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    S.26.13 – Internal model: Non-Life & Health NSLT Underwriting risk Solo

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    S.26.13 – Internal model: Non-Life & Health NSLT Underwriting risk

    General comments:

    This section relates to annual submission of information for individual entities.

    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 insurance and reinsurance undertakings.

    This template collects information on Non-Life and Health NSLT underwriting risk in the following different risk granularities gross and net of reinsurance:

    • 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).

    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.

    CODEITEMINSTRUCTIONS
    Risk model data
    C0010/R0010Is 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. No – SCR is
    measured as deviation from zero (Non
    centred
    risk).
    Please
    describe
    in
    code
    C0010/R0020.
    Other – Please describe in code
    C0010/R0020.
    C0010/R0020Short 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”.
    C0010/R0030Is 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.
    No – Risk Capital includes a deviation from
    zero (Non-centred risk). Please describe in
    code C0010/R0040.
    Other – Please describe in code
    C0010/R0040.
    C0010/R0040Short 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).
    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”
    C0010/R0050Is 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.
    C0010/R0060Short 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
    time horizon of risk, risk as deviation from
    the expected result, going concern, etc).
    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”.
    Internal LoB mapping
    C0020Internal line of businessName of internal line of business used in the
    internal model. It shall be consistent across
    the template.
    C0030Solvency 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
    3 – Workers’ compensation insurance
    4 – Motor vehicle liability insurance
    5 – Other motor insurance
    6 – Marine, aviation and transport insurance
    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.
    C0040Premium risk indicatorThe following closed list shall be used:
    -
    Assigned to premium risk
    -
    Not assigned to premium risk
    C0050Reserve risk indicatorThe following closed list shall be used:
    -
    Assigned to reserve risk
    -
    Not assigned to reserve risk
    C0060Proportion 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
    Z0010SII Line of BusinessIdentification 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
    3 – Workers’ compensation insurance
    4 – Motor
    vehicle liability insurance
    5 – Other motor insurance
    6 – Marine, aviation and transport insurance
    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
    Z0020Risk typeOne 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
    2 – Non-life and NSLT health reserve risk
    aggregated jointly
    3 – Non-life underwriting reserve risk with
    implicit catastrophe risk
    4 – Non-life underwriting reserve
    risk
    C0070Diversified 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.
    C0080SII Line of BusinessReserve 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.
    C0090Internal 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.
    R0070Provision 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.
    R0080Premium 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.
    R0090Solvency 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
    R0100Simulated (output)
    mean    		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.
    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).
    R0110Simulated (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-R0330Percentiles 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
    R0340Provision 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 of 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.
    R0350Premium 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.
    R0360Solvency 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 LoB and
    aggregate level based on net of reinsurance
    data.
    R0370Simulated (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).
    R0380Simulated (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-R0600Percentiles 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
    Z0020Risk typeOne 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
    2 – Non-life and NSLT health premium risk
    aggregated jointly
    3 – Non-life underwriting premium risk with
    implicit catastrophe risk
    4 – Non-life underwriting premium risk
    C0100Diversified 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.
    C0110SII Line of BusinessPremium 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.
    C0120Internal 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.
    R0610Gross Written PremiumGross 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.
    R0620Gross Earned PremiumIt is the sum of gross premiums written
    minus the change in the gross provision for
    unearned premiums related to insurance
    direct business.
    R0630Gross 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.
    R0640Gross 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.
    R0650Premium 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.
    R0660Solvency 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.
    R0670Simulated (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).
    R0680Simulated (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).
    R0690-R0900Percentiles 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
    R0910Net Written PremiumNet 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.
    R0920Net Earned PremiumIt is the sum of net premiums written minus
    the change in the net provision for unearned
    premiums related to insurance direct
    business.
    R0930Net 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.
    R0940Net 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.
    R0950Premium 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.
    R0960Solvency 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.
    R0970Simulated (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).
    R0980Simulated 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-R1200Percentiles 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
    Z0020Risk typeOne 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
    2 – Non-life and NSLT health premium risk
    and reserve risk aggregated jointly
    3 – Non-life underwriting premium risk and
    reserve risk with implicit catastrophe risk
    4 – Non-life underwriting premium risk and
    reserve risk
    5 – NSLT health underwriting premium risk
    and reserve risk aggregated separately with
    implicit catastrophe risk
    6
    – NSLT health underwriting premium risk
    and reserve risk aggregated separately
    C0130Total undiversifiedThe 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.
    C0140DiversificationThe 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.
    C0150DiversifiedThe 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.
    R1210Solvency 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.
    R1220Simulated (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).
    R1230Simulated (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).
    R1240-R1450Percentiles 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).
    R1460Solvency 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.
    R1470Simulated (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).
    R1480Simulated (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-R1700Percentiles 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
    C0020Classes impacted by the
    catastrophe event    		List of all classes impacted by the
    catastrophe event for the relevant peril.
    C0160CatastropheName 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.
    C0170Commercially available
    vendor model used (if
    applicable)    		One of the options in the following closed
    list shall be used:
    – Yes
    No
    –
    C0180Commercially available
    vendor model name and    		If a commercially available vendor model is
    used in the internal model for the peril this
    field should contain the name of the model
    version used (if
    applicable)    		and the version of the model that the
    simulations are based on.
    C0190Explanatory
    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.
    C0200Total Sum insuredThe insurance or reinsurance undertaking is
    expected to report their total sum insured for
    direct business by peril and region.
    C0210Exposure amountThe 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.
    C0220Exposure metricShort description of exposure metric used in
    previous column (C6).
    Distribution of losses from Catastrophe Perils -Total (property and non-property) business
    Z0010Internal line of businessName 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
    -
    Mean of Annual loss for all business net of
    reinsurance
    “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.".
    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.
    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.
    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.
    C0420/R1820-
    R1950    		Total Sum Insured – Direct insuranceSplit 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
    C0410/R1960-
    R1990    		Gross Annual Premium
    -
    Reinsurance    		singled out from the rest of Asia.
    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/R1960-1990Total 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.
    SPLIT OF PREMIUM INCOME
    C0430/R2000Direct insurancePremium income (gross allocated written
    premium forecasted for the next 12 months
    as used in the model) for the insurance or
    reinsurance undertaking direct business.
    C0430/R2010ReinsurancePremium income (gross allocated written
    premium forecasted for the next 12 months
    as used in the model) for the insurance or
    reinsurance undertaking reinsurance
    business.
    C0430/R2020RetrocessionPremium income (gross allocated written
    premium forecasted for the next 12 months
    as used in the model) for the insurance or
    reinsurance undertaking retrocession.
    SIGNIFICANT OTHER PERILS
    C0440/R2030Significant other perilsThe 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.
    C0440/R2040Description 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).
    CATASTROPHE SCR AGGREGATION –Reported net of reinsurance
    C0450/R2050Total undiversified
    NatCat risk    		Sum of separate SCR for all NatCat risk
    perils.
    C0450/R2060Diversification 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.
    C0450/R2070Total undiversified
    man-made risk    		Sum of SCR for all Man-made risk perils.
    C0450/R2080Diversification 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.
    C0450/R2090Other non-life
    catastrophe risk    		SCR for other non-life Catastrophe risk.
    C0450/R2100Diversification 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/R2110Non-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/R2120Total Non-life
    catastrophe risk -
    diversified    		SCR for Catastrophe risk.