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Commission Delegated Regulation (EU) 2015/35Show full title
Commission Delegated Regulation (EU) 2015/35 of 10 October 2014 supplementing Directive 2009/138/EC of the European Parliament and of the Council on the taking-up and pursuit of the business of Insurance and Reinsurance (Solvency II) (Text with EEA relevance)
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Article 117Standard deviation for non-life premium and reserve risk
1.The standard deviation for non-life premium and reserve risk shall be equal to the following:
where:
(a)
Vnl denotes the volume measure for non-life premium and reserve risk;
(b)
the sum covers all possible combinations (s,t) of the segments set out in Annex II;
(c)
CorrS(s,t) denotes the correlation parameter for non-life premium and reserve risk for segment s and segment t set out in Annex IV;
(d)
σs and σt denote standard deviations for non-life premium and reserve risk of segments s and t respectively;
(e)
Vs and Vt denote volume measures for premium and reserve risk of segments s and t, referred to in Article 116, respectively.
2.For all segments set out in Annex II, the standard deviation for non-life premium and reserve risk of a particular segment s shall be equal to the following:
where:
(a)
σ(prem,s) denotes the standard deviation for non-life premium risk of segment s determined in accordance with paragraph 3;
(b)
σ(res,s) denotes the standard deviation for non-life reserve risk of segment s as set out in Annex II;
(c)
V(prem,s) denotes the volume measure for premium risk of segment s referred to in Article 116;
(d)
V(res,s) denotes the volume measure for reserve risk of segment s referred to in Article 116.
3.For all segments set out in Annex II, the standard deviation for non-life premium risk of a particular segment shall be equal to the product of the standard deviation for non-life gross premium risk of the segment set out in Annex II and the adjustment factor for non-proportional reinsurance. For segments 1, 4 and 5 set out in Annex II the adjustment factor for non-proportional reinsurance shall be equal to 80 %. For all other segments set out in Annex the adjustment factor for non-proportional reinsurance shall be equal to 100 %.
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