French Insurance Code
In forceI.-The Basic Solvency Capital Requirement is composed of individual risk modules which are aggregated.
It comprises at least the following risk modules:
a) Non-life underwriting risk;
b) Life underwriting risk;
c) Health underwriting risk;
d) Market risk;
e) Counterparty risk.
The methods for aggregating the various risk modules, as well as the component of the Basic Solvency Capital relating to the risk on intangible assets, are specified in Article 87 of Commission Delegated Regulation (EU) No 2015/35 of 10 October 2014.
For the calculation of the modules mentioned in a, b and c, insurance and reinsurance transactions are allocated to the underwriting risk module that best reflects the technical nature of the underlying risks.
The scope of underwriting risks is defined in Article 113 of Commission Delegated Regulation (EU) No 2015/35 of 10 October 2014.
II-The correlation coefficients applied for the purposes of aggregating the risk modules referred to in I and the calibration of the capital requirements for each risk module result in an overall Solvency Capital Requirement that complies with the principles set out in Article R. 352-2.
III - Each of the risk modules mentioned in I is calibrated on the basis of a value-at-risk measure, with a confidence level of 99.5% over a one-year horizon.
Where appropriate, diversification effects are taken into account in the design of each risk module.
For all insurance and reinsurance undertakings, the same design and specifications are used for the risk modules, both for the Basic Solvency Capital Requirement and for any simplified calculation provided for in Article R. 352-10.
IV - For risks resulting from catastrophes, geographical specifications may, where appropriate, be used for the calculation of the "life underwriting risk", "non-life underwriting risk" and "health underwriting risk" modules.
V.-Subject to the agreement of the Autorité de contrôle prudentiel et de résolution, insurance and reinsurance undertakings may, when calculating the "life underwriting risk", "non-life underwriting risk" and "health underwriting risk" modules replace, in the design of the standard formula, a subset of the parameters specified in Article 218 of Commission Delegated Regulation (EU) No 2015/35 of 10 October 2014 by parameters which are specific to the undertaking concerned.
These parameters shall be calibrated on the basis of the internal data of the undertaking concerned or data directly relevant to the operations of that undertaking, on the basis of standardised methods.
Before giving its approval, the Autorité de contrôle prudentiel et de résolution shall verify the completeness, accuracy and appropriateness of the data used.
The detailed rules for the application of V are set out in Articles 218 to 220 of Commission Delegated Regulation (EU) 2015/35 of 10 October 2014.
