Pillar 1: Undertaking-specific parameters

Table 1: General information of the undertakings to which the application for undertaking-specific parameters (USPs) relates.
General information
1 Statutory name and relationship number of the undertaking (group or solo) submitting the application.
…………………
2 Statutory name and relationship number of each undertaking to which the application for a solo calculation of the USPs relates.
…………………
3 Does the application also relate to the calculation of the solvency capital requirement for a group based on USPs (Yes/No). Only if "Yes" are questions 6 to 10 applicable. ………………… 4 Names and functions of the persons who signed the application. ………………… 5 Start date from which the applicant wishes to apply the USPs. ………………… 6 Statutory name and relationship number of the group to which the group calculation of the USPs relates. ………………… 7 Statutory names and relationship numbers of the undertakings to which the group calculation of the USPs (see question 6) relates. ………………… 8 Is the application inclusive of a USP for the standard deviation for the premium reserve risk at group level in the calculation of the solvency capital requirement at group level. ………………… 9 Which method is used in the calculation of the solvency capital requirement at group level. For further explanation of the methods, reference is made to Articles 328 to 342 of Delegated Regulation 2015/35. ………………… 10 Provide detailed information on the undertakings concerned if a combination of method 1 and method 2 was used in the calculation of the solvency capital requirement at group level. Reference to document(s)

Table 2: Summary of results for the solvency capital requirements (SCR)
NB: The solvency capital requirement for each risk sub-module is before diversification between the other risk sub-modules; the total solvency capital requirement is after diversification between all underlying risk modules. The results are based on the most recent year-end figures. Legend:
(1) = Abbreviated statutory name of the undertaking to which the USPs relate.
(2) = Solvency capital requirement for the premium risk based on the standard formula (SF).
(3) = Solvency capital requirement for the premium risk based on the undertaking-specific parameters (USPs).
(4) = Solvency capital requirement for the reserve risk based on the standard formula.
(5) = Solvency capital requirement for the reserve risk based on the undertaking-specific parameters.
(6) = Solvency capital requirement for the revision risk for Life based on the standard formula.
(7) = Solvency capital requirement for the revision risk for Life based on the undertaking-specific parameters.
(8) = Solvency capital requirement for the revision risk for Health based on the standard formula.
(9) = Solvency capital requirement for the revision risk for Health based on the undertaking-specific parameters.
(10) = Solvency capital requirement based on the standard formula.
(11) = Solvency capital requirement based on the undertaking-specific parameters.
Undertaking SCR
Premium Risk
SCR
Reserve Risk
SCR
Revision Risk Life
SCR
Revision Risk Health
SCR
Total
SF USP SF USP SF USP SF USP SF USP
(1) (2) (3) (4) (5) (6) (7) (8) (9) (10) (11)
…………………
…………………
…………………
…………………
…………………
…………………
…………………

Table 3: Premium risk sub-module and reserve risk sub-module for Property & Casualty and NSLT Health Insurance – Article 104(7) of the Solvency II Directive.
NB: The table must be completed for each undertaking separately, as stated in row 2 and 6 of Table 1. For the terms "Duration (DUR)" and "Credibility Factor (CF)", reference is made to Section G of Annex XVII of Delegated Regulation 2015/35. Furthermore, a choice must be made between the premium reserve risk and non-proportional reinsurance, and between method 1 and method 2 of the reserve risk. Cells that are not applicable do not need to be filled in. Legend:
(1) = Segments 1 to 12 as established in Annex II and segments 1 to 4 as established in Annex XIV of Delegated Regulation 2015/35.
(2) = Solo or Group to which the USPs relate.
(3) = Standard deviation for the premium reserve risk.
(4) = Standard deviation relates to gross premium reserve risk; Yes/No.
(5) = Duration in years for the premium reserve risk.
(6) = Credibility factor in percentages for the premium reserve risk.
(7) = Standard deviation for the reserve risk according to method 1.
(8) = Duration in years for the reserve risk according to method 1.
(9) = Credibility factor in percentages for the reserve risk according to method 1.
(10) = Standard deviation for the reserve risk according to method 2.
(11) = Duration in years for the reserve risk according to method 2.
(12) = Credibility factor in percentages for the reserve risk according to method 2 (13) = Correction factor for non-proportional reinsurance. (14) = Duration in years for non-proportional reinsurance. (15) = Credibility factor in percentages for non-proportional reinsurance. Undertaking ………………… Segment S/G Undertaking-specific parameters (USPs) 𝜎 PR Gross PR Yes/No DUR PR CF PR σ RR Method 1 DUR RR Method 1 CF RR Method 1 σ RR Method 2 DUR RR Method 2 CF RR Method 2 CF NP-Re DUR NP-Re CF NP-Re (1) (2) (3) (4) (5) (6) (7) (8) (9) (10) (11) (12) (13) (14) (15) ………………… ………………… ………………… ………………… …………………

