Catastrophe Reinsurance Pricing

Size: px
Start display at page:

Download "Catastrophe Reinsurance Pricing"

Transcription

1 Catastrophe Reinsurance Pricing Science, Art or Both? By Joseph Qiu, Ming Li, Qin Wang and Bo Wang Insurers using catastrophe reinsurance, a critical financial management tool with complex pricing, can benefit from the use of in-depth analytics to help identify market opportunity and achieve pricing accuracy. Catastrophe reinsurance is an important tool for insurance companies to hedge extreme risk and manage capital, but its price varies much more than general insurance (Figure 1). Reasons for this market phenomenon include the great uncertainty associated with catastrophe risk, the capitalintensive nature of catastrophe business and the relatively low level of agreement on catastrophe risk pricing. A better understanding of catastrophe reinsurance pricing benefits the whole market because it will help (re)insurers manage underwriting and deploy capital more efficiently. This article clarifies both market- and academic-pricing techniques. Catastrophe reinsurance is priced mainly on exposure rather than experience. In part, the low-frequency nature of catastrophes makes it difficult to collect sufficient historical data for a credible analysis. The dynamics of catastrophe risks (e.g., weather change due to global warming and terrorism attacks launched by Al-Qaeda) further reduce the predictive power of already-limited historical data. So the market usually focuses on exposure analysis to determine the catastrophe reinsurance premium, while loss experience mainly serves as an adjustment factor. Pricing techniques for catastrophe reinsurance can be grouped into three categories: Market approaches based on catastrophe modeling output Market approaches based on non-modeling factors Academic approaches based on financial and actuarial theories Figure 2 is a summary of the elements under each category. Among these pricing methods, approaches based on catastrophe modeling output require the lowest level of subjective input but are inevitably associated with model risk (i.e., how accurately catastrophe models capture loss distributions). If the market is dominated by these modeling approaches, there will be less room for price negotiation because different parties will achieve similar modeling results using the same data set. But if price is determined purely by non-modeling factors, model risk will be reduced and Figure 1. Annual price change comparisons 80% 70% 60% 50% 40% 30% 20% 10% 0% 10% 20% Commercial line insurance price change Property catastrophe reinsurance price change Source: Towers Watson Figure 2. Major catastrophe reinsurance pricing approaches Market approaches based on catastrophe modeling output Market approaches based on non-modeling factors Academic approaches based on financial and actuarial theories Expected loss of a reinsurance layer, standard deviation of layer loss (or other statistics that measure uncertainty), loss on line, probabilities of layer activation and exhaustion, deterministic loss, risk concentration, data quality, peer comparison, proprietary model, etc. Territory, non-modeled exposures, cedant s loss experience, reinsurance relationship, market cycle, reinsurer s underwriting strategy and capital adequacy, etc. Option pricing theory, arbitrage pricing theory, utility optimization theory, etc. Emphasis 2012/2 11

2 Figure 3. Market pricing approaches comparison High Model risk Low Pricing based on catastrophe model Reduce model risk Ideal pricing method Low Reduce subjective input Subjectivity subjectivity will increase significantly. An ideal pricing method should minimize both model risk and subjectivity (Figure 3). Unfortunately, a mixed approach is currently being used to price catastrophe reinsurance, and it is the trade-off that the (re)insurance market has to manage. Pricing Approaches Pricing based on non-modeling factors High Catastrophe Modeling Output Before modern catastrophe models (e.g., RMS, AIR, EQE) were developed, (re)insurers often used exposure curves to evaluate catastrophe reinsurance. Exposure curves detail the relationship between the accumulation of insured values and the accumulation of estimated loss. Exposure information, coupled with exposure curves, can infer loss estimates as well as catastrophe reinsurance prices. Even so, because of the complexities that are naturally associated with catastrophes, it is not surprising that simple exposure curves are hardly sufficient to reflect the full spectrum of catastrophe risks. Modern catastrophe models were created to provide a more scientific view. These models take advantage of the A thorough understanding of pricing techniques helps reconcile market discrepancies and achieve efficiency. most recent science and engineering knowledge, employ vast computing power made possible by recent IT advances and are frequently configured using new catastrophe events. Catastrophe models can analyze risks at a location level and then build the location-level results up to a portfolio level. This differs from the exposure curve approach, which is based on aggregate exposures. Figure 4 shows the framework of modern catastrophe models that can calculate loss distribution for given exposures. Although loss distributions can be produced, it is how they are used to price catastrophe reinsurance that remains so interesting. Various approaches can lead to dramatically different prices, and a thorough understanding of pricing techniques helps reconcile market discrepancies and achieve efficiency. For instance, the use of excess-of-loss catastrophe reinsurance covers losses from layer retention up to a certain limit. Generally, the most important modeling output for pricing is the expected layer loss. If multiple perils can trigger the layer (hurricane, earthquake, tornado/hail, among other catastrophes), then each of these perils needs to be modeled, and total expected layer loss should be calculated. Still, no reinsurer would accept expected layer loss as the final price. Because of the significant uncertainty of catastrophe risks, catastrophe reinsurance requires large amounts of capital to be allocated to support the underwriting of this type of business. And uncertainty, which can be partially reflected by standard deviation of layer loss, also needs to be properly priced. The market has used the following pricing formula: Layer premium = Expected layer loss + Risk load factor Standard deviation In this equation, the expected layer loss and standard deviation can be calculated by catastrophe models, but the risk load factor is a subjective entry that depends on risk perception, reinsurers capital position and (re)insurance market conditions, among other considerations. Reinsurers may also load non-modeled loss factors, expense ratios and target profit ratios on top of the equation. A report from the Bermuda Monetary Authority finds that 81% of Bermuda (re)insurers add loads to modeling results. 12 towerswatson.com

