Catastrophe Risk Tolerance Study

Transcription

1 Study s by Sector As of Year End 2016 Prepared by Aon Benfield Analytics

2 Contents Section 1 Section 2 Section 3 Section 4 Overview and Key Findings Analysis of Disclosure Data Risk Tolerance Metrics Disclosure Risk Tolerance Summary 1

3 Section 1: Overview and Key Findings 2

4 Study Overview Composition: 101 Different Reinsurers/Insurers Global Reinsurers/Insurers Percentage reporting peaked in years 2011 and 2012, since then it has been in a declining trend due to M&A activity from companies that previously had disclosures available 100% 95% 90% 85% 80% 75% 70% Percent Reporting * 89% 90% 90% 88% 85% 84% 82% 82% % of the industry disclosed some type of information relating to catastrophe risk tolerance, same as year-end The percentage of "primary" source disclosures increased to 69%: Data Sources Primary % 69% 10K Reports % 38% Annual Reports % 29% Investor / Analyst Presentations 4 3 4% 3% Secondary % 13% A.M. Best Reports % 13% S&P Reports 0 0 0% 0% Not Disclosed % 18% Totals % 100% Note: The following company was part of the 2015 study but is not included in the 2016 study due to a merger or acquisition MS Amlin Plc. * Based off of the 2016 population to have a common denominator base. The population excludes sectors such as Medical Professional Liability, Life & Health, Financial / Mortgage Guaranty and Title companies 3

5 Key Findings of Catastrophe Risk Tolerance Study Approximately 82% of companies disclose risk tolerance or related information, of which more than half use PML figures: Disclosure Type Percentage Disclosed as Target Disclosed as Actual Undetermined/ Not Disclosed Count PML Figure (Net) 44% As Part of Discussion 31% Other Disclosure Type 8% Undetermined / Not Disclosed 18% Totals 100% Disclosures varied by sector with Commercial Lines and companies using net PML most often, while reinsurance structure was the most common form of disclosure for Personal Lines carriers Aon Benfield s post-katrina risk tolerance study indicates that a catastrophe event can range from 3 6% of equity for primary companies and 12-19% of equity for reinsurers before impacting stock price by more than 10% The average 100yr PML risk tolerance disclosure for primary and reinsurance companies is in-line with Aon Benfield s post-katrina study Majority of companies with Strong and Adequate S&P ERM ratings disclose net PML as their risk tolerance measures; whereas companies with no S&P ERM rating are more inclined towards a structure disclosure 4

6 Event-Level Risk Tolerance: Post Katrina Typical CRO/CFO Risk Tolerance Questions What proportion of one years earnings can be lost in a single event without an adverse stock price reaction? What proportion of GAAP equity? Post-event share price decline best predicted by reported Katrina losses alone, rather than Katrina, Rita and Wilma losses combined Indicates a greater sensitivity to a single large loss than an aggregation of events Reinsurers/Insurers losing less than 10% of shareholder value had Katrina losses in the following ranges, which are consistent with recent PML public disclosures: Katrina Study Loss % Ranges* YE 1:100 PML Disclosure Mean As a % of Equity* Sector As % of Equity As % of Prospective Consensus Earnings Primary Insurers 3% to 6% 21% to 34% 4% 4% 4% Reinsurers 12% to 19% 107% to 110% 13% 10% 10% * Shown on a net post-tax basis The average 100-year PML risk tolerance disclosure for primary and reinsurance companies is inline with Aon Benfield s post-katrina study 5

7 Disclosure Trend Analysis Sample Composite PML Target Ranges Post Tax Detail Post Tax Net PML as a Percent of Equity: Insurers 1 in 100 Yr 1 in 250 Yr Count Median Max Count Median Max % 23% 17 9% 26% % 29% 16 10% 21% % 17% 15 8% 26% Post Tax Net PML as a Percent of Equity: Reinsurers 1 in 100 Yr 1 in 250 Yr Count Median Max Count Median Max % 18% 7 13% 25% % 18% 7 11% 25% % 18% 7 16% 25% Note: The composite for 2016 consists of approximately 32 companies across all sectors where definitive PML targets or actuals were disclosed. There were 30 companies in the 2015 composite, and 30 companies in the 2014 composite. Where companies reported an actual instead of a target we assumed the actual was their target. Due to a limited dataset, results should be used for informational purposes only. An assumed effective 35% tax rate for insurers and 15% tax rate for reinsurers was used by Aon Benfield as needed for level setting since some firms disclosed pre-tax and others post-tax. 6

8 Companies disclosing 100-yr and 250-yr net PML PML disclosures varied by sector with Specialty Lines, Commercial lines and companies disclosing more net PML numbers whereas Personal lines is disclosing mostly 100-yr net PML numbers only 18% 16% 14% 12% 10% 8% 6% 4% 2% 0% Commercial 16% 10% 10% 10% 8% 8% 7% 6% 4% 3% 3% 3% 2% 2% 2% 1% AIG CB CINF FFH HIG SIGI TLX TRV XL 1:100 Post-Tax PML/SHE 1:200 Post-Tax PML/SHE 1:250 Post-Tax PML/SHE 30% 25% 20% 15% 10% 5% 0% Personal 26% 23% 21% 11% 6% 5% 5% 3% 1% 1% AV/ LN ALL DL NA FNHC HCI HRTG MCY SAFT UIHC UVE 1:100 Post-Tax PML/SHE 1:200 Post-Tax PML/SHE 1:250 Post-Tax PML/SHE 20% 18% 16% 14% 12% 10% 8% 6% 5% 7% Specialty 18% 16% 9% 9% 7% 7% 5% 7% 12% 8% 6% 30% 25% 20% 15% 10% 18% 25% 7% 21% 10% 16% 13% 12% 10% 7% 10% 12% 16% 22% 4% 2% 0% 2.1% Y AWH ACGL BEZ LN ENH HSX LN LRE LN OB RLI 1:100 Post-Tax PML/SHE 1:200 Post-Tax PML/SHE 1:250 Post-Tax PML/SHE 5% 0% 3% 0% AHL AXS RE HNRI:GR MHLD MUV2:GY SCR.PA SREN VR WTM 1:100 Post-Tax PML/SHE 1:200 Post-Tax PML/SHE 1:250 Post-Tax PML/SHE 7

