Life Catastrophe Policy Capital at Risk

Overview

This calculator isolates the Article 96 positive-capital-at-risk measure for one policy within the Life Catastrophe Risk simplification.^[1] It starts from gross immediate-death amounts and best estimate obligations, then derives the net amounts after recoverables from reinsurance contracts and special purpose vehicles.

Input Terms

• Current Death Payment Gross: The gross amount currently payable if the insured person dies.^[1]
• EPV Future Immediate-Death Payments Gross: The gross expected present value of future death-contingent amounts that would be payable on immediate death and are not included in the current death payment amount.^[1]
• Best Estimate Obligations Gross: The corresponding gross best estimate obligations.^[1]
• Reinsurance Recoverable Inputs: Advanced inputs deduct recoverables from reinsurance contracts for the current death payment, future death-payment EPV, and best estimate obligation components.^[1]
• SPV Recoverable Inputs: Advanced inputs deduct recoverables from special purpose vehicles for the same components.^[1]

Technical Rationale

Article 96 measures catastrophe exposure through positive capital at risk because only policies where immediate death creates an adverse net obligation should contribute to the simplification base.^[1] The floor prevents policies with no adverse death exposure from offsetting policies that do carry catastrophe risk. The gross, reinsurance, and SPV split keeps the net Article 96 position traceable.

The output is the policy-level amount only. Portfolio aggregation remains outside this page.

Important Notes

• This is a policy-level Article 96 measure, not a standalone SCR amount.
• Reinsurance and SPV recoverables are always explicit advanced inputs so the net position remains traceable.