Health Risk

Inputs

NSLT Health Underwriting RiskSolvency capital required for the aggregated NSLT health underwriting sub-module under Article 145.

€

SLT Health Underwriting RiskSolvency capital required for the SLT health underwriting sub-module under Article 151.

€

Health Catastrophe RiskSolvency capital required for the health catastrophe sub-module under Article 160.

€

Standalone Health Sum

€165

Before diversification

−

Diversification Benefit

€34

−20.6% of standalone

Capital relief

=

Health Risk SCR

€131

After diversification

Step	Delta	Running
NSLT Health Risk	80	80
SLT Health Risk	60	140
Health Catastrophe Risk	25	165
Standalone Health Sum	165	165
Diversification Benefit	-33.946575779188436	131.05342422081156
Health Risk SCR	131.05342422081156	131.05342422081156

Health sub-module shares

Module	Share	Amount
NSLT Health Underwriting Risk	48.5%	€80
SLT Health Underwriting Risk	36.4%	€60
Health Catastrophe Risk	15.2%	€25

Health risk correlation matrix

1.000.250.50

Health risk correlation matrix
	NSLTNSLT	SLTSLT	CATHealth Catastrophe
NSLTNSLT	1.00	0.50	0.25
SLTSLT	0.50	1.00	0.25
CATHealth Catastrophe	0.25	0.25	1.00

1Step 1

Health Risk SCR

\textit{Health Risk SCR} = \sqrt{\sum_{i,j} Corr_{i,j} \times SCR_i \times SCR_j}

2Step 2

Diversification Benefit

\textit{Diversification Benefit} = \max\left(0, \textit{NSLT Health Underwriting Risk} + \textit{SLT Health Underwriting Risk} + \textit{Health Catastrophe Risk} - \textit{Health Risk SCR}\right)

3Step 3

Standalone Health Total

\textit{Standalone Health Total} = \textit{Health Risk SCR} + \textit{Diversification Benefit}

Understand the Health Risk

What this calculator does

This calculator implements the Health Underwriting Risk module within the standard formula. It combines similar-to-life-techniques health risk, non-similar-to-life-techniques health risk, and health-catastrophe risk into the diversified health term used in BSCR^[1]^[2].

Input terms

NSLT Health Underwriting Risk: The diversified charge for health portfolios valued using non-life techniques, which uses the premium-and-reserve style approach and health-specific volatility parameters^[3]^[4].
SLT Health Underwriting Risk: The diversified charge for health portfolios valued using life techniques, so the stresses mirror the life-style mortality, longevity, disability-morbidity, expense, revision, and lapse framework^[5].
Health Catastrophe Risk: The catastrophe charge for health-specific tail events such as mass accidents, concentration events, and pandemic scenarios^[6]^[7].

Calculation

The module separates SLT and NSLT business because the underlying reserving basis is fundamentally different. Long-duration SLT business is stressed through actuarial-assumption shocks, while short-duration NSLT business is measured through premium and reserve volatility logic. Health-catastrophe risk is then added on top as a distinct tail-risk layer because it captures low-frequency, high-severity events that are not already represented by the ongoing SLT and NSLT deterioration stresses^[1]^[3]^[5]^[6].

Important notes

The SLT and NSLT split is mandatory.: Products need to be allocated according to the technique used to value their obligations, not according to management preference for capital purposes^[1].
Health revision risk is stronger than the standard life revision stress: for the relevant SLT health exposures, reflecting the legal and claims uncertainty in those benefits^[4].
NSLT business may benefit from HRES treatment: where a qualifying health-risk equalization system exists and the regulatory conditions are met^[4].
Double-counting should be avoided.: Mixed products need to be split so SLT features are stressed under the biometric framework and NSLT features under the premium-and-reserve framework^[1]^[3]^[5].
Reporting: The health-risk result is intended to reconcile to the health-underwriting part of the Solvency II QRT package, including the S.26 family of views^[8].

Sources