Table 4: Revision risk sub-module for Life Insurance and Health Insurance – Article 104(7) of the Solvency II Directive.
NB: The table must be completed for each undertaking separately, as stated in row 2 and 6 of Table 1, which applies an undertaking-specific increase in the amount of annuity payments to replace the percentage as established in Article 141 (Life) and Article 158 (Health) of Delegated Regulation 2015/35. For the terms "Duration" and "Credibility Factor", reference is made to Section G of Annex XVII of Delegated Regulation 2015/35. Legend:
(1) = Segment to which the revision risk relates; Life or Health (2) = Solo or Group to which the USPs relate.
(3) = Undertaking-specific increase in percentages of the amount of annuity payments.
(4) = Duration in years for the revision risk.
(5) = Credibility factor in percentages for the revision risk.
Undertaking …………………
Segment
Life or Health
Solo or Group Undertaking Specific Parameters
Increase USP
Annuity Payments
Duration
Annuity Payments
Credibility Factor
Annuity Payments
(1) (2) (3) (4) (5)

Table 5: Governance
Governance Reference to document(s)
1 Provide detailed information on governance in relation to the USPs, in particular regarding the role of the actuarial function with respect to the assessment of data quality. This includes:
a) Defining material adjustments where the supervisor must be informed. b) Determining the criteria and procedures that must be established to be able to report to the relevant supervisory authorities; c) Explaining how it is ensured that the conditions regarding the USPs are continuously met. 2 Explain whether and to what extent reliance is placed on a quality assurance based on internal audit or external assessments of the solvency capital requirement. Include in the answer the nature of the quality assurance and the scope of the assessment. 3 Provide a copy of the current policy regarding data quality including details on governance concerning the expert judgment for the USPs. 4 Demonstrate that the data and the underlying processing processes have been carefully documented in accordance with Article 219 of Delegated Regulation 2015/35.

Table 6: General criteria regarding data – Article 219 of Delegated Regulation 2015/35
General data quality Reference to document(s)
5 Name all factors that adversely affect data quality and the possible solutions thereto.
6 State how the risk profile of your undertaking differs from the undertakings that are representative for the calibration of the standard formula and why you believe it is appropriate to use USPs in the calculation of the solvency capital requirement. For more information, reference is made to the document: “Underlying Assumptions in the standard formula for the Solvency Capital Requirement calculation” with reference “EIOPA-14-322”. Accuracy of data Reference to document(s) 7 What definition of material deficiency do you use and how do you ensure that these deficiencies do not occur in your data? 8 Explain the significant adjustments relating to the recording of the data used for the calculation of the USPs. Completeness of data Reference to document(s) 9 Demonstrate that you have sufficient historical data that is sufficiently granular to allow the determination of volatility and uncertainty for each USP and segment. Add a table stating the number of years of data for premiums, insured amounts, and losses for each USP and segment and explain any omission of data in the calculations. 10 Provide a summary with a comparison of the data used in the USP calculation and the Technical Provisions (TP) and explain all differences. Attention must also be paid to any different number of loss years for USPs and TP. 11 Give the reason for not using the USPs for certain segments if applicable and discuss the appropriateness of the standard formula for these segments. Include the segments as established in Annex I of Delegated Regulation 2015/35. Appropriateness of data Reference to document(s) 12 Show that the data used in the calculation of the USPs are consistent with the assumptions for the actuarial and statistical techniques applied in the calculation of the USPs. 13 Describe the data adjustments for each segment and for each USP. Also describe the validation performed to ensure that the data after the adjustments meet the conditions of Article 219 of Delegated Regulation 2015/35. 14 Describe the adjustments to historical data that ensure the data are usable for the coming 12 months. 15 Describe the process and frequency of periodic data adjustment and state which triggers may lead to additional adjustments of the data.

