Structure of the Basic Solvency Capital Requirement

(1) The Basic Solvency Capital Requirement comprises individual risk modules, which are aggregated in accordance with Annex 3. It comprises at least the following risk modules: 1. non-life underwriting risk, 2. life underwriting risk, 3. health underwriting risk, 4. market risk, and 5. counterparty default risk. Insurance business must be assigned to the underwriting risk module that best reflects the technical nature of the underlying risks.
(2) The correlation coefficients for the aggregation of the risk modules named in subsection (1), and the calibration of the capital requirements for each risk module, must result in an overall Solvency Capital Requirement that satisfies the principles named in section 97.
(3) Each of the risk modules named in subsection (1) is calibrated using the Value-at-Risk risk measure, subject to a confidence level of 99.5 percent over a one-year period. Where applicable, diversification effects must be taken into account in the structure of the risk modules.
(4) The structure and specifications of the risk modules must be the same for all insurance undertakings, both in respect of the Basic Solvency Capital Requirement and in respect of calculation simplifications under section 109(1).
(5) In respect of risks arising from catastrophes, geographical specificities may be taken as the basis for calculating the life, non-life, and health underwriting risk modules.