Prudential Regulation Authority Rulebook

2.1

Under Article 104(7) of the Solvency II Directive, firms may, with the prior approval of the PRA, replace a subset of parameters with undertaking specific parameters when calculating the life, non-life and health underwriting risk modules. A firm may apply for this approval by applying to the PRA for a waiver.

2.2

Firms should be aware that undertaking specific parameters must be calibrated on the basis of the firm’s internal data or on the basis of data which is directly relevant for the operations of the firm using standardised methods (see Article 104(7) of the Solvency II Directive).