Policies relating to the Correlation Matrices for the calculation of the Standard Formula Solvency Capital Requirement for Solvency 2 insurers.

PRA Rules

  • Solvency Capital Requirement - General Provisions
  • Solvency Capital Requirement - Standard Formula, (Chapter 1, Chapter 2, Chapter 3, Chapter 7)
  • Correlation Matrix For Non-Life Premium And Reserve Risk - Commission Delegated Regulation (EU) 2015/35 (Annex IV), deemed as a PRA Rule by the Solvency 2 and Insurance (Amendment) (EU Exit) Regulations 2019  (Regulation 4)
  • Correlation Matrix For NSLT Health Premium And Reserve Risk - Commission Delegated Regulation (EU) 2015/35 (Annex XV), deemed as a PRA Rule by the Solvency 2 and Insurance (Amendment) (EU Exit) Regulations 2019  (Regulation 4)
  • Correlation Coefficients For Windstorm Risk - Commission Delegated Regulation (EU) 2015/35 (Annex XXII), deemed as a PRA Rule by the Solvency 2 and Insurance (Amendment) (EU Exit) Regulations 2019  (Regulation 4)
  • Correlation Coefficients For Earthquake Risk - Commission Delegated Regulation (EU) 2015/35 (Annex XXIII), deemed as a PRA Rule by the Solvency 2 and Insurance (Amendment) (EU Exit) Regulations 2019  (Regulation 4)
  • Correlation Coefficients For Flood Risk - Commission Delegated Regulation (EU) 2015/35 (Annex XXIV), deemed as a PRA Rule by the Solvency 2 and Insurance (Amendment) (EU Exit) Regulations 2019  (Regulation 4)
  • Correlation Coefficients For Hail Risk - Commission Delegated Regulation (EU) 2015/35 (Annex XXV), deemed as a PRA Rule by the Solvency 2 and Insurance (Amendment) (EU Exit) Regulations 2019  (Regulation 4)
  • Correlation Coefficients For Subsidence Risk - Commission Delegated Regulation (EU) 2015/35 (Annex XXVI), deemed as a PRA Rule by the Solvency 2 and Insurance (Amendment) (EU Exit) Regulations 2019  (Regulation 4)

UK legislation

  • Solvency Capital Requirement Standard Formula - Commission Delegated Regulation (EU) 2015/35 (Title I, Chapter V, Sections 1 and 13)
This page was last updated 31 January 2023