3 Figure 4. Framework of modern catastrophe models Stochastic events: California earthquake, Florida hurricane, etc. Hazard parameters: Ground motion attenuation, wind speed, etc. Exposure information: Insured value, location, construction, year built, etc. Economic loss estimate: Building, contents, time element, etc. Insured loss distribution: Annual average loss, standard deviation, exceeding probability, etc. The discussion so far provides a framework for how catastrophe modeling can be used to price reinsurance. But in the real market, many other modeling outputs need to be considered to comprehensively evaluate pricing adequacy. First, expected layer loss as a percentage of layer limit, often called loss on line, can reflect a layer s riskiness: The higher the loss on line, the higher the reinsurance price. Second, probabilities that a layer will be triggered and exhausted reflect how frequently the cedant may receive recovery. These probabilities can be calculated by applying the layer in catastrophe models or using a simulation approach. Higher probabilities usually make it harder for the cedant to receive a low price because reinsurers are managing their own risks and are generally very cautious about low-attachment layers. Third, a deterministic approach is often used to supplement stochastic modeling. Instead of using tens of thousands of stochastic events to generate loss distribution, a deterministic approach is based on a single event and focuses on exposure vulnerability. It is an intuitive and easy-to-manage approach. Lloyd s of London issues realistic disaster scenarios to evaluate the risk management and capital adequacy of its syndicates. So whether a reinsurance layer will be hit by these deterministic events is a meaningful element of a price quoted by Lloyd s. Fourth, geographical concentration of a cedant s risks can be evaluated by a catastrophe model s accumulation analysis and will be carefully reviewed by reinsurers. The rationale behind risk concentration analysis is that a catastrophe event may well affect a large number of risks within a geographical area. A high risk concentration increases correlation, reduces diversification and can lead to an extra charge for the reinsurance premium. Additionally, the more geographic regions and potential perils that expose a contract, the higher the price. As a result, most reinsurers employ some form of portfolio theory in pricing catastrophe reinsurance, so the more diversification a catastrophe contract can bring in, the lower the price and vice versa. Moreover, the quality of a cedant s exposure data determines the accuracy of its modeling output. Poor data quality reduces reinsurers confidence in a cedant s modeling result and might prompt them to demand a higher price. If specific exposure characteristics (such as construction and occupancy codes) cannot be captured, models generally will use internal distributions for these parameters, and the cedant will have lost the opportunity to influence price. Data quality also matters because the insured-to-value ratio should be properly coded. This is a crucial element for the calculation of a cedant s real liability. Other approaches in this category include peer comparison: Reinsurers will charge a similar price for layers based on similar risks, territories and Catastrophe reinsurance is priced mainly on exposure rather than experience. Emphasis 2012/2 13

