Non-Life Non-Proportional Property Risk

Overview

This calculator implements the gross capital requirement for the Non-Proportional Property Catastrophe Risk sub-module within the Solvency II Non-Life Underwriting standard formula.^[1] The Non-Proportional Property 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 non-proportional property reinsurance obligations.^[2]

Input Terms

• Premium Volume (Gross): The total written premium for non-proportional property reinsurance obligations (excluding marine, aviation, and transport).^[1]
• Specified Scale Factor: The regulatory factor (EUR 250 per 100 of premium) representing the 1-in-200 year scenario-specific severity.

Technical Rationale

The Non-Proportional Property 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 reinsurance portfolios where the undertaking provides high-layer protection on property risks.^[1]

The calculation uses a simple volume-driven formula, applying a prescribed severity factor (250%) to the written premium. This ensures that the undertaking holds a fixed capital buffer against the extreme tail volatility inherent in excess-of-loss reinsurance contracts. The final result represents the gross non-proportional property catastrophe component before aggregation.

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.
• Gross vs. Net SCR: This calculator determines the standalone Non-Life Non-Proportional Property 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]