Solvency II Standard Formula SCR: Life Underwriting Risk Module – Disability-Morbidity Risk Sub-module

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The standard formula SCR set out in the Solvency II Delegated Act involves a capital requirement for morbidity/disability risk that is based on the change in net asset value (assets minus liabilities) arising from the combination of:

(a)    An increase of % in morbidity/disability inception rates for the first year followed by an increase of % for all subsequent years;

(b)   A permanent decrease of % in morbidity/disability recovery rates.

The calibrations used (which differ from those used in QIS4 and those set out in earlier proposed Level 2 guidance) are:

Version dated 7 December 2015

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