9 Section 2: Analysis of Disclosure Data 8

10 Disclosure Distribution by Sector Disclosures varied by sector with Commercial Lines and companies using net PML most often, while reinsurance structure was the most common form of disclosure for Personal Lines carriers Commercial Lines Sector 10% Personal Lines Sector 10% 25% 45% 41% 48% 20% Specialty Lines Sector Sector 13% 31% 33% 13% 3% 6% 69% 33% 9

11 Risk Metrics Disclosures Actual vs. Target PML Aggregate vs. Occurrence # Companies Commercial Personal Specialty # Companies Commercial Personal Specialty Actual Target Aggregate Occurrence # Companies Note: Includes companies reporting reinsurance structure All Peril vs. Regional PML Commercial, Personal lines carriers are more inclined towards Actual PML, companies are inclined towards Target PML disclosure and Specialty lines are evenly 7 distributed Personal lines, Specialty lines companies predominantly report on an Occurrence basis, while Commercial line and companies are more evenly spread All Perils Regional All Perils All Regions Actual Specific Peril Specific Peril Regional All Regions Target 2 5 Actual PMLs are more concentrated towards Specific Peril Regional disclosures while Target PMLs are featured in more All Peril All Regions disclosures 10

12 S&P ERM Evaluations and Catastrophe Risk Tolerance Disclosures Distribution of S&P ERM Evaluations (101 companies) Catastrophe Risk Tolerance Disclosures by S&P ERM Evaluation 10% 34% Very Strong 20% Strong Adequate (SRC)** Adequate Weak No ERM Rating 1% 16% 20% Majority of companies with Strong and Adequate S&P ERM ratings disclose net PML as their risk tolerance measures; whereas companies with no S&P ERM rating are more inclined towards a structure disclosure Notes: S&P ERM Evaluations are as of 5/20/2017 ** SRC = Strong Risk Controls 11

13 Section 3: Risk Tolerance Disclosures 12

14 P&C Commercial Lines Sector Company 100 Yr 200 Yr 250 Yr Other RPs (List) Risk Quantification Metric Pre- or Post-Tax Actual/ Target Aggregate/ Occurrence S&P ERM Rating Allianz Group Other Very strong American International Group, Inc. Net PML Post-Tax Actual Occurrence Adequate Chubb Limited Net PML Pre-Tax Actual Strong Cincinnati Financial Corporation CNA Financial Corporation Direct Line Insurance Group Plc 50-yr, 500-yr Not specified Net PML Actual Aggregate Adequate Net PML Target Aggregate Adequate (SRC) Actual Occurrence No ERM Rating Fairfax Financial Holdings Limited Net PML Pre-Tax Target Aggregate Adequate FM Global Metric Disclosures Actual No ERM Rating Hartford Financial Services Group, Inc. Net PML Pre-Tax Target Aggregate Strong 13

15 P&C Commercial Lines Sector Company 100 Yr 200 Yr 250 Yr Other RPs (List) Risk Quantification Metric Pre- or Post-Tax Actual/ Target Aggregate/ Occurrence S&P ERM Rating Liberty Mutual Holding Company Inc. None Strong MS&AD Insurance Group Holdings, Inc. Other Actual Adequate (SRC) Old Republic International Corporation None Adequate QBE Insurance Group Limited Selective Insurance Group, Inc. 25-yr, 50-yr, 150-yr, 500-yr Actual Aggregate Strong Net PML Post-Tax Actual Occurrence Adequate (SRC) Sompo Japan Nipponkoa Holdings, Inc. Other Actual Adequate (SRC) Talanx AG Net PML Actual Occurrence Strong Tokio Marine Holdings, Inc. Other Actual Strong Travelers Companies, Inc. 50-yr, 1000-yr Net PML Post-Tax Actual Occurrence Very Strong XL Group Plc Other Pre-Tax Actual Occurrence Strong Zurich Insurance Group Ltd. Metric Disclosures Actual Aggregate Very Strong 14

16 P&C Personal Lines Sector Company 100 Yr 200 Yr 250 Yr Other RPs (List) Risk Quantification Metric Pre- or Post-Tax Actual/ Target Aggregate/ Occurrence S&P ERM Rating The Allstate Corporation Net PML Pre-Tax Target Aggregate Strong Assicurazioni Generali SpA Metric Disclosures Adequate (SRC) Aviva Plc Net PML Target Both Strong AXA SA None Adequate (SRC) Delta Lloyd NV Net PML Actual Occurrence Adequate (SRC) Donegal Group Inc. Echelon Financial Holdings Inc. Actual Aggregate No ERM Rating Actual Occurrence No ERM Rating Erie Indemnity Company None No ERM Rating Federated National Holding Company Net PML Target Aggregate No ERM Rating Hanover Insurance Group, Inc. HCI Group Inc. 260-yr, 253-yr, 165-yr, 50-yr Actual Occurrence Adequate (SRC) Net PML Actual Occurrence No ERM Rating 15

17 P&C Personal Lines Sector Company 100 Yr 200 Yr 250 Yr Other RPs (List) Risk Quantification Metric Pre- or Post-Tax Actual/ Target Aggregate/ Occurrence S&P ERM Rating Heritage Insurance Holdings, Inc. Net PML Post-Tax Actual Occurrence No ERM Rating Hilltop Holdings Inc. Horace Mann Educators Corporation Infinity Property and Casualty Corporation Insurance Australia Group Limited Intact Financial Corporation Kemper Corporation Kingstone Insurance Company Metric Disclosures Actual No ERM Rating Actual Occurrence Adequate Actual Adequate Target Occurrence Strong Actual Aggregate No ERM Rating Actual Aggregate Adequate Target Occurrence No ERM Rating MAPFRE SA None Adequate (SRC) 16

18 P&C Personal Lines Sector Company 100 Yr 200 Yr 250 Yr Other RPs (List) Risk Quantification Metric Pre- or Post-Tax Actual/ Target Aggregate/ Occurrence S&P ERM Rating Mercury General Corporation Net PML Post-Tax Actual Occurrence Adequate National General Holdings Corporation Actual No ERM Rating Progressive Corporation Net PML Post-Tax Actual Aggregate Strong Royal & Sun Alliance Insurance Plc Target Very Strong Safety Insurance Group, Inc. Net PML Post-Tax Actual Aggregate No ERM Rating State Auto Financial Corporation Metric Disclosures Actual Occurrence Adequate United Insurance Holdings Corp. 50-yr Net PML Actual Occurrence No ERM Rating Universal Insurance Holdings, Inc. Net PML Post-Tax Target Occurrence No ERM Rating Vienna Insurance Group AG Net PML Target Occurrence Adequate (SRC) 17

