2
Undertaking specific parameters
2.1
Under Article 104(7) of the Solvency II Directive, firms may, with the prior approval of the PRA, replace a subset of parameters with undertaking specific parameters when calculating the life, non-life and health underwriting risk modules. A firm may apply for this approval by applying to the PRA for a waiver.
- 01/01/2016
2.2
Firms should be aware that undertaking specific parameters must be calibrated on the basis of the firm’s internal data or on the basis of data which is directly relevant for the operations of the firm using standardised methods (see Article 104(7) of the Solvency II Directive).
- 01/01/2016
2.3
The PRA may also require a firm, using its powers under section 55M of the Financial Services and Markets Act 2000 (FSMA), to replace a subset of the parameters used in the standard formula by undertaking specific parameters when calculating the life, non-life and health underwriting risk modules, where it is inappropriate to calculate the SCR in accordance with the standard formula because the firm’s risk profile deviates significantly from the assumptions underlying the standard formula (see Article 110 of the Solvency II Directive).
- 01/01/2016