4 Joseph Qiu reinsurance analytics and catastrophe modeling. Philadelphia Ming Li reinsurance analytics and catastrophe modeling. Philadelphia loss distributions. Finally, many reinsurers have proprietary models or use multiple models for reinsurance pricing. It is worth noting that post-rms v11.0, blending models has become a common practice, and the choice of blending methodology does affect price to a meaningful extent. Non-Modeling Factors Catastrophe modeling is a very important component of the reinsurance price formation process. Unfortunately, no model can accurately estimate a catastrophe loss distribution, and model risk always exists. This makes it impossible to rely solely on catastrophe models to calculate reinsurance premium. For example, the recent U.S. hurricane model change in RMS v11.0 in February 2011 dramatically increased the loss estimate for most (re)insurers portfolios. Even so, the (re)insurance market has not fully factored the model change into pricing practices for the January 2012 renewal. What is being seen in the market is that many other non-modeling factors can also affect price, and sometimes their impact is significant. These factors include territory, non-modeled exposures, cedants loss experience, reinsurance relationships, (re)insurance market cycles and reinsurers underwriting strategy, among other points. The territory of a cedant s exposures provides a good example of how these factors can impact reinsurance price. A catastrophe layer covering U.S. hurricanes will be more expensive than a layer covering Mexico earthquakes, even if the two layers have similar loss distributions, because a reinsurer probably already has a certain level of U.S. hurricane exposures in its portfolio. Additional U.S. hurricane risk presents more correlation, which will be charged at a higher price. But reinsurers portfolios are probably not heavily weighted in Mexican exposures. Since a Mexico earthquake layer can diversify a portfolio, it will be less expensive. Catastrophe models were created only for major territories and perils. Usually, these territories and perils have generated significant insured losses and have a good amount of claim data for scientists to develop models. But the modeling process will not capture the risk from those exposures that cannot be modeled (e.g., a commercial building located in Saudi Arabia, a country that has no model). In such instances, reinsurers will manually factor non-modeled exposures into their pricing. Loss experience may not change the long-term equilibrium price, which should be based on underlying risks. Still, it does matter in the short run, because reinsurers can reasonably charge higher prices for the layers that experienced losses in recent years. Observations suggest that reinsurance prices may increase dramatically after major catastrophe events. This is partially due to cedants loss experience and partially due to the reduced capital base of reinsurers. It is also easy to understand that the reinsurance relationship, market cycle, reinsurers underwriting strategy and capital adequacy will also affect pricing. The common characteristics of these factors are: They are not based on modeling output. How much impact they have on reinsurance premium depends on subjective judgment. They are usually considered in the price negotiation stage rather than the modeling communication stage. 14 towerswatson.com

5 Academic Approaches Academia has also attempted to implement financial and actuarial theories, including option pricing theory, arbitrage pricing theory and utility optimization theory. Currently, lack of data and unrealistic assumptions make it impossible to directly implement these theories in the catastrophe reinsurance practice. Researchers have argued that a reinsurance contract is essentially a call option where catastrophe losses are part of the security price and the option pricing theory may be applied to calculate catastrophe reinsurance premiums. The challenge of this approach is that no parameterized distribution or stochastic process can properly describe catastrophe losses, which makes the option pricing formula impractical. The second academic approach is based on arbitrage pricing theory. If a portfolio of securities has exactly the same contingent payoff as a catastrophe reinsurance layer, then, theoretically, the layer price can be derived from the prices of these securities. Otherwise, an arbitrage opportunity will exist. But unlike financial markets, the reinsurance market does not have a sufficient quantity of actively traded and catastrophe-related securities with observable prices. So the arbitrage pricing method remains theoretical because it is technically impossible to construct a market portfolio with payoffs that mimic catastrophe reinsurance. Finally, utility optimization theory assumes that buyers and sellers in the marketplace will negotiate an equilibrium price that maximizes both of their expected utilities. (Utility measures one s happiness and is used to study decision making.) This might be the most practical theory for the market to implement. Unfortunately, no utility function is sophisticated enough to consider all pricing factors. Many quantitative and qualitative elements can affect catastrophe pricing, and there is no mathematical model that can include everything in the equation. A Mix of Art and Science As a critical financial management tool for insurance companies, catastrophe reinsurance is priced in a complex way. The complexity is reflected by the fact that many elements, modeling output and nonmodeling factors can affect premiums, and some of these elements cannot be quantified. So it is fair to say that catastrophe reinsurance pricing is a mix of art and science. Modern catastrophe models have significantly improved market participants knowledge of underlying risks. But model risk remains inevitable, which introduces non-modeling factors and contributes to the historical volatility of catastrophe reinsurance prices. Market and academic approaches to catastrophe reinsurance pricing may lead to significantly different pricing. In-depth analytics are required to identify market opportunity and achieve pricing accuracy. For comments or questions, call or Joseph Qiu at , joseph.qiu@towerswatson.com; Ming Li at , ming.li@towerswatson.com; Qin Wang at ext. 115, qin.wang@towerswatson.com; or Bo Wang at ext. 107, bo.wang@towerswatson.com. Qin Wang research and analytical services. Wuhan, China Bo Wang research and analytical services. Wuhan, China Among these pricing methods, approaches based on catastrophe modeling output require the lowest level of subjective input but are inevitably associated with model risk. Emphasis 2012/2 15

