SCR Calculator User Manual

Version 1.13.2.0 Last modified 2024-3-21

S&P Insurance Capital - Implementation Technicals


Rating Agency Capital

Unlike other regulatory capital frameworks, the S&P Insurance Capital framework is a rating agency capital framework. It places emphasis more on the financial strength of the insurer than on policyholder protection - although the two are reflecting each other to a certain extent. Also, the quantitative aspects that are incorporated into the SCR Calculator is only a small proportion of the total set of assessment rules in place.

In-force vs Proposed

The in-force version of the rules is incorporated. There is a proposed newer version that will be incorporated into the SCR Calculator once finalised.

Simplification in Interest Rate risk calculation

The S&P Insurance Capital framework rewards companies with good asset-liability-management with relief in interest rate risk capital. This relates to liabilities and ALM policy and is not incorporated in the SCR Calculator.

Single Asset Risk Capital

Single Asset Risk capital calculation is well-explained using the "Explain this Calculation" button.

Portfolio-level Market Risk Aggregation

The 3 market risks - 1) equity, 2) property, 3) bond risks - are aggregated assuming 0.75 correlation among them.