Non-Life Marine Risk

Overview

This calculator implements the gross capital requirement for the Marine Catastrophe Risk sub-module within the Solvency II Non-Life Underwriting standard formula.^[1] The Marine 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 marine-accident event.^[2]

Input Terms

• Sum Insured (Largest Vessel): The total value of property and liability exposure for the undertaking's largest single insured vessel.^[1]
• Offshore Concentration Factor: The prescribed 1-in-200 year severity factor (e.g., for major spills or accidents) applied to the maritime portfolio.
• Scenario Severity: The requirement is derived from the maximum loss across several prescribed marine scenarios, including collision, fire, and total loss on the largest vessel.^[1]

Technical Rationale

The Marine Catastrophe Risk 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 maritime events, such as a major collision or the loss of a large container ship or tanker.^[1]

The calculation identifies the largest single-vessel exposure and applies several catastrophe scenarios (hull damage, liability, and environmental impact). This ensures that the undertaking holds enough capital to absorb the maximum possible loss from a single maritime catastrophe. The final result represents the gross marine catastrophe component before diversification in Man-made Catastrophe Risk.

Important Notes

• Scenario evidence gate: Prepared catastrophe scenario amounts must carry source evidence for both scenario inputs. The selected maximum remains visible, while the governance-breach output flags unsupported scenario preparation.
• Concentration Risk: The requirement is highly sensitive to the undertaking's single largest maritime vessel exposure.
• Gross vs. Net SCR: This calculator determines the standalone Non-Life Marine 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 feeding the S.25.01.01 standard-formula reporting view.^[4]