Prudential Regulation Authority Rulebook

1.

A firm must calculate the capital requirement for health longevity risk as equal to the loss in its basic own funds that would result from an instantaneous permanent decrease of 20% in the mortality rates used for the calculation of technical provisions.

2.

A firm must only apply the decrease in mortality rates referred to in 3C10.1 to those insurance policies for which a decrease 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 a decrease 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 a decrease in mortality rates must only apply to the underlying insurance policies and must be carried out in accordance with 3C10.2.