Catastrophe Reinsurance

Catastrophe Reinsurance Analytics Title Headline Matter When Pricing Title Subheadline Catastrophe Reinsurance By Author Names A Case Study of Towers Watson s Catastrophe Pricing Analytics Ut lacitis unt, sam ut volupta doluptaqui

More information

Modeling Extreme Event Risk

Modeling Extreme Event Risk Modeling Extreme Event Risk Both natural catastrophes earthquakes, hurricanes, tornadoes, and floods and man-made disasters, including terrorism and extreme casualty events, can jeopardize the financial

More information

Homeowners Ratemaking Revisited

Homeowners Ratemaking Revisited Why Modeling? For lines of business with catastrophe potential, we don t know how much past insurance experience is needed to represent possible future outcomes and how much weight should be assigned to

More information

Statement of Guidance for Licensees seeking approval to use an Internal Capital Model ( ICM ) to calculate the Prescribed Capital Requirement ( PCR )

Statement of Guidance for Licensees seeking approval to use an Internal Capital Model ( ICM ) to calculate the Prescribed Capital Requirement ( PCR ) MAY 2016 Statement of Guidance for Licensees seeking approval to use an Internal Capital Model ( ICM ) to calculate the Prescribed Capital Requirement ( PCR ) 1 Table of Contents 1 STATEMENT OF OBJECTIVES...

More information

Catastrophe Reinsurance Risk A Unique Asset Class

Catastrophe Reinsurance Risk A Unique Asset Class Catastrophe Reinsurance Risk A Unique Asset Class Columbia University FinancialEngineering Seminar Feb 15 th, 2010 Lixin Zeng Validus Holdings, Ltd. Outline The natural catastrophe reinsurance market Characteristics

More information

Sensitivity Analyses: Capturing the. Introduction. Conceptualizing Uncertainty. By Kunal Joarder, PhD, and Adam Champion

Sensitivity Analyses: Capturing the. Introduction. Conceptualizing Uncertainty. By Kunal Joarder, PhD, and Adam Champion Sensitivity Analyses: Capturing the Most Complete View of Risk 07.2010 Introduction Part and parcel of understanding catastrophe modeling results and hence a company s catastrophe risk profile is an understanding

More information

Minimizing Basis Risk for Cat-In- Catastrophe Bonds Editor s note: AIR Worldwide has long dominanted the market for. By Dr.

Minimizing Basis Risk for Cat-In- Catastrophe Bonds Editor s note: AIR Worldwide has long dominanted the market for. By Dr. Minimizing Basis Risk for Cat-In- A-Box Parametric Earthquake Catastrophe Bonds Editor s note: AIR Worldwide has long dominanted the market for 06.2010 AIRCurrents catastrophe risk modeling and analytical

More information

Stochastic Analysis Of Long Term Multiple-Decrement Contracts

Stochastic Analysis Of Long Term Multiple-Decrement Contracts Stochastic Analysis Of Long Term Multiple-Decrement Contracts Matthew Clark, FSA, MAAA and Chad Runchey, FSA, MAAA Ernst & Young LLP January 2008 Table of Contents Executive Summary...3 Introduction...6

More information

9/5/2013. An Approach to Modeling Pharmaceutical Liability. Casualty Loss Reserve Seminar Boston, MA September Overview.

9/5/2013. An Approach to Modeling Pharmaceutical Liability. Casualty Loss Reserve Seminar Boston, MA September Overview. An Approach to Modeling Pharmaceutical Liability Casualty Loss Reserve Seminar Boston, MA September 2013 Overview Introduction Background Model Inputs / Outputs Model Mechanics Q&A Introduction Business

More information

Use of Internal Models for Determining Required Capital for Segregated Fund Risks (LICAT)

Use of Internal Models for Determining Required Capital for Segregated Fund Risks (LICAT) Canada Bureau du surintendant des institutions financières Canada 255 Albert Street 255, rue Albert Ottawa, Canada Ottawa, Canada K1A 0H2 K1A 0H2 Instruction Guide Subject: Capital for Segregated Fund

More information

Risk & Analytics. Trends within Insurance Companies Risk Management. Marc Paasch June Willis Towers Watson. All rights reserved.

