Solvency II Standard Formula SCR: Life
Underwriting Risk Module – Correlations
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In the standard formula SCR computation individual
sub-component capital charges (or individual component charges) are typically
aggregated using a correlation coefficient based approach. This involves
calculating the overall charge using a formula along the lines, where 
is the capital
charge for a given component element:
In the case of the life risk module, the correlations
proposed have changed as the consultation process has developed, with different
ones proposed in QIS4, CP74 and in the final Level 2 guidance developed in
response to feedback on CP74. The ones eventually implemented in the Solvency
II Delegated
Act appear in effect to be the same as those in CP74, but reordered.
The Nematrian website makes available the following tools to
help manipulate these correlations:
(a) MnSolvencyII_SCRSFStressSetNames.
Indicates acceptable stress set names (e.g. “DA” for the correlations contained
in the Delegated
Act).
(b) MnSolvencyII_SCRSFLifeStressNames.
Indicates acceptable stress names for a given StressSetName, e.g.
‘mortality’ and ‘longevity’.
(c) MnSolvencyII_SCRSFLifeCorrs.
Provides an array containing the correlation matrix. If there are 
different
stress names then is an array with 
terms, ordered
consistently with the ordering of the stress names given in (b).
(d) MnSolvencyII_SCRSFCombineStresses.
Combines different stresses using the correlation matrix and stress names as
above. Works for other sub-modules as well as the life risk module.
Version dated 7 December 2015
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