19 P&C Specialty Lines Sector Company 100 Yr 200 Yr 250 Yr Other RPs (List) Risk Quantification Metric Pre- or Post-Tax Actual/ Target Aggregate/ Occurrence S&P ERM Rating Alleghany Corporation Net PML Post-Tax Actual Occurrence Adequate Allied World Assurance Company Holdings, AG Net PML Pre-Tax Target Occurrence Strong American Financial Group, Inc. 500-yr Net PML Actual Occurrence Adequate (SRC) Amerisafe, Inc. None No ERM Rating Amtrust Financial Services, Inc. Actual Occurrence No ERM Rating ARCH Capital Group, Ltd. Net PML Pre-Tax Target Occurrence Strong Argo Group International Holdings, Ltd. None Adequate Assurant, Inc. Actual Occurrence Adequate Aviabel S.A. None Adequate Baldwin & Lyons, Inc. None No ERM Rating Beazley Plc Net PML Pre-Tax Target Occurrence Strong CV Starr None No ERM Rating EMC Insurance Group Inc. Employers Holdings, Inc. Metric Disclosures Actual Actual No ERM Rating Occurrence No ERM Rating 18

20 P&C Specialty Lines Sector Metric Disclosures Company 100 Yr 200 Yr 250 Yr Other RPs (List) Risk Quantification Metric Pre- or Post-Tax Actual/ Target Aggregate/ Occurrence S&P ERM Rating Endurance Specialty Holdings Ltd. 10-yr, 25 yr, 50-yr Net PML Target Aggregate Strong First Acceptance Corporation Fuji Fire and Marine Insurance Company, Limited Global Indemnity Plc None Actual Actual No ERM Rating No ERM Rating Occurrence No ERM Rating Hallmark Financial Services, Inc. None No ERM Rating Hiscox Limited 80-yr, 110-yr, 240-yr Net PML Pre-Tax Target Occurrence Strong James River Group Holdings, Ltd yr Net PML Pre-Tax Target No ERM Rating Kingsway Financial Services Inc. None Weak Lancashire Holdings Limited Net PML Pre-Tax Actual Occurrence Strong Markel Corporation None Adequate (SRC) 19

21 P&C Specialty Lines Sector National Interstate Corporation Navigators Group, Inc. Company 100 Yr 200 Yr 250 Yr Other RPs (List) Not specified Risk Quantification Metric Pre- or Post-Tax Actual/ Target Actual Aggregate/ Occurrence S&P ERM Rating No ERM Rating Net PML Pre-Tax Actual Occurrence Adequate Novae Group Plc Other Actual Occurrence No ERM Rating OneBeacon Insurance Group, Ltd. Net PML Actual Occurrence Adequate RLI Corp. Net PML Actual Both Adequate (SRC) Sampo Plc Actual Occurrence Adequate (SRC) State National Companies Inc. None No ERM Rating Suncorp Group Limited Topdanmark A/S Both Actual Occurrence Adequate (SRC) Actual Occurrence No ERM Rating Unico American Corporation None No ERM Rating United Fire Group, Inc. W. R. Berkley Corporation Metric Disclosures Actual Actual No ERM Rating Adequate (SRC) 20

22 P&C Sector Company 100 Yr 200 Yr 250 Yr Asia Capital Group Pte. Ltd. Other RPs (List) 1 in 1000 yr Risk Quantification Metric Pre- or Post-Tax Actual/ Target Aggregate/ Occurrence S&P ERM Rating Net PML Target Occurrence Adequate Aspen Insurance Holdings Limited Net PML Post-Tax Actual Both Very Strong AXIS Capital Holdings Limited 50-yr Net PML Target Both Strong Berkshire Hathaway Inc. Other Target Aggregate Adequate China (Group) Corporation Everest Re Group, Ltd. 20-yr, 50- yr, 500- yr, yr Metric Disclosures Adequate Net PML Pre-Tax Target Occurrence Strong Greenlight Capital Re, Ltd. Other Actual Aggregate No ERM Rating Hannover Rück SE Net PML Pre-Tax Target Aggregate Very Strong Maiden Holdings, Ltd. Net PML Target Both Adequate 21

23 P&C Sector Münchener Rückversicherungs- Gesellschaft AG Company 100 Yr 200 Yr 250 Yr Other RPs (List) Risk Quantification Metric Pre- or Post-Tax Actual/ Target Aggregate/ Occurrence S&P ERM Rating Net PML Actual Occurrence Very Strong RenaissanceRe Holdings Ltd. None Very Strong SCOR SE Net PML Pre-Tax Target Occurrence Very Strong Swiss Re Limited Net PML Pre-Tax Actual Occurrence Very Strong Third Point Ltd. None No ERM Rating Validus Holdings, Ltd. 20-yr, 50- yr Metric Disclosures Net PML Target Both Strong White Mountains Insurance Group, Ltd. Net PML Pre-Tax Actual Aggregate Adequate 22

