SolvencyTool logo
    Home / Acts & Regulations / Reporting explanations / S.26.14 – Internal model: Life and Health underwriting risk (Solo)

    S.26.14 – Internal model: Life and Health underwriting risk Solo

    View the Group version of this template →

    EIOPA Taxonomy 2.8.0 Source PDF

    S.26.14 – Internal model: Life and Health underwriting risk PDF · reporting-explanations/EIOPA_Solvency_II/2.8.0/EIOPA_S.26.14_solo.pdf
    / —
    Loading document…

    Instruction text

    Converted from the official instructions so it can be searched and copied. The PDF above is the document of record.

    S.26.14 – Internal model: Life and Health 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.

    In this template, the results of internal models for Life and Health SLT underwriting risk are reported. If insurers also integrate Health NSLT underwriting risk in the Life + Health SLT underwriting risk model structure, the results of the Health NSLT model should also be reported in this template.

    Depending on the structure of Life and Health SLT underwriting risk modelling, one of the two approaches for longevity and mortality risk should be used. If the internal model structure is such that Mortality and Longevity risks are modelled together, then for these risks only R0270 where these risks are combined, shall be reported.

    In general, if cells cannot be sensibly reported an alternative should be selected. For example, if an undertaking cannot separate trend, level or volatility modelling within a submodule, then information should be provided at the corresponding aggregate level.

    CODEITEMINSTRUCTIONS
    OPTION 1 – LIFE RISK
    C0010/R0010, R0060,
    R0250, R0270
    C0030-C0040/R0110    		Net Best Estimate
    liability + Technical
    provisions calculated
    as a whole    		Best
    estimate
    shall
    be
    reported
    net
    of
    reinsurance and refers to the products of the life
    insurance portfolio that are sensitive to the
    relevant risk category. TPs calculated as a
    whole should be taken in as well.
    The split for disability-morbidity risk aggregate
    refers to annuities paid out (“APO”) or not
    (“ANPO”).
    If R0270 is reported then R0010 (Mortality) and
    R0060 (Longevity) shall not be reported.
    C0050/R0010,
    R0060,
    R0110, R0250, R0270    		Net Written
    Premiums    		The total of the written premiums net of
    reinsurance shall be reported for the products
    of the life insurance portfolio that are sensitive
    to the relevant risk category.
    If R0270 is reported then R0010 (Mortality)
    and R0060 (Longevity) shall not be reported.
    C0060/R0010, R0060,
    R0110, R0250, R0270    		Sum insuredThe total sum insured shall be reported for the
    products of the life insurance portfolio that are
    sensitive to the relevant risk category.
    If R0270 is reported then R0010 (Mortality)
    and R0060 (Longevity) shall not be reported.
    C0070/R0010-R0270Solvency Capital
    Requirements    		The SCR for the relevant risk category, net of
    reinsurance.
    The following explanations apply for C0070 – C0260:
    For the aggregate risks, the SCR after
    aggregation over the underlying sub-risks
    should be reported.
    For lapse risk the following applies:
    -
    ‘Lapse’ covers exercising contractual
    options in a general sense.
    -
    Risk of increase in lapse rates (R0170) and
    decrease of lapse rates (R0180) are lapse
    risks other than mass lapse risk, where
    R0170 (R0180) covers the part of the
    business leading to a loss if lapse rates
    increase (decrease) as defined in the
    internal model.
    -
    Risk of mass lapse (R0190) is risk of
    accumulation or catastrophe risk for lapse
    as defined in the internal model.
    -
    ‘Lapse type split (other than mass lapse)’
    covers non-mass lapse risk if a split in
    increase / decrease is not available and
    offers a split in three rough categories: ‘full
    surrender’, i.e. termination of the contract,
    ‘partial surrender’ and ‘other’ exercising of
    contractual options or ‘Policyholder
    behaviour’.
    If R0270 is reported then R0010 to R0100 shall
    not be reported.
    C0080/R0010-R0270MeanThe mean of the probability distribution of the
    net SCR
    If R0270 is reported then R0010 to R0100
    shall not be reported.
    C0090/R0010-R0270Standard deviationThe Standard deviation of the probability
    distribution of the net SCR
    shall not be reported.
    It is expected that the insurance and
    reinsurance undertakings 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).
    If R0270 is reported then R0010 to R0100
    shall not be reported.

    To be completed if the internal model only has a split between Trend and Level risk. In that case the following template (S.26.14.01.02) replaces the template above (S.26.14.01.01).

