excluding Japan) and Rest of World. Any unallocated premium should be put in the Unallocated bucket. |
| The definition of these geographical areas can be found in Annex III of the COMMISSION DELEGATED REGULATION (EU) 2015/35. When one of the above geographical regions is a superset of the defined regions in the delegated regulation then all countries in the subsets should be considered for this region. The only exception here is Japan which is singled out from the rest of Asia. |
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| C0420/R1820- R1950 |
Total Sum Insured – Direct insurance |
Split of total sum insured for direct business by geographical region. Geographical regions to be used are Europe, Africa, North East US, South East US, Mid-West US, Western US, Northern America (excluding US), Caribbean & Central America, South America, Australia, Japan, Asia (excluding Japan) and Rest of World. Any unallocated premium should be put in the Unallocated bucket. |
| The definition of these geographical areas can be found in Annex III of the COMMISSION DELEGATED REGULATION (EU) 2015/35. When one of the above geographical regions is a superset of the defined regions in the delegated regulation then all countries in the subsets should be considered for this region. The only exception here is Japan which is singled out from the rest of Asia. |
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| C0410/R1960- R1990 |
Gross Annual Premium - Reinsurance |
The insurance or reinsurance undertaking is expected to split their gross annual written premium for reinsurance by geographical region. Geographical regions to be used are Europe, North America and Rest of World. Any unallocated premium should be put in the Unallocated bucket. |
| C0420/R1960-1990 | Total Sum Insured - Reinsurance |
The insurance or reinsurance undertaking is expected to split their total sum insured for reinsurance by geographical region. Geographical regions to be used are Europe, North America and Rest of World. Any |
| unallocated premium should be put in the Unallocated bucket. |
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| SPLIT OF PREMIUM INCOME | ||||
| C0430/R2000 | Direct insurance | Premium income (gross allocated written premium forecasted for the next 12 months as used in the model) for the insurance or reinsurance undertaking direct business. |
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| C0430/R2010 | Reinsurance | Premium income (gross allocated written premium forecasted for the next 12 months as used in the model) for the insurance or reinsurance undertaking reinsurance business. |
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| C0430/R2020 | Retrocession | Premium income (gross allocated written premium forecasted for the next 12 months as used in the model) for the insurance or reinsurance undertaking retrocession. |
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| SIGNIFICANT OTHER PERILS | ||||
| C0440/R2030 | Significant other perils | The insurance or reinsurance undertaking should here indicate if their business contains other significant perils not included in the NatCat or Man-made perils above with a Yes, otherwise this cell should contain a No. |
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| C0440/R2040 | Description of other perils |
If the above cell is Yes the insurance or reinsurance undertaking should provide here a text description of those other significant peril(s). |
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| CATASTROPHE SCR AGGREGATION | – | Reported net of reinsurance | ||
| C0450/R2050 | Total undiversified NatCat risk |
Sum of separate SCR for all NatCat risk perils. |
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| C0450/R2060 | Diversification between NatCat perils |
Diversification effect on SCR between NatCat perils. Calculated as SCR for NatCat risk perils - Sum of separate SCR for all NatCat risk perils. |
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| C0450/R2070 | Total undiversified man-made risk |
Sum of SCR for all Man-made risk perils. |
Solvency II software
| C0450/R2080 | Diversification between man-made perils |
Diversification effect on SCR between Man made perils. Calculated as SCR for Man made risk perils - Sum of separate SCR for all Man-made risk perils. |
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| C0450/R2090 | Other non-life catastrophe risk |
SCR for other non-life Catastrophe risk. |
| C0450/R2100 | Diversification between other non-life catastrophe perils |
Diversification effect on SCR between Other perils. Calculated as SCR for Other risk perils - Sum of separate SCR for all Other risk perils. |
| C0450/R2110 | Non-life catastrophe risk - total diversification |
Diversification effect on SCR between NatCat, Man-made and Other perils. Calculated as SCR for Catastrophe risk - SCR for NatCat risk perils - SCR for all Man-made risk perils -SCR for all Other risk perils. |
| C0450/R2120 | Total Non-life catastrophe risk - diversified |
SCR for Catastrophe risk. |