24 Section 4: Risk Tolerance Summary 23

25 P&C Commercial Lines Sector Disclosed Risk Tolerance Company Actual/ Target 1:100 1:200 1:250 Summary Source Date Allianz Group N/A The top five perils contributing to the natural catastrophe risk as of 31 December 2016 were: a windstorm in Europe, a flood in Germany, a hurricane in the U.S., a hailstorm in Germany, and an earthquake in Australia. Allianz Group 2016 Annual Report, Risk Management Section, Page 73 American International Group, Inc. Actual 1.7% - 2.9% Chubb Limited Actual 6.4% % Cincinnati Financial Corporation Actual 1.1% - 3.3% CNA Financial Corporation Target For 100-year return period scenario, Occurrence Exceedance Probability (OEP) losses are $1.276B (net of 2017 reinsurance, after tax) (1.7% of total equity) for US Hurricane and $0.418B (0.5% of Total Equity) for Japanese Wind. For 250-year return period scenario, Occurrence Exceedance Probability (OEP) losses are $2.225B (net of 2017 reinsurance, after tax) (2.9% of total equity) for US Earthquake and $0.465B (0.6% of Total Equity) for Japanese Earthquake. Their modeled annual aggregate pre-tax probable maximum loss (PML), net of reinsurance, for 100-year return period for U.S. hurricane and California earthquake at December 31, 2016 is 6.4% and 3.1% of their total shareholders' equity, respectively. And for 250-year return period for U.S. hurricane and California earthquake at December 31, 2016, PML is 10.8% and 4.1% of their total shareholders' equity, respectively. We use the Risk Management Solutions (RMS) and Applied Insurance Research (AIR) models to evaluate exposures to a once-in-a-100-year and a once-in-a-250- year event to help determine appropriate reinsurance coverage programs. In conjunction with these activities, we also continue to evaluate information provided by our reinsurance broker. These various sources explore and analyze credible scientific evidence, including the impact of global climate change, which may affect our exposure under insurance policies. (Net PML for 1:100 Year, 1:250 Year and 1:500 based upon RMS is 1.1%, 3.3% and 6.4% of total equity and based upon AIR is 1.1%, 1.9% and 3.6% of total equity) CNA's net catastrophe leverage as depicted in a probable maximum loss (PML) analysis is less than 5% of surplus. American International Group K Filing, Natural Catastrophe Risk section, Page 157 Chubb limited K Filing, Catastrophe Management Section, Page 83 Cincinnati Financial Corp K Filing, Programs section, Page 101 CNA Insurance Companies AM Best Report #18313 (03/11/2016), Risk Management Section 3/11/2016 Direct Line Insurance Group Plc Actual Catastrophe reinsurance to protect against an accumulation of claims arising from a natural peril event. The retained deductible is at 150 million, and cover is purchased annually on 1 July, up to a modelled one-in-200 year loss event of 1,250 million (2015: 1,350 million). (Shareholders Equity as of is 2,521.5 million) Direct Line Insurance Group Plc 2016 Annual report, section, Page 43 Fairfax Financial Holdings Limited Target % Currently the company's objective is to limit its company-wide catastrophe loss exposure such that one year's aggregate pre-tax net catastrophe losses would not exceed one year's normalized net earnings before income taxes. The company takes a long term view and generally considers a 15% return on common shareholders' equity, adjusted to a pre-tax basis, to be representative of one year's normalized net earnings. The modeled probability of aggregate catastrophe losses in any one year exceeding this amount is generally more than once in every 250 years. Fairfax Financial 2016 Annual Report, Catastrophe Risk section, Page 90 Information in red is disclosed on a post-tax basis 24

26 P&C Commercial Lines Sector Company Actual/ Target 1:100 1:200 1:250 Summary Source Date FM Global Actual Hartford Financial Services Group, Inc. Target % Disclosed Risk Tolerance The group maintains excess-of-loss protection of $1,180 million excess of its $300 million per-risk retention and $1,150 million excess of its $550 million per-catastrophe retention. The estimated pre-tax loss for a 1 in 250 single event net of reinsurance is less than 15% of statutory surplus of the P&C operations. The estimated 250 year pre-tax probable maximum loss from earthquake events is estimated to be $930 before reinsurance and $533 net of reinsurance. The estimated 250 year pre-tax probable maximum losses from hurricane events are estimated to be $1.6 billion and $836, before and after reinsurance, respectively. (Stockholders Equity as of is $16,903 mn) FM Global Group AM Best Report #18502, Section, Page 22 Hartford K Filing, Natural catastrophe risk section, Page 87 Liberty Mutual Holding Company Inc. N/A No risk tolerance metrics indicated N/A N/A 1/18/2017 MS&AD Insurance Group Holdings, Inc. Actual As of 3/31/2017, MS has catastrophe reserves of JPY 536.7B and AD has catastrophe reserves of JPY 318.7B. MS has catastrophe risk of JPY 120B and AD has catastrophe risk of JPY 53.6B. As of 11/25/2016, MS&AD's risk amounted to JPY 2.61 Tn calculated as 99.5% VaR. MS&AD 2017 Supplement Report, page 21,25 MS&AD: FY2016 Second Information Meeting, page 32 3/31/ /25/2016 Old Republic International Corporation N/A No risk tolerance metrics indicated N/A N/A QBE Insurance Group Limited Actual The Group limits its exposure to an individual catastrophe or an accumulation of claims by reinsuring a portion of risks underwritten. This allows the Group to control exposure to insurance losses, reduce volatility of reported results and protect capital. QBE Insurance Group 2016 Annual Report, Risk Management Section, Page139 Selective Insurance Group, Inc. Actual 2.0% 3.0% 3.0% Our current catastrophe reinsurance program exhausts at a 1 in 265 year return period, or events with 0.38% probability, based on a multi-model view of hurricane risk. 2.0% of equity after tax for 1:100 year event (OEP: 1%); 3% of equity after tax for Selective Insurance Group 1:200 year event (OPE: 0.5%); 3% of equity after-tax for 1:250 year event (OEP: 0.4%) K Filing, page 59 The Property Catastrophe treaty structure provides coverage of $685 million in excess & 60 of $40 million and the annual aggregate limit net of our co-participation continues to be approximately $1.0 billion for

27 P&C Commercial Lines Sector Company Disclosed Risk Tolerance Actual/ Target 1:100 1:200 1:250 Summary Source Date Sompo Japan Nipponkoa Holdings, Inc. Actual As of 3/31/2017, SOMPO Holdings has catastrophe reserves of JPY 572.9B and major catastrophe risk of JPY B. As of, SOMPO Holdings's risk amounted to JPY 1.9 Tn calculated as 99.95% VaR. Summary of Consolidated Financial Results for the fiscal year ended March 31, 2017 page 11 3/31/2017 Talanx AG Actual % - The estimates for the 200-year net loss burdens for the Group are as follows: Atlantic HU - EUR 1,878M; US EQ - EUR 1,489M; EU WS - EUR 1,134M; JP EQ - EUR 854M; Asia Pacific EQ - EUR 886M; Central and South-American EQ - EUR 1,014M; EU EQ- EUR 1,034M.(Total Shareholders Equity as of 12/31/2015 is EUR 14,688M) Talanx Group 2016 Annual Report, Reserving Risk - Concentration risk Section, Page 103 Tokio Marine Holdings, Inc. Actual As of 3/31/2017, Tokio Marine & Nichido Fire has catastrophe reserve of JPY Bn, Nisshin Fire & Marine Insurance has major catastrophe reserve of JPY 61 Bn and Tokio Marine & Nichido Fire has catastrophe risk of JPY Bn, Nisshin Fire & Marine Insurance has major catastrophe risk of JPY 5.8 Bn As of 9/30/2016, Tokio Marine Group's risk amounted to JPY 2.6 Tn calculated as 99.95% VaR. Tokio Marine Information about major subsidiaries 2016, page 12,18 Tokio Marine Group FY2016 Business Plan Update, page 15 3/31/2017 9/30/2016 Travelers Companies, Inc. Actual 6.0% - 8.0% Net, after-tax single U.S. hurricane 1:100 is 6% and 1:250 is 8% while Net, after tax single U.S. and Canadian EQ 1:100 is 3% and 1:250 is 4% Travelers K Filing, Catastrophe Modeling Section, Page 108 XL Group Plc Actual 15.4% % Per event 1% TVaR underwriting limits for North Atlantic Windstorm are set at a level not to exceed approximately 25% of Adjusted Tangible Capital. Per event 1% TVaR underwriting limits for North American Earthquake are set at a level not to exceed approximately 20% of Adjusted Tangible Capital. PML per event net 1% exceedance probability exposure for North Atlantic Windstorm is 15.4%, North America Earthquake is 8.9%, Europe Windstorm is 6.7%, Japan Earthquake is 6.4% and Japan Windstorm is 4.8% of Tangible Shareholders' Equity. PML per event net 0.4% exceedance probability exposure for North Atlantic Windstorm is 24.6%, North America Earthquake is 16.7%, Europe Windstorm is 8.1%, Japan Earthquake is 8.6% and Japan Windstorm is 6% of Tangible Shareholders' Equity. XL K Filing, Risk Management Section, Page 16 & 68 Zurich Insurance Group Ltd. Actual All natural catastrophe losses in excess of the franchise deductible of USD 25 million. kicks with a cap at USD 1,250M. Zurich Financial Services 2016 Annual Report, Risk Review Section, Page 132 Information in red is disclosed on a post-tax basis 26

