Life Catastrophe Risk Simplification

Overview

This calculator implements the simplified capital requirement for Life Catastrophe Risk within the Solvency II standard formula.^[1] It applies the prescribed catastrophe mortality increase to a prepared total positive capital at risk.

Input Terms

• Prepared Total Positive Capital at Risk: The aggregate positive capital at risk for policies exposed to the life catastrophe mortality shock. Life Catastrophe Policy Capital at Risk calculates one policy-level positive amount; this calculator does not calculate the portfolio sum.^[1]
• Article 96 Mortality Increase: The Article 96 shock rate applied to prepared total positive capital at risk; the prescribed value is 0.15%.^[1]

Technical Rationale

Article 96 provides a simplified catastrophe calculation based on prepared total positive capital at risk rather than a full policy-by-policy shocked balance sheet.^[1] Policy-level positive capital at risk must be established before being included in the portfolio-level input. The simplification remains a life-catastrophe component before broader Life Risk aggregation.

Important Notes

• Applicability: The input should include only positive capital at risk exposed to the life catastrophe mortality event.^[1]
• Gross vs. Net SCR: This simplification estimates the standalone Life Catastrophe Risk SCR. Solvency II risk is only finalized as a net impact on Basic Own Funds after diversification in Life Risk, then within BSCR, and after the top-level LAC TP and LAC DT adjustments.
• Regulatory deviation: Material deviation from the standard-formula assumptions or from the conditions supporting this simplification may support a capital add-on or a move toward a fuller or internal-model approach where justified.^[2]
• Reporting: The simplified result is intended to support the corresponding standard-formula component for the S.25.01.01 standard-formula reporting view, not to replace the full article-based result where the simplification is not justified.^[3]