Regulatory Alerts2016-04-25 | NBB_2016_17Added · Updated
Circular NBB_2016_17 on the application of the 'life underwriting risk' module in the Solvency Capital Requirement calculation under the standard formula
This circular specifies the shock rates for the life underwriting risk module (mortality, longevity, and disability/morbidity) that Belgian insurance and reinsurance companies must apply when calculating the Solvency Capital Requirement using the standard formula. It mandates that companies apply upward shocks to mortality and disability/morbidity incidence rates, and downward shocks to disability/morbidity recovery rates, ensuring that post-shock rate values do not exceed 1. Additionally, it clarifies that transition rates between multiple health states must be treated as disability/morbidity rates for capital calculation purposes, with only persistence rates adjusted to maintain a sum of 1. These requirements apply to Belgian insurance entities, including mutual insurance companies, effective from March 23, 2016.