28 P&C Personal Lines Sector Company Disclosed Risk Tolerance Actual/ Target 1:100 1:200 1:250 Summary Source Date The Allstate Corporation Target 9.7% - - Assicurazioni Generali SpA N/A As of December 31, 2016, we have less than a 1% likelihood of exceeding average annual aggregate catastrophe losses by $2 billion, net of reinsurance, from hurricanes and earthquakes, based on modeled assumptions and applications currently available. The use of different assumptions and updates to industry models, and updates to our risk transfer program, could materially change the projected loss. Our growth Allstate Corp K strategies include areas previously restricted where we believe we can enhance Filing, page 35 diversification and earn an appropriate return for the risk and as a result our exposure may increase, but in aggregate remain lower than $2 billion as noted above. In addition, we have exposure to severe weather events which impact catastrophe losses. (Shareholders Equity as of is $20.57 bn) For assessing its catastrophe exposure and cover needs, Generali uses an internal Assicurazioni Generali model together with third-party independent models, such as RMS, EQECAT and AIR. S.P.A. AM Best Report The largest cat exposure refers to an earthquake in Italy; the other major cat A.M. Best # exposures refer to a European windstorm, a European flood, and a flood in Italy. 11/23/2016 Aviva Plc Target - 1.0% - The Group cedes much of its worldwide catastrophe risk to third-party reinsurers through excess of loss and aggregate excess of loss structures. The Group purchases a group-wide catastrophe reinsurance programme to protect against catastrophe losses exceeding a 1 in 200 year return period. The total Group potential retained loss Aviva PLC 2016 Annual from its most concentrated catastrophe exposure peril (Northern Europe Windstorm) is Report, Risk Management approximately 150 million on a per occurrence basis and 175 million on an annual Section, Page 247 aggregate basis. Any losses above these levels are covered by the group-wide catastrophe reinsurance programme to a level in excess of a 1 in 200 year return period. (Shareholders Equity as of is 17,003 million) AXA SA N/A No risk tolerance metrics indicated N/A N/A Delta Lloyd NV Actual - 1.2% - The main natural catastrophe threatening the Netherlands is storms causing severe wind damage. Delta Lloyd s cumulative risk (maximum possible loss) resulting from natural disasters (particularly storms) is identified using postal codes. Delta Lloyd purchased a reinsurance contract offering protection against an one-in-200 year storm based on the RMS catastrophe model for both Delta Lloyd Schadeverzekeringen and ABN AMBRO Schadeverzekeringen. The catastrophe reinsurance contract for 2016 provides a cover of million above the retention limit of 40.0 million, hence covering a storm loss up to million, compared with a cover of million above the retention limit of 40.0 million for For a second catastrophe the retention limit is lowered to 20.0 million by means of a special reinsurance contract. (Shareholders Equity as of is 3,402.5 million) Delta Lloyd 2016 Annual report, General Insurance section, Page 145 Donegal Group Inc. Actual Our insurance subsidiaries and Donegal Mutual have property catastrophe coverage through a series of layered treaties up to aggregate losses of $175.0 million for any single event. Donegal Insurance Group K Filing, - Unaffiliated Reinsurer Section, Page 85 27

29 P&C Personal Lines Sector Company Actual/ Target 1:100 1:200 1:250 Summary Source Date Echelon Financial Holdings Inc. Actual Disclosed Risk Tolerance During 2016, the Company followed the policy of underwriting and reinsuring contracts of insurance, which limits the net exposure of the Company to a maximum amount on any one loss to $2,000 (2015 $1,500). In addition, the Company obtained catastrophe reinsurance which limits the loss from a series of claims arising from a single occurrence to $2,000 (2015 $2,000), to a maximum coverage of $58,000 (2015 $35,000). EGI Financial Holdings Inc Annual report,underwriting Policy & Ceded section, Page 52 Erie Indemnity Company N/A No risk tolerance metrics indicated N/A N/A Federated National Holding Company Target 7.8% - - FNIC s catastrophe reinsurance program, which ran either from June 1 to May 31 or from July 1 to June 30, consists of the Florida Hurricane Catastrophe Fund ( FHCF ), excess of loss treaties placed with the private market and a 40% property quota-share program. The property quota-share reinsurance is a form of proportional reinsurance that provides coverage for the homeowners property lines for wind related catastrophes in Florida. The FHCF treaty affords coverage for losses sustained in Federated National Florida and represents only a portion of the reinsurance coverage in Florida. Holdings Company 2016 FNIC s single event pre-tax retention for a catastrophic event in Florida is $ K Filing, million. In addition, FNIC purchases separate underlying reinsurance layers in Agreement Section, Page Louisiana, Alabama, and South Carolina to cover losses and LAE outside of Florida for 6&7 & Risk Factors each catastrophic event from $8.0 million to $18.45 million. Depending on the Section, Page12 characteristics of the catastrophic event, and the states involved, FNIC s single event pre-tax retention could be as low as $8.0 million. The maximum pre-tax retention of $18.45 million for Florida represents 7.76% of the Company s shareholders equity as of December 31, Our reinsurance coverage contemplates the effects of a catastrophic event that occurs only once every 100 years. (Stockholders Equity as of is $237.9 mn) Hanover Insurance Group, Inc. Actual The property catastrophe occurrence treaty provides coverage, on an occurrence basis, up to $1.1 billion countrywide, less a $200 million retention, with no coparticipation, for all defined perils. Hanover Insurance Group K Filing, page 16 HCI Group Inc. Actual 8.2% - - Our reinsurance program for 2016/17 provides coverage, which according to catastrophe models approved by the FLOIR, is sufficient to cover the probable maximum loss resulting from a 1 in 165 year event. Our reinsurance program for 2015/16 provided coverage for a probable maximum loss resulting from a 1 in 260 year event. As a result of our program and pricing changes, we expect our reinsurance costs for the 2016/17 program year to be approximately $48,000,000 below the cost for 2015/16. (Stockholders Equity as of is $243.7 mn) Program provides 1st event cover for RMS v13.1 Long-Term Hurricane, with Loss Amplification, excluding Storm Surge, without Secondary Uncertainty with $16M Retention, exhaustion of $1,241M and limit of $1,225M ($1,241- $16M). They also have limits for different events of 1 in 253 year event ($1,241M), 1 in 165 year event ($972M), 1 in 100 year event ($689M), 1 in 50 year event ($392M). They provide 2nd event cover for Florida Hurricane Catastrophe Fund (FHCF). HCI Group Inc K Filing, Results of Operations section, Page 39, and Investor Presentation March 2017, Program Section, Page 13 28

