Prudential Regulation Authority Rulebook

1.

A firm must calculate the capital requirement for mortality risk as equal to the loss in its basic own funds that would result from an instantaneous permanent increase of 15% in the mortality rates used for the calculation of technical provisions.

2.

A firm must only apply the increase in mortality rates referred to in 3B1.1 to those insurance policies for which an increase in mortality rates leads to an increase in technical provisions without the risk margin and in identifying such policies, the firm may make the following assumptions: 

1. (1) multiple insurance policies in respect of the same insured person may be treated as if they were one insurance policy; and
2. (2) where the calculation of technical provisions is based on groups of policies as referred to in Technical Provisions – Further Requirements 20, the identification of the policies for which technical provisions increase under an increase in mortality rates may also be based on those groups of policies instead of single policies, provided that it yields a result that is not materially different.

3.

With regard to reinsurance obligations, the identification of the policies for which technical provisions increase under an increase in mortality rates must only apply to the underlying insurance policies and must be carried out in accordance with 3B1.2.