Company: AEGOF
Filing Date: 2025-05-16
Form Type: 6-K
Source: 0001193125-25-121236
Chunk: 77

Company: AEGON LTD.
Filing Date: 2025-05-16
Form: 6-K
Chunk 77
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 calculate the SCR Aegon applies a combination of the Group consolidation methods available under Solvency II, being the Accounting Consolidation and Deduction & Aggregation methods. Solvency II capital requirements are mainly used for the EEA and UK-basedinsurance and reinsurance entities, applying the Accounting Consolidation method. Local requirements are used for insurance and reinsurance entities in (provisionally) equivalent third-country jurisdictions (mainly US life insurance companies). E.3.4 A description of aggregation methodologies and diversification effects Under Solvency PICM, Aegon calculates the diversification benefit across country units and risk types. Within the standard formula components, diversification is determined following the prescribed Standard Formula correlation matrices. Within the internal model, a marginal probability distribution function is fitted for every risk factor by making use of historical data and expert judgement. The overall joint probability distribution function of all the risk factors combined takes into account the dependency structure between the risks. The loss from 2 million scenarios simulating the samples from this joint distribution are used to fit an overall empirical loss distribution function, from which Aegon derives the 1-in-200year loss by taking the 99.5% point. The scenarios are generated using a scenario generator and a dependency structure, defining the dependency (correlation) between risk drivers based on market data and expert judgment. Each scenario contains values for risk drivers such as interest rates, equity returns and mortality levels.

| 59 |     | | Aegon Financial Condition Report 2024 |

| Capital management  Approved internal capital model used to derive the SCR |

The total net SCR (after diversification) is determined by the average 1-in-200year loss in Own Funds. Diversification benefit is defined as the difference between the sum of the standalone SCRs of the risk types and the total net SCR. Diversification between the internal model and the standard formula components of the Solvency PICM are calculated using Integration Technique 3 (IT3). E.3.5 A description of the main differences in the methods and assumptions used for the risk areas in the internal model versus the Group SCR model The main differences between the methodologies and assumptions of the Solvency PICM and the Standard Formula are described by risk type below. Market risk On credit risk, the fixed income risk for bonds differs because Solvency PICM shocks are calibrated on the basis of the fixed income portfolio. In contrast to the standard formula, government bonds are shocked with a factor larger than