30 P&C Personal Lines Sector Heritage Insurance Holdings, Inc. Actual 11.3% - - Hilltop Holdings Inc. Actual Our reinsurance programs for each of the twelve months beginning June 1, 2015 and 2016 provides reinsurance in excess of regulatory requirements, which are based on the probable maximum loss that we would incur from an individual catastrophic event estimated to occur once every 100 years based on our portfolio of insured risks. The 2004 calendar year, in which four large catastrophic hurricanes made landfall in Florida, is considered to be the worst catastrophic year in Florida s recorded history. Assuming the reoccurrence of the 2004 calendar year event s, the probable after tax net loss to us in 2016, based on the coverage for our reinsurance program, would be $40.3 million (after tax, net of all reinsurance recoveries and including our retention through Osprey). This loss would have represente d 11.3% of our stockholders equity at December 31, Heritage Insurance Holdings Inc K Filing, Products and distribution Section, Page 5 & 6 Effective July 1, 2015, NLC renewed its catastrophic excess of loss reinsurance coverage for a two year period. At December 31, 2016, NLC had catastrophic excess of loss reinsurance coverage of losses per event in excess of $8 million retention by NLIC and $1.5 million retention by ASIC. ASIC maintained an underlying layer of coverage, providing $6.5 million in excess of its $1.5 million retention to bridge to the primary program. The reinsurance in excess of $8 million is comprised of four layers of Hilltop Holdings Inc protection: $17 million in excess of $8 million retention and/or loss; $25 million in excess of $25 million loss; $25 million in excess of $50 million loss and $50 million in excess of $75 million loss. NLIC and ASIC retain no participation in any of the layers, beyond the first $8 million and $1.5 million, respectively. At December 31, 2016, total retention for any one catastrophe that affects both NLIC and ASIC was limited to $8 million in the aggregate. 10-K Filing, Page No 385 Horace Mann Educators Corporation Actual For 2016,the Company s catastrophe excess of loss coverage consisted of one contract in addition to a minimal amount of coverage by the Florida Hurricane Catastrophe Fund ( FHCF ). The catastrophe excess of loss contract provided 95% coverage for catastrophe losses above a retention of $25.0 million per occurrence up to $175.0 million per occurrence. This contract consisted of three layers, each of which Horace Mann K provided for one mandatory reinstatement. The layers were $25.0 million excess of Filing, Property & $25.0 million, $40.0 million excess of $50.0 million and $85.0 million excess of $90.0 Casualty million. For 2017, the Company s catastrophe excess of loss coverage consists of one Section, page 11; AM contract, and the contract has the same provisions as described for Best Report #4934 (Risk In Horace Mann's opinion, its geographic spread of exposures and its stringent Management Section) underwriting guidelines and reinsurance program limit the potential gross and net probable maximum loss (PML) for a 100-year Atlantic Basin hurricane (the group's largest potential peril as depicted by PML analysis), to a manageable level. (10K); 3/30/2016 (AMB) Infinity Property and Casualty Corporation Actual For 2014 and 2015 our catastrophe reinsurance protection was 100% of$55 million in excess of $5 million per event. For 2016 we have increased our catastrophe reinsurance protection to $95 million in excess of $5 million per event. Infinity P&C corp K Filing, page 65 Information in red is disclosed on a post-tax basis 29

31 P&C Personal Lines Sector Company Actual/ Target 1:100 1:200 1:250 Summary Source Date Insurance Australia Group Limited Target Intact Financial Corporation Actual Disclosed Risk Tolerance The Group catastrophe cover which is placed in line with the strategy of buying to the level of a 1:250 year event on a modified whole of portfolio basis. IAG's catastrophe reinsurance protection runs to a calendar year and operates on an excess of loss basis, with the Group retaining the first $250 million ($200 million post-quota share) of each loss. It covers all territories in which IAG operates. The limit of catastrophe cover purchased was $7.0 billion placed to 80%. Should a loss event occur that is greater than $7.0 billion, the Group could potentially incur a net loss greater than the retention. In February 2016, IAG completed an innovative reinsurance transaction with BH that mitigates the Group s exposure to the Canterbury earthquakes and asbestos related liabilities. The transaction comprises: ADC which provides NZ$600 million of protection above NZ$4.4 billion for the February 2011 Canterbury earthquake event; and a reinsurance arrangement in respect of IAG s asbestos exposure. We retain participations averaging 5.1% as at January 1, 2017 (December 31, %) on reinsurance layers between the retention and coverage limits. The 2017 coverage limit will gradually increase from $3.5 billion to $3.6 billion during the year. The net after-tax impact of a catastrophe that would exhaust our coverage limits as at January 1, 2017 is estimated at 3.5% of our NEP for 2016 (January 1, % of our NEP for 2015). Insurance Australia Group 2016 Annual Report, risk section, Page 57 Intact Financial corp 2016 Annual Report, section, Page 31 Kingstone Insurance Company Target Kemper Corporation Actual In 2016, we purchased catastrophe reinsurance to provide coverage of up to $252,000,000 for losses associated with a single event. One of the most commonly used catastrophe forecasting models prepared for us indicates that the catastrophe reinsurance treaties provide coverage in excess of our estimated probable maximum loss associated with a single more than one-in-250 year storm event. The direct retention for any single catastrophe event is $5,000,000. Losses on personal lines policies are subject to the 40% quota share treaty, which results in a net retention by us of $3,000,000 of exposure per catastrophe occurrence. Effective July 1, 2016, we have reinstatement premium protection on the first $20,000,000 layer of catastrophe coverage in excess of $5,000,000. This protects us from having to pay an additional premium to reinstate catastrophe coverage for an event up to this level. Kingstone Insurances K filing, Section, Page 14 The corporate property catastrophe reinsurance treaty for 2016 is unchanged from the prior year. The program covers $300,000,000 in excess of $50,000,000 in two layers with 95% co-participation on each layer. The first layer covers 95% of $100,000,000 in Kemper P&C Group AM excess of $50,000,000 and the second layer covers 95% of $200,000,000 in excess of Best Report #914, $150,000,000. Section 7/29/2016 MAPFRE SA N/A No risk tolerance metrics indicated N/A N/A 30