Table 6: General criteria regarding data – Article 219 of Delegated Regulation 2015/35
External data (only to be filled in if you use external data as defined in the Solvency II Directive) Reference to document(s) 16 State why the external data are more suitable for the calculations than the internally obtained data. 17 Describe the sources for the external data and describe the methods and assumptions you apply when using this data. 18 Provide an explanation of the trend(s) or variations in assumptions and methods for processing the data over time. 19 Describe the data collection process and state how the method and assumptions when using the external data align with your risk profile. 20 If different external sources are used, state how the assumptions of the different sources relate to each other and how you deal with any inconsistencies between the different sources. 21 State where you have possibly rejected external data on the grounds of material deficiencies or inconsistencies with other external sources or with the risk profile of your undertaking. 22 Provide an explanation for any significant differences between the standard deviations obtained on the basis of the external data and the standard deviations for the internal data. State what you mean by a significant difference. 23 Describe the probability distributions for the external data and for the internal data and determine the standard deviation for the underlying risk based on both the external and the internal data. 24 Add the results of the analyses performed as a supplement to the standard methods. 25 State in what way the external data are relevant to your risk profile. Add a comparison of the external data with your own risk profile and the risk-mitigating agreements. Also show how the homogeneity is visible in the external data.

Table 7: Premium risk data – Annex XVII of Delegated Regulation 2015/35
Data for the premium risk method Reference to document(s) 26 Demonstrate that the data for the premium risk to which your (re)insurer is exposed in the coming 12 months are representative. 27 On which accident years do the data relate. For the definition of accident year, reference is made to Section A of Annex XVII of Delegated Regulation 2015/35. 28 Which standard parameters do you intend to replace? Those for the net premium risk or the gross premium risk? 29 If the answer to the previous question is the gross premium risk, provide details of the reinsurance contract and/or the arrangement with the special purpose vehicle (SPV) for the coming 12 months and explain how the earned premiums and aggregate losses have been adjusted for the share from the reinsurance, the SPV, or the reinsurance premiums. Add an explanation showing that the adjustments to the recovered loss amounts and reinsurance premiums are consistent with the agreements valid for the coming 12 months. 30 Demonstrate that the definition of all catastrophe claims excluded from the sub-modules for the premium risk for Property and Health is consistent with the scenarios given for the sub-modules for the catastrophe risk for Property and Health or with the definition used in an approved partial internal model for the relevant segment. 31 State whether you have included the incurred costs for fulfilling the (re)insurance obligations in the aggregate loss data and specify the costs and their magnitude. 32 Demonstrate for each segment that the aggregate loss data are linearly proportional to the earned premiums in a specific accident year. Demonstrate for each segment that the variance of the aggregate losses relates quadratically to the earned premiums in a specific accident year. 33 Demonstrate that the aggregate losses follow a log-normal distribution and add a graph and relevant statistics of the equation of the observed data and the fitted log-normal distribution. 34 Show that the maximum likelihood estimation is suitable for this data.

