NEW WAYS OF BUYING REINSURANCE. Seminarium Reasekuracyjnego 2014 Warsaw
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1 NEW WAYS OF BUYING REINSURANCE Seminarium Reasekuracyjnego 2014 Warsaw
2 Who we are Willis Group Found in 1828 by Henry Willis About employees in more than 400 offices Headquartered in London Willis Re One profit centre (Willis Re Europe) Global knowledge, local expertise Integrated Analytics No outsourcing
3 Reasons of buying reinsurance Protection against frequency Capital relief (Solvency, Rating Agencies) Protection against severity Underwriting Capacity per Line of Business Steering of business mix
4 Old ways of buying reinsurance Bottom up approach: Capacity required by underwriting team per line of business Max SI/PML sets the limit of the per risk severity protection Top down approach: Stop Loss/Aggregate covers to limit the overall loss Capital relief mainly from NatCat programmes, based on Cat modelling Bouquet placements in order to negotiate portfolio benefits
5 What has changed? Solvency II becomes (partly) effective at 1/1/2016 ORSA/FLAOR requires a quantification of significant types of risk Many companies built internal models, even if they do not use them for Solvency reporting Companies became part of large groups, underwriting results and Solvency/Rating matters are no longer the only area of concern European insurers created an ERM environment! Value Based Management
6 What else? Reduced reinsurance demand ILS capital Low interest rates Soft Market Reinsurers miss their top line growth targets The world is changing faster than ever
7 What s the aim? Existence Result Competition
8 Definition of KPIs MCR/ SCR ifm Outputs Rating Capital Requirements Underwriting Result Economic Result Net Retention Diversification Effects RORAC/ RAROC/ RARORAC ROE Other 8
9 How to select the reinsurance strategy? Create an Own View of Risk where necessary Modelling all risks the company is exposed to Include portfolio information in the model Create gross undertaking model Definition of KPIs Link KPIs to the model parameters and outputs Display the current reinsurance structure Optimize
10 Optimize but how? Adding risk measures means adding dimensions! mu/sigma plot KPIs Example: Maximize Underwriting result with 1 in 200 VaR not higher than xyz Example: Maximize Underwriting result, SCRratio not lower than 150%, Probability of RORAC per LoB lower 4% below 1%
11 Willis ifm Key Facts User A Online-based R/I optimisation User B User C Developed by Willis Re No software distribution, internal tool Focus on R/I modelling, no platform for internal models
12 Building the model Gross model Cat modelling Large loss severity & frequency Attricional losses Premium Expenses Existing Reinsurance Existing reinsurance structure (prop, non-prop incl. terms and commission) Alternative Structures Select structures that target the optimisation of KPIs and set them as basis
13 Pick efficient structures Willis ReOptim8 1,000,000,000,000,000,000,000,000 variations per structure
14 Solution: Action Strategies Effect of strategy on KPIs Probability of hitting target KPI Gross Net Var 1 Net Var 18 Net Var 32 Target Gross Net Var 1 Net Var 18 Net Var 32 Average ROE 36,00% 25,00% 30,00% 27,00% ROE > 24% 99,00% 52,00% 94,00% 87,00% Expected underwriting result 1 in 5 years U\W Result > 60m 80,00% 61,00% 53,00% 58,00% 1 in 10 years U\W Result > 30m 30,00% 80,00% 42,00% 60,00% SCR 132,30% 183,00% 154,00% 170,00% SCR > 150% 0,00% 100,00% 100,00% 100,00% Key Performance Indicator Situation 1 Situation 2 Situation 3 Growth Stable Stable Decreasing Expected Underwriting Result Stable Stable Stable Expected Investment Result Strong Normal Normal Own Funds Strong Strong Low Rating Capital Strong Strong Normal Solvability Good Good Okay Goal Less underwriting risk, increase excess capital Increase retentions Strenghtening of capital base, keep security (rating)
15 What do we get? Action plan for different scenarios in a fast changing economic environment. An optimized current reinsurance strategy, focussed on the aim of hitting multiple company targets (Plan A) Alternative reinsurance strategies, focussing on different scenarios with changed KPI weightings (Plan B, C, D ) Willis Re can help you developing these strategies and we deliver!
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