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Health Catastrophe Risk

Calculate the Health Catastrophe Risk Capital instantly.

€
€
€

Gross Sum

€6 012 496

Before correlation diversification

−

Correlation Adjustment

€2 475 549

−41.2% of standalone

Capital relief

=

Health Cat Capital

€3 536 948

After diversification

Health catastrophe correlation build-up

Waterfall chart showing standalone component charges, correlation adjustment, and diversified result.
StepDeltaRunning
Mass Accident1969771.5603592211969771.560359221
Accident Concentration1542724.86205415133512496.4224133724
Pandemic25000006012496.422413372
Gross Sum6012496.4224133726012496.422413372
Correlation Adjustment-2475548.58564789363536947.836765479
Health Cat Capital3536947.8367654793536947.836765479
Health catastrophe component shares
Health catastrophe component sharesShare of each segment in the total.Pandemic41.6% · €2.5MMass Accident32.8% · €2.0MAccidentConcentration25.7% · €1.5M
ModuleShareAmount
Pandemic41.6%€2.5M
Mass Accident32.8%€2.0M
Accident Concentration25.7%€1.5M

Health catastrophe correlation matrix

1.000.00
Health catastrophe correlation matrix
MAMass AccidentACAccident ConcentrationPANPandemic
MAMass Accident
1.00
0.00
0.00
ACAccident Concentration
0.00
1.00
0.00
PANPandemic
0.00
0.00
1.00
1Step 1

Sum health catastrophe component capital before diversification

Gross=MassAccident+AccidentConcentration+PandemicGross=MassAccident+AccidentConcentration+Pandemic
2Step 2

Aggregate health catastrophe components by square-root formula

SCRhealth−cat=MassAccident2+AccidentConcentration2+Pandemic2SCR_{health-cat}=\sqrt{MassAccident^2+AccidentConcentration^2+Pandemic^2}
3Step 3

Reconcile final capital and component mix

Delta=Gross−SCRhealth−catDelta=Gross-SCR_{health-cat}

Understand the Health Catastrophe Risk

Overview

This calculator implements the gross capital requirement for Health Catastrophe Risk within the Solvency II standard formula.[1] The Health Catastrophe Risk requirement is defined as the economic capital necessary to cover the loss in basic own funds resulting from an extreme, low-frequency 1-in-200 year health event.[2]

Input Terms

  • Mass Accident Risk: The capital requirement for a catastrophic concentration of health insurance obligations affected by a single mass accident.[3]
  • Accident Concentration Risk: The capital requirement for a high geographic concentration of insured persons in a single accident event.[4]
  • Pandemic Risk: The capital requirement for a significant increase in health claims resulting from a large-scale pandemic outbreak.[5]

Technical Rationale

The Health Catastrophe Risk sub-module is calibrated to a 99.5% confidence level over a one-year horizon. It aggregates the extreme, tail risks inherited from mass-accident, exposure-concentration, and pandemic scenarios that could cause a sudden surge in health claims.[1]

The calculation uses the standard Solvency II square-root aggregation formula with zero correlation assumed between the pandemic and accident scenarios. This ensures that the undertaking holds enough capital to absorb the simultaneous impact of a pandemic and a mass accident, given their independent nature. The final result represents the gross health catastrophe component before further aggregation into the Health Underwriting Risk module.

Important Notes

  • Gross vs. Net SCR: This calculator determines the standalone Health Catastrophe Risk SCR. Solvency II risk is only finalized as a net impact on Basic Own Funds after diversification in the higher Health Risk aggregation chain, then within BSCR, and after the top-level LAC TP and LAC DT adjustments.
  • Regulatory deviation: Material deviation from standard-formula assumptions at this layer may support a capital add-on or a move toward an internal model where justified.[6]
  • Reporting: The displayed result is intended to support the corresponding standard-formula component feeding the S.25.01.01 standard-formula reporting view.[7]

Sources

  1. Delegated Regulation (EU) 2015/35 - Art. 160 (Health catastrophe risk sub-module) - EIOPA
  2. Directive 2009/138/EC - Art. 101 (99.5% VaR / 1-in-200 calibration) - EIOPA
  3. Delegated Regulation (EU) 2015/35 - Art. 161 (Mass accident risk sub-module) - EIOPA
  4. Delegated Regulation (EU) 2015/35 - Art. 162 (Accident concentration risk sub-module) - EIOPA
  5. Delegated Regulation (EU) 2015/35 - Art. 163 (Pandemic risk sub-module) - EIOPA
  6. Directive 2009/138/EC - Art. 37 (Capital add-on) - EIOPA
  7. Commission Implementing Regulation (EU) 2023/894 - QRT S.25.01.01 (SCR standard formula) - EUR-Lex

Default values are illustrative sample inputs for navigation, training, and QA. Replace them with controlled data before using the result in capital analysis, governance, or reporting decisions.