INSURANCE REGULATION · T447 cat-30

Solvency II SCR Calculator

Calculate the indicative Solvency Capital Requirement (SCR) for a non-life insurer using the Solvency II Standard Formula (Delegated Regulation EU 2015/35). Covers underwriting, market, and counterparty default risk modules with aggregation using prescribed correlation matrices.

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💻Client-side
📋EU 2015/35 Standard Formula
Solvency II SCR Standard Formula BSCR Market Risk Counterparty Default EU 2015/35 EIOPA
🔒 All inputs are processed locally in your browser. No data is transmitted. Do not enter real entity data: use synthetic or anonymised figures only.
A: Non-Life Underwriting Risk
Premium & Reserve Risk Inputs (Delegated Reg. Annex II)
Earned premium net of reinsurance, annualised
Best estimate technical provisions
B: Market Risk Module
Equity Risk
Listed equities, EEA/OECD developed markets; 39% stress
Other equities, private equity, alternatives; 49% stress
Interest Rate Risk
Market value of interest rate sensitive assets
Portfolio weighted average modified duration
Property & Currency Risk
Direct property investments; 25% stress
Net open FX position (non-EUR); 25% stress
C: Counterparty Default Risk (Type 1)
Amounts recoverable from reinsurers (Best Estimate basis)
Leave 0 to skip coverage ratio. Enter eligible own funds (Tier 1 + 2) to calculate SCR coverage ratio.
D: SCR by Risk Module
E: Key Risk Metrics
F: BSCR Aggregation (Correlation Matrix)

BSCR = √(∑ ρ(i,j) × SCRi × SCRj) using Delegated Reg. EU 2015/35 Annex IV module-level correlations.

Diversification benefit: : capital saved vs. simple sum of module SCRs due to imperfect risk correlation.
G: Caveats & Standard Formula Limitations
About This Tool
Disclaimer Indicative Standard Formula calculation only. Excludes operational risk SCR, loss-absorbing capacity of technical provisions (LACTP) and deferred taxes (LACDT), life and health underwriting modules, and transitional measures. Not a substitute for actuarial sign-off or regulatory submission. Always verify with your Internal Model team or appointed actuary.
Solvency II Directive 2009/138/EC Foundational EU insurance prudential framework: pillar 1 (quantitative), pillar 2 (governance/ORSA), pillar 3 (reporting/disclosure). Solvency II Directive
Commission Delegated Regulation (EU) 2015/35 Standard Formula SCR calculation methodology: Annexes II, IV, VII define the risk factors, stress parameters, and correlation matrices used in this tool. CDR (EU) 2015/35
EIOPA Technical Specifications for Standard Formula Detailed calculation guidance for each SCR sub-module including symmetric equity adjustment methodology. EIOPA TS Standard Formula
EIOPA SCR Standard Formula Guidelines (2015) Supervisory expectations for applying the standard formula, model change policy, and use test requirements. EIOPA GL SCR SF (2015)
PRA Supervisory Statement SS9/15 UK Solvency II Standard Formula guidance post-Brexit, including PRA expectations on the use of undertaking-specific parameters (USPs) and derogations. PRA SS9/15
Standard Formula Parameters
EQUITY STRESS FACTORS
Type 1 (listed, EEA/OECD)39%
Type 2 (other / alternatives)49%
PROPERTY & CURRENCY
Property stress25%
FX stress25%
BSCR MODULE CORRELATIONS
NL / Market0.25
NL / Counterparty0.25
Market / Counterparty0.25
NL PREMIUM/RESERVE ρ
Premium / Reserve correlation0.50