where SCR_i denotes the risk module i and SCR_j denotes the risk module j, and where "i,j" means that the sum of the different terms should cover all possible combinations of i and j. In the calculation, SCR_i and SCR_j are replaced by the following:

- SCR_non-life denotes the non-life underwriting risk module;

- SCR_life denotes the life underwriting risk module;

- SCR_health denotes the health underwriting risk module;

- SCR_market denotes the market risk module;

- SCR_default denotes the counterparty default risk module.

The factor Corr _i,j denotes the item set out in row i and in column j of the following correlation matrix: 

2. Calculation of the non-life underwriting risk module

The non-life underwriting risk module set out in Article 105(2) shall be equal to the following:

where SCRi denotes the sub-module i and SCRj denotes the sub-module j, and where "i,j" means that the sum of the different terms should cover all possible combinations of i and j. In the calculation, SCRi and SCRj are replaced by the following:

- SCR_{nl premium and reserve} denotes the non-life premium and reserve risk sub-module;

- SCR_{nl catastrophe} denotes the non-life catastrophe risk sub-module.

3. Calculation of the life underwriting risk module

The life underwriting risk module set out in Article 105(3) shall be equal to the following:

 

where SCRi denotes the sub-module i and SCRj denotes the sub-module j, and where "i,j" means that the sum of the different terms should cover all possible combinations of i and j. In the calculation, SCRi and SCRj are replaced by the following:

- SCR_mortality denotes the mortality risk sub-module;

- SCR_longevity denotes the longevity risk sub-module;

- SCR_disability denotes the disability - morbidity risk sub-module;

- SCR_{life expense} denotes the life expense risk sub-module;

- SCR_revision denotes the revision risk sub-module;

- SCR_{lapse denotes} the lapse risk sub-module;

- SCR_{life catastrophe} denotes the life catastrophe risk sub-module.

4. ---
5. Calculation of the market risk module

Structure of the market risk module

The market risk module, set out in Article 105(5) shall be equal to the following:

 

where SCRi denotes the sub-module i and SCRj denotes the sub-module j, and where "i,j" means that the sum of the different terms should cover all possible combinations of i and j. In the calculation, SCRi and SCRj are replaced by the following:

- SCR_{interest rate} denotes the interest rate risk sub-module;

- SCR_equity denotes the equity risk sub-module;

- SCR_property denotes the property risk sub-module;

- SCR_spread denotes the spread risk sub-module;

- SCR_{concentration} denotes the market risk concentrations sub-module;

- SCR_currency denotes the currency risk sub-module.

ANNEX V

GROUPS OF NON-LIFE INSURANCE CLASSES FOR THE PURPOSES OF ARTICLE 157

1. Accident and sickness (classes 1 and 2 of Annex I),

2. motor (classes 3, 7 and 10 of Annex I, the figures for class 10, excluding carriers' liability, being given separately),

3. fire and other damage to property (classes 8 and 9 of Annex I),

4. aviation, marine and transport (classes 4, 5, 6, 7, 11 and 12 of Annex I),

5. general liability (class 13 of Annex I),

6. credit and surety ship (classes 14 and 15 of Annex I),

7. other classes (classes 16, 17 and 18 of Annex I).