Correlation Matrices

PRA Rules

• Solvency Capital Requirement - General Provisions
• Solvency Capital Requirement - Standard Formula (Chapters 1,  2,  3, 3G, 7)
• Correlation Matrix For NSLT Health Premium And Reserve Risk (Solvency Capital Requirement – Standard Formula Chapter 3C6)
• Remaining correlation matrices: Solvency Capital Requirement – Standard Formula (Chapter 2A):
  • Correlation Matrix For Non-Life Premium And Reserve Risk (Annex IV)
  • Windstorm Risk Correlation Coefficients for Regions (Annex V)
  • Earthquake Risk Correlation Coefficients for Regions (Annex VI)
  • Flood Risk Correlation Coefficients for Regions (Annex VII)
  • Hail Risk Correlation Coefficients for Regions (Annex VIII)
  • Liability Risk Correlation Coefficients (Annex XI)
  • Correlation Coefficients For Windstorm Risk (Annex XXII)
  • Correlation Coefficients For Earthquake Risk (Annex XXIII)
  • Correlation Coefficients For Flood Risk (Annex XXIV) 
  • Correlation Coefficients For Hail Risk (Annex XXV)