    C0010/R0300Net Best Estimate
    liability + Technical
    provisions calculated
    as a whole    		Catastrophe risk best estimate shall be reported
    net of reinsurance and refers to the products of
    the life insurance portfolio that are sensitive to
    the relevant risk category. TPs calculated as a
    whole should be taken in as well.
    C0050/R0300Net Written
    Premiums    		The total of the net written premiums for
    catastrophe risk shall be reported for the
    products of the life insurance portfolio that are
    sensitive to the relevant risk category.
    C0060/R0300Sum insuredThe total sum insured for catastrophe risk shall
    be reported for the products of the life
    insurance portfolio that are sensitive to the
    relevant risk category.
    C0070/R0280-R0300Solvency Capital
    Requirements    		The SCR for the relevant risk category, net of
    reinsurance.
    For the aggregate risks, the net SCR after
    aggregation over the underlying submodules
    should be reported.
    C0080/R0280-R0300MeanThe mean of the probability distribution of the
    SCR
    C0090/R0280-R0300Standard deviationThe Standard deviation of the probability
    distribution of the net SCR
    C0100-C0310/R0280-
    R0300    		Percentiles from
    0.001 to 0.999    		It is expected that the insurance and
    reinsurance undertakings 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).
    OPTION 1 –HEALTH RISK
    Z0010Type of Health risk
    modelled in Life &
    Health?    		In the closed list there are 3 options:
    SLT, NSLT and SLT+NSLT
    C0010/R0310, R0360,
    R0560
    C0030-C0040/R0410-
    R0460    		Net Best Estimate
    liability + Technical
    provisions calculated
    as a whole    		Best
    estimate
    shall
    be
    reported
    net
    of
    reinsurance and refers to the products of the
    health insurance portfolio that are sensitive to
    the relevant risk category. TPs calculated as a
    whole should be taken in as well.
    The split for disability-morbidity risk aggregate
    refers to annuities paid out (“APO”) or not
    (“ANPO”).
    C0050/R0310, R0360,
    R0410-R0460, R0560    		Net Written
    Premiums    		The total of the net written premiums shall be
    reported for the products of the health
    insurance portfolio that are sensitive to the
    relevant risk category.
    C0060/R0310, R0360,
    R0410-R0460, R0560    		Sum insuredThe total sum insured shall be reported for the
    products of the health insurance portfolio that
    are sensitive to the relevant risk category.
    C0070/R0310-R0570Solvency Capital
    Requirements    		The SCR for the relevant risk category, net of
    reinsurance.
    The following explanations apply for C0070 – C0260:
    For the aggregate risks, the SCR after
    aggregation over the underlying submodules
    should be reported.
    For lapse risk the following applies:
    -
    ‘Lapse’ covers exercising contractual
    options in a general sense.
    -
    Risk of increase in lapse rates (R0480) and
    decrease of lapse rates (R0490) are lapse
    risks other than mass lapse risk, where
    R0480 (R0490) covers the part of the
    business leading to a loss if lapse rates
    increase (decrease) as defined in the
    internal model.
    -
    Risk of mass lapse (R0500) is risk of
    accumulation or catastrophe risk for lapse
    as defined in the internal model.
    ‘Lapse type split (other than mass lapse)’
    covers non-mass lapse risk if a split in increase
    / decrease is not available and offers a split in
    three rough categories: ‘full surrender’, i.e.
    termination of the contract, ‘partial surrender’
    and ‘other’ exercising of contractual options or
    ‘Policyholder behaviour’.
    C0080/R0310-R0570MeanThe mean of the probability distribution of the
    net SCR
    C0090/R0310-R0570Standard deviationThe Standard deviation of the probability
    distribution of the net SCR
    C0100-C0310/R0310-
    R0570    		Percentiles from
    0.001 to 0.999    		It is expected that the insurance and
    reinsurance undertakings 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).

    OPTION 2 – HEALTH RISK

    To be completed if the internal model only has a split between Trend and Level risk. In that case the following template (S.26.14.01.05) replaces the template above (S.26.14.01.03).

    C0010/R0600Net Best Estimate
    liability + Technical
    provisions calculated
    as a whole    		Best
    estimate
    shall
    be
    reported
    net
    of
    reinsurance and refers to the products of the
    health insurance portfolio that are sensitive to
    the relevant risk category. TPs calculated as a
    whole should be taken in as well.
    The split for disability-morbidity risk
    aggregate refers to annuities paid out (“APO”)
    or not (“ANPO”).
    C0050/R0600Net Written
    Premiums    		The total of the net written premiums shall be
    reported for the products of the health
    insurance portfolio that are sensitive to the
    relevant risk category.
    C0060/R0600Sum insuredThe total sum insured shall be reported for the
    products of the health insurance portfolio that
    are sensitive to the relevant risk category.
    C0070/R0580-R0600Solvency Capital
    Requirements    		The SCR for the relevant risk category, net of
    reinsurance.
    For the aggregate risks, the net SCR after
    aggregation over the underlying submodules
    should be reported.
    C0080/R0580-R0600MeanThe mean of the probability distribution of the
    net SCR
    C0090/R0580-R0600Standard deviationThe Standard deviation of the probability
    distribution of the net SCR
    C0100-C0310/R0580-
    R0600    		Percentiles from
    0.001 to 0.999    		It is expected that the insurance and
    reinsurance undertakings 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).
    SOLVENCY CAPITAL REQUIREMENTS
    C0320/R0610Total undiversified
    risk: Life
    underwriting,
    Health underwriting,
    Life and Health
    underwriting    		The sum of all (sub-) SCRs.
    For lapse, please choose the sum as appropriate
    to the splits presented on the most granular
    level.
    Examples: (1) If lapse increase and lapse
    decrease and mass lapse are available, please
    sum up these. Irrespectively if the lapse split is
    additionally available. (2) If mass lapse and
    lapse split are available and also lapse split
    sublevels, please take the sum of mass lapse and
    lapse split. If only sublevels of lapse split are
    available, please chose those.
    C0320/R0620Diversification:
    Life underwriting,
    Health underwriting,
    Life and Health
    underwriting    		The diversification between the sub risks.
    This amount should be reported as a negative
    value.
    C0320/R0630Diversified risk:
    Life underwriting,    		The aggregated SCR Life and Health risk after
    aggregating all sub risks.
    Health underwriting,
    Life and Health
    underwriting