Prudential Regulation Authority Rulebook

1.

A firm must calculate the capital requirement for the mass accident risk sub-module in accordance with the following formula:

$${SCR}_{ma}=\sqrt{\sum _s{SCR}_{(ma,s)}^2}$$

where:

1. (1) the sum includes all countries set out in Annex XVI; and
2. (2) SCR_{(ma, s)} denotes the capital requirement for mass accident risk of country s.

2.

For all countries set out in Annex XVI, a firm must calculate the capital requirement for mass accident risk of a particular country s as equal to the loss in its basic own funds that would result from an instantaneous loss of an amount that, without deduction of the amounts recoverable from reinsurance contracts and special purpose vehicles, is calculated in accordance with the following formula:

$$L_{(ma,s)}=r_s\cdot {\sum }_e{x}_e\cdot E_{(e,s)}$$

where:

1. (1) r_s denotes the ratio of persons affected by the mass accident in country s as set out in Annex XVI;
2. (2) the sum includes the event types e set out in Annex XVI;
3. (3) 𝑥_e denotes the ratio of persons who will receive benefits attributable to event type e as a result of the accident as set out in Annex XVI; and
4. (4) E_{(e, s)} denotes the total value of benefits payable by the firm in respect of event type e in country s.

3.

For all event types set out in Annex XVI and all countries set out in Annex XVI, a firm must calculate its sum insured for a particular event type e in a particular country s in accordance with the following formula:

$$E_{(e,s)}={\sum }_i{SI}_{(e,i)}$$

where:

1. (1) the sum includes all insured persons i of the firm who are insured against event type e and are inhabitants of country s; and
2. (2) SI_{(e, i)} denotes the value of the benefits payable by the firm for the insured person i in case of event type e.

4.

For the purposes of 3C18.3(2), a firm must calculate the value of the benefits as the sum insured or where the contract of insurance provides for recurring benefit payments the best estimate of the benefit payments in case of event type e. Where the benefits of a contract of insurance depend on the nature or extent of any injury resulting from event type e, the calculation of the value of the benefits must be based on the maximum benefits payable under the contract of insurance that are consistent with the event. For medical expense insurance obligations and medical expense reinsurance obligations the value of the benefits must be based on an estimate of the average amounts paid in case of event type e, assuming the insured person is disabled for the duration specified and taking into account the specific guarantees included within the obligations.

5.

Subject to 7.2, a firm may calculate the value of benefits payable for the insured person referred to in 3C18.3(2) based on homogenous risk groups, provided that the grouping of policies complies with Technical Provisions – Further Requirements 20.