32 P&C Personal Lines Sector Company Disclosed Risk Tolerance Actual/ Target 1:100 1:200 1:250 Summary Source Date Mercury General Corporation Actual % The Company is party to a Catastrophe Treaty ("Treaty") covering a wide range of perils that is effective through June 30, The Treaty provides for $115 million of coverage on a per occurrence basis after covered catastrophe losses exceed a $100 million Company retention limit. The first $100 million of losses above the Company's $100 million retention are covered 100% by the reinsurers. Losses above $200 million are shared pro-rata with 5% coverage by the reinsurers and 95% retention by the Company, up to $15 million total coverage provided by the reinsurers. The treaty specifically excludes coverage for California earthquake losses on fixed property policies, such as homeowners, but does cover losses from fires following an Mercury K Filing, earthquake. The Company has reinsurance for PIP claims in Michigan through the Section Page (10K); Michigan Catastrophic Claims Association, a private non-profit unincorporated 10 & AM Best Report 6/29/2016 (AMB) association created by the Michigan Legislature. The reinsurance covers losses in #18195, excess of $545,000 per person and has no maximum limit. Michigan law provides for section unlimited lifetime coverage for medical costs caused by automobile accidents. The Company ceased writing personal automobile insurance in Michigan in The Company carries a commercial umbrella reinsurance treaty and seeks facultative arrangements for large property risks. The group's after-tax net impact from a 250-year earthquake, as depicted in a probable maximum loss analysis, is approximately 26% of policyholder surplus. National General Holdings Corporation Actual As of May 1, 2016, the Company s new reinsurance property catastrophe excess of loss program went into effect protecting the Company against catastrophic events and other large losses. The property catastrophe program provides a total of $475,000 in coverage in excess of a $50,000 retention, with one reinstatement. Included in this coverage is a Florida Hurricane Catastrophic Fund ( FHCF ) cover of $52,200 in excess of $16,300 with no reinstatement. The casualty program provides $45,000 in coverage in excess of a $5,000 retention. The Company pays a premium as consideration for ceding the risk. National General Holdings Corp Annual Report, Page 167 Section Progressive Corporation Actual Based on the group's most recent catastrophe risk assessment, as depicted in a probable maximum loss (PML) analysis, the after-tax PML for a one in 100-year hurricane represents only a moderate impact to the group's surplus base. Progressive Corp AM Best Report #18637, Risk Management section 7/11/2016 Royal & Sun Alliance Insurance Plc Target Our reinsurance programme significantly reduces our exposure to catastrophe risks with losses arising from the 2016 Canadian wildfires being well covered by our programme. Programme is designed to cover at least 1 in 200 year events. RSA Group 2016,Risk management, page 40 Information in red is disclosed on a post-tax basis 31

33 P&C Personal Lines Sector Company Actual/ Target 1:100 1:200 1:250 Summary Source Date Safety Insurance Group, Inc. Actual 21.0% - - Disclosed Risk Tolerance A comprehensive catastrophe reinsurance program reduces the net after-tax probable maximum loss (PML) expected to arise from a 100-year hurricane event to approximately 21% of reported policyholders' surplus at year-end Safety Group AM Best For 2017, we have purchased four layers of excess catastrophe reinsurance providing Report #18080, Balance $615,000 of coverage for property losses in excess of $50,000 up to a maximum of Sheet Strength Section ; $665,000. Our reinsurers co-participation is 65.0% of $100,000 for the 1st layer, Safety Insurance Group 80.0% of $280,000 for the 2nd layer, 80.0% of $135,000 for the 3rd layer and 80% of K Filing, $100,000 for the 4th layer. As a result of the changes to the models, and our revised Section, reinsurance program, our catastrophe reinsurance in 2017 protects us in the event of a Page year storm (that is, a storm of a severity expected to occur once in a 130-year period). (10K); 5/12/2016 (AMB) State Auto Financial Corporation Actual Under this reinsurance agreement (Catastrophe reinsurance agreement), State Auto Group retain the first $55.0 million of catastrophe loss, each occurrence, with a 5.0% co-participation on the next $285.0 million of covered loss, each occurrence. The reinsurers are responsible for 95.0% of the excess over $55.0 million up to $340.0 million of covered losses, each occurrence. Under this reinsurance agreement, the State Auto Group is responsible for losses above $340.0 million. The State Auto Group also maintains a separate property catastrophe excess of loss reinsurance agreement covering the specialty insurance segment's E&S property and programs units catastrophe related events affecting at least two risks. Under this reinsurance agreement, the State Auto Group retains the $30.0 million of catastrophe loss, each occurrence, with no co-participation on the next $25.0 million of covered loss, each occurrence. State Auto Financial Corp K Filing, Arrangements Section, page 60 United Insurance Holdings Corp. Actual 4.1% - - For the treaty year beginning June 1, 2016 and ending on May 31, 2017, UPC Insurance has obtained reinsurance protection of $1,515,197,000 excess $10,000,000, providing sufficient protection for a 1-in-100 year hurricane event and a second 1-in-50 year hurricane event in the same year as calculated using a blended model result predominately based on our licensed modeling software, AIR model version 17, using long-term event rates excluding demand surge. For a single first event hurricane or tropical storm, UPC Insurance will pay, or retain, 100% of losses up to $30,000,000 including the $20,000,000 layer funded by UPC Re. The catastrophe excess of loss reinsurance program provides our insurance subsidiaries 100% coverage for all losses United Insurance Holdings in excess of $10,000,000 up to $1,415,197,000 for a first event and $1,515,197,000 for Corp K Filing, any number of subsequent events until all limit is exhausted. For the 2016 contract section, year, UPC Insurance has elected a 45% participation rate with the FHCF and Page 79 purchased replacement coverage from private insurers for the remaining 45%. Of the $1,515,197,000 in excess of $10,000,000, we estimate the mandatory FHCF layer will provide approximately $354,015,000 (45% of $786,700,000) of aggregate coverage for losses in excess of $246,002,000. The private market FHCF replacement coverage provides another $346,182,000 of aggregate protection (45% of $769,293,000) in excess of $244,206,000 layer for Florida only on a fully collateralized basis that also inures to the benefit of all other private reinsurance coverage. (Stockholders Equity as of is $241.3mn) Information in red is disclosed on a post-tax basis 32

