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Non-Life Other Catastrophe Risk

AdvancedRequires external valuation

Calculate the Other Catastrophe Risk Capital Requirement instantly.

Use the undertaking's valuation model for the capital impact. This page documents the prescribed stress.

€
€
€
€
€

Group Gross Sum

€10 150 000

Before correlation diversification

−

Diversification Benefit

€4 429 642

−43.6% of standalone

Capital relief

=

Other Cat Capital

€5 720 358

After diversification

Other catastrophe Article 135 build-up

Waterfall chart showing standalone component risk amounts, diversification benefit, and diversified result.
StepImpactRunning
Group 1 Risk Amount10000001000000
Group 2 Risk Amount25000003500000
Group 3 Risk Amount4000003900000
Group 4 Risk Amount25000006400000
Group 5 Risk Amount375000010150000
Gross Sum1015000010150000
Diversification Benefit-4429641.6196185755720358.380381425
Other Cat Capital5720358.3803814255720358.380381425
Other catastrophe group shares
Other catastrophe group sharesShare of each segment in the total.Group 5Risk Amount36.9% · €3.8MGroup 2Risk Amount24.6% · €2.5MGroup 4Risk Amount24.6% · €2.5MGroup 1Risk Amount9.9% · €1.0MGroup 3Risk Amount3.9% · €400K
ModuleShareAmount
Group 5 Risk Amount36.9%€3.8M
Group 2 Risk Amount24.6%€2.5M
Group 4 Risk Amount24.6%€2.5M
Group 1 Risk Amount9.9%€1.0M
Group 3 Risk Amount3.9%€400K

Other catastrophe group correlation matrix

1.000.001.00
Other catastrophe group correlation matrix
G1Group 1 Risk AmountG2Group 2 Risk AmountG3Group 3 Risk AmountG4Group 4 Risk AmountG5Group 5 Risk Amount
G1Group 1 Risk Amount
1.00
1.00
0.00
0.00
0.00
G2Group 2 Risk Amount
1.00
1.00
0.00
0.00
0.00
G3Group 3 Risk Amount
0.00
0.00
1.00
0.00
0.00
G4Group 4 Risk Amount
0.00
0.00
0.00
1.00
0.00
G5Group 5 Risk Amount
0.00
0.00
0.00
0.00
1.00
1Step 1

Apply each Article 135 group factor to its gross premium

Chargei=ci×PiCharge_i=c_i\times P_i
2Step 2

Combine groups 1 and 2, then aggregate with the remaining groups by square-root formula

SCRother=(Charge1+Charge2)2+Charge32+Charge42+Charge52SCR_{other}=\sqrt{(Charge_1+Charge_2)^2+Charge_3^2+Charge_4^2+Charge_5^2}

Understand the Non-Life Other Catastrophe Risk

Overview

This calculator implements the gross capital requirement for the Other Non-Life Catastrophe Risk sub-module within the Solvency II standard formula.[1] The Other Catastrophe Risk requirement is defined as the economic capital necessary to cover the loss in basic own funds resulting from an absolute 1-in-200 year catastrophe event affecting residual non-life obligations.[2]

Input Terms

  • Group Premium (Gross): The gross premium volume for each Article 135 other-catastrophe group.[1]
  • Group Factor: The prescribed Article 135 factor applied to the group premium.[1]

Technical Rationale

The Other Non-Life Catastrophe sub-module is calibrated to a 99.5% confidence level over a one-year horizon. It captures the sensitivity of the undertaking’s basic own funds to extreme loss events in miscellaneous non-life portfolios, such as legal expenses or assistance, that are not specifically covered in other catastrophe sub-modules.[1]

Article 135 exists for residual non-life catastrophe exposures that do not fit the named natural or man-made catastrophe modules.[1] The grouped structure prevents those miscellaneous lines from being ignored while still reflecting that not every residual catastrophe group is perfectly aligned.

Groups 1 and 2 are treated together because the regulation links those premium groups before the remaining groups are recognized separately. The other-catastrophe component stays gross until total Non-Life Catastrophe Risk performs the next aggregation step.

Important Notes

  • Gross vs. Net SCR: This calculator determines the standalone Non-Life Other Catastrophe Risk SCR. Solvency II risk is only finalized as a net impact on Basic Own Funds after diversification in Non-Life Risk, 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.[3]
  • Reporting: The displayed result is intended to support the corresponding standard-formula component for the S.25.01.01 standard-formula reporting view.[4]

Sources

  1. Delegated Regulation (EU) 2015/35 - Art. 135 (Sub-module for other non-life catastrophe risk) - EIOPA
  2. Directive 2009/138/EC - Art. 101 (99.5% VaR / 1-in-200 calibration) - EIOPA
  3. Directive 2009/138/EC - Art. 37 (Capital add-on) - EIOPA
  4. 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.