Table 8: Reserve risk – Annex XVII of Delegated Regulation 2015/35
Data for the reserve risk – General Reference to document(s) 35 Explain in what way the data are representative for the reserve risk to which your undertaking is exposed in the coming 12 months. 36 State the calendar years and accident years to which the data used for methods 1 and 2 relate. 37 Describe how the data used for the calculation of the USPs for the reserve risk align with the reinsurance coverage and the functioning of the reinsurance program. 38 Describe how the data for method 1 and the cumulative loss amounts for method 2 are adjusted for amounts recoverable under reinsurance contracts and SPVs used to provide coverage in the coming 12 months. 39 State whether significant changes have occurred in your reserving policy during the period to which the data used relate. 40 Describe how the costs have been included in the aggregate loss data and specify the magnitude of the different cost items. Also state how the fixed costs are allocated in the separate segments. 41 Compare and contrast the two methods defined in Section C and D of Annex XVII of Delegated Regulation 2015/35 for the calculation of the USPs for the reserve risk. State why the chosen reserving method leads to the best results in meeting the conditions mentioned in Article 101(3) of the Solvency 2 Directive. Data for the reserve risk - Method 1 – Section C of Annex XVII of Delegated Regulation 2015/35 Reference to document(s) 42 Substantiate for each segment that there is a linear relationship between the change in the expected value for the provision for outstanding claims during the calendar year and the payments made during the calendar year. 43 Substantiate for each segment that there is a quadratic relationship between the loss ratio and the earned premiums for a specific calendar year. 44 Show that the loss ratio satisfies a log-normal distribution. Show with a graph and the relevant statistics how the observed data relate to the fitted log-normal distribution. 45 Substantiate that parameter estimation based on maximum likelihood is a suitable method for the data used. Data for the reserve risk - Method 2 - Section D of Annex XVII of Delegated Regulation 2015/35 Reference to document(s) 46 Confirm that data are available for at least five consecutive accident years and that data are available for at least five consecutive development years for the first accident year. 47 Demonstrate that the first accident year includes the cumulative paid loss amount for the first accident year for which data are available, all payments for that accident year, except for an immaterial amount. 48 State how the data are consistent with the assumptions regarding the stochastic properties of cumulative loss amounts as described in Annex XVII of Delegated Regulation 2015/35.

Table 9: Data for non-proportional reinsurance method – Annex XVII of Delegated Regulation 2015/35
Data for the non-proportional reinsurance method Reference to document(s) 49 State for each segment to which non-proportional reinsurance has been applied how it meets the conditions in accordance with Article 218 of Delegated Regulation 2015/35. 50 Explain the changes expected in the coming 12 months in the composition of products and the reinsurance contract compared to the data applied in the calculations. 51 Compare the differences between the standard deviations for the premium risk emerging from the loss data with the standard deviations used to calculate the capital requirement for the premium risk and describe the differences. 52 Substantiate that the final loss costs were estimated in the year the loss was reported, i.e. the initial estimate of the loss costs. 53 Provide an overview of the reporting years to which the data relate. 54 Confirm whether the final loss amounts also consist of the costs arising from the settlement of the (re)insurance obligations. 55 Substantiate that the final loss amounts have a log-normal distribution. Show with the help of a graph how the observed data relate to the fitted log-normal distribution. 56 Explain how the data for the coming 12 months before and after the non-proportional reinsurance meet the conditions of Guidelines 1 to 4 mentioned in “Guidelines on undertaking-specific parameters” with reference “EIOPA-BoS-14/178 NL”.

Table 10: Data for revision risk Life and Health - Annex XVII of Delegated Regulation 2015/35
Data for revision risk for the life insurance business and the health insurance business Reference to document(s) 57 Demonstrate that the data for the revision risk to which your insurers are exposed in the coming 12 months are representative. 58 State on which calendar years the data relate. 59 Confirm that the annuity payments are gross, without deduction of amounts covered by reinsurance structures and SPVs. 60 Confirm that the incurred costs for fulfilling the insurance obligations are included in the annuity payments. 61 Demonstrate with a graph and relevant statistics that the annual number of annuities increases according to a negative binomial distribution, also in the tail of the distribution. 62 Demonstrate with a graph and relevant statistics that the size of an annuity increases according to a log-normal distribution, also in the tail of the distribution. 63 Substantiate that an increase in the annual number of annuities and the increase in the size of the annuities are stochastically independent of each other. 64 Substantiate that sufficient data are available to measure the volatility and uncertainty in the development of the biometric factors. 65 Substantiate that sufficient data are available to measure the impact of the legal environment on potential adjustments of annuities.

Table 11: Group-specific parameters
Group-specific parameters Reference to document(s) 66 Show a comparison between the application of reinsurance contracts and SPVs at group level and solo level. 67 Explain whether the nature of the insurance technical risks and the risk profile at group level are comparable to the insurance technical risks and risk profile at solo level. 68 Substantiate with statistical data that the data at group level and solo level show sufficient similarities.