34 P&C Personal Lines Sector Company Disclosed Risk Tolerance Actual/ Target 1:100 1:200 1:250 Summary Source Date Universal Insurance Holdings, Inc. Target 22.6% - - Our reinsurance program meets and provides reinsurance in excess of the FLOIR s requirements, which are based on, among other things, the probable maximum loss that we would incur from an individual catastrophic event estimated to occur once in every 100 years based on our portfolio of insured risks and a series of stress test catastrophe loss scenarios based on past historical events. Assuming the reoccurrence of the 2004 calendar year events, including the same geographic path of each such hurricane, the modeled estimated net loss to us in 2016 with the reinsurance coverage described herein, would be approximately $84 million Universal Insurance (after tax, net of all reinsurance recoveries), the same as it would have been in Holdings K Filing, We estimate that, based on our portfolio of insured risks as of December 31, 2016 and UPICC's 2015, a repeat of the four 2004 calendar year events would have exhausted Program, Page 14 approximately 25% and 18.4%, respectively, of our property catastrophe reinsurance coverage. UPCIC has a net retention of $35 million per catastrophe event for losses incurred up to a first event loss of $2.487 billion. UPCIC also purchases a separate underlying catastrophe program to further reduce its retention for all losses occurring in any state other than Florida (the Other States Program ). UPCIC retains only $5 million under its Other States Program. These retention amounts are gross of any potential tax benefit we would receive in paying such losses. (Stockholders Equity as of is $371.1 mn) Vienna Insurance Group AG Target It is Group-wide policy that no more than EUR 50 million for the first two natural VIG 2016 Annual Report, disaster events and EUR 20 million for each additional event can be placed at risk on a Section, PML (probable maximum loss) basis. The maximum Group-wide retention per Page 116 individual loss is less than EUR 10 million. Information in red is disclosed on a post-tax basis 33

35 P&C Specialty Lines Sector Disclosed Risk Tolerance Company Actual/ Target 1:100 1:200 1:250 Summary Source Date Alleghany Corporation Actual 5.0% - 7.0% Florida, Wind has the highest modeled after-tax net catastrophe costs for both a 100 and 250 year return period. These costs would represent approximately 5 percent and 7 percent, respectively, of stockholders equity attributable to Alleghany as of December 31, 2016, compared with approximately 7 and 10 percent as of December Alleghany K 31, 2015, respectively. The decline in net PMLs is due in part to the changes in the Filing, Catastrophe timing of retrocessional reinsurance purchases. Excluding the timing impact of Exposure section, page additional cover due to expire in May 2017, after-tax net PMLs for Florida, Wind at a and 250 year return period would have been approximately 6 percent and 8 percent of stockholders equity attributable to Alleghany, respectively, as of December 31, (Shareholders Equity as of is $7.9 bn) Allied World Assurance Company Holdings, A Target 11.3% % American Financial Group, Inc. Actual Consolidated Estimated Net Loss as of December 1, 2016 U.S. total Hurricane is $399M for 1-in-100 Year and $446M for 1-in-250 Year. U.S. total Earthquake is $402M for 1-in-100 Year and $503M for 1-in-250 Year. Other zones are as follows; U.S. Southeast Hurricane $369M for 1-in-100 Year and $407M for 1-in-250 Year; U.S. Gulf Coast Hurricane $202M for 1-in-100 Year and $368M for 1-in-250 Year; U.S. Northeast Hurricane $211M for 1-in-100 Year and $392M for 1-in-250 Year; California Earthquake is $320M for 1-in-100 Year and $481M for 1-in-250 Year. (Shareholders Equity as of is $3.552 bn) AFG s net exposure to a catastrophic earthquake or windstorm that industry models indicate could occur once in every 500 years (a 500-year event ) is expected to be less than 4% of AFG s Shareholders Equity. Allied World Assurance Company, 4Q2016 Financial Supplement, Probable Maximum Losses Section, Page 20 American Financial Group K Filing, Catastrophe losses section, page 4 Amerisafe, Inc. N/A No risk tolerance metrics indicated N/A N/A Amtrust Financial Services, Inc. Actual The group's property catastrophe reinsurance program provides protection up to $610 million per occurrence in a four layer tower, excess of the retention of $20 million per occurrence on property losses, net of recoveries under the property per risk reinsurance coverage. Amtrust Group AM Best Report #18533, Section 2/27/2017 ARCH Capital Group, Ltd. Target % Currently, we seek to limit our 1-in-250 year return period net probable maximum pretax loss from a severe catastrophic event in any geographic zone to approximately 25% of total shareholders equity available to Arch. We reserve the right to change this ARCH Capital Group 2016 threshold at any time. Based on in-force exposure estimated as of January 1, 2017, 10-K Filing, Natural our modeled peak zone catastrophe exposure is a windstorm affecting the Catastrophe Risk section, Northeastern U.S., with a net probable maximum pre-tax loss of $492 million, followed Page 76 by windstorms affecting the Gulf of Mexico and Florida Tri-County with net probable maximum pre-tax losses of $427 million and $394 million, respectively. (Shareholders Equity as of is $9,106 mn) Argo Group International Holdings, Ltd. N/A No risk tolerance metrics indicated N/A N/A Information in red is disclosed on a post-tax basis 34