Risk & Analytics. Trends within Insurance Companies Risk Management. Marc Paasch June Willis Towers Watson. All rights reserved. Risk & Analytics Trends within Insurance Companies Risk Management Marc Paasch June 2017 2017 Willis Towers Watson. All rights reserved. Key drivers & benefits Outcomes from an analytical approach to own

More information

Terms of Reference. 1. Background

Terms of Reference. 1. Background Terms of Reference Peer Review of the Actuarial Soundness of CCRIF SPC s Loss Assessment Models for Central America and the Caribbean (i) Earthquake and Tropical Cyclone Loss Assessment Model (SPHERA)

More information

Background Paper. Market Risk Transfer. Phillippe R. D. Anderson The World Bank

Background Paper. Market Risk Transfer. Phillippe R. D. Anderson The World Bank Background Paper Market Risk Transfer Phillippe R. D. Anderson The World Bank Market Risk Transfer Background Paper for the World Development Report 2014 on Opportunity and Risk: Managing Risk for Development

More information

ECONOMIC CAPITAL MODELING CARe Seminar JUNE 2016

ECONOMIC CAPITAL MODELING CARe Seminar JUNE 2016 ECONOMIC CAPITAL MODELING CARe Seminar JUNE 2016 Boston Catherine Eska The Hanover Insurance Group Paul Silberbush Guy Carpenter & Co. Ronald Wilkins - PartnerRe Economic Capital Modeling Safe Harbor Notice

More information

Guideline. Earthquake Exposure Sound Practices. I. Purpose and Scope. No: B-9 Date: February 2013

Guideline. Earthquake Exposure Sound Practices. I. Purpose and Scope. No: B-9 Date: February 2013 Guideline Subject: No: B-9 Date: February 2013 I. Purpose and Scope Catastrophic losses from exposure to earthquakes may pose a significant threat to the financial wellbeing of many Property & Casualty

More information

Reinsurance Symposium 2016

Reinsurance Symposium 2016 Reinsurance Symposium 2016 MAY 10 12, 2016 GEN RE HOME OFFICE, STAMFORD, CT A Berkshire Hathaway Company Reinsurance Symposium 2016 MAY 10 12, 2016 GEN RE HOME OFFICE, STAMFORD, CT Developing a Treaty

More information

The impact of present and future climate changes on the international insurance & reinsurance industry

The impact of present and future climate changes on the international insurance & reinsurance industry Copyright 2007 Willis Limited all rights reserved. The impact of present and future climate changes on the international insurance & reinsurance industry Fiona Shaw MSc. ACII Executive Director Willis

More information

INTERNATIONAL ASSOCIATION OF INSURANCE SUPERVISORS

INTERNATIONAL ASSOCIATION OF INSURANCE SUPERVISORS Guidance Paper No. 2.2.x INTERNATIONAL ASSOCIATION OF INSURANCE SUPERVISORS GUIDANCE PAPER ON ENTERPRISE RISK MANAGEMENT FOR CAPITAL ADEQUACY AND SOLVENCY PURPOSES DRAFT, MARCH 2008 This document was prepared

More information

Value at Risk. january used when assessing capital and solvency requirements and pricing risk transfer opportunities.

Value at Risk. january used when assessing capital and solvency requirements and pricing risk transfer opportunities. january 2014 AIRCURRENTS: Modeling Fundamentals: Evaluating Edited by Sara Gambrill Editor s Note: Senior Vice President David Lalonde and Risk Consultant Alissa Legenza describe various risk measures

More information

Catastrophe Exposures & Insurance Industry Catastrophe Management Practices. American Academy of Actuaries Catastrophe Management Work Group

Catastrophe Exposures & Insurance Industry Catastrophe Management Practices. American Academy of Actuaries Catastrophe Management Work Group Catastrophe Exposures & Insurance Industry Catastrophe Management Practices American Academy of Actuaries Catastrophe Management Work Group Overview Introduction What is a Catastrophe? Insurer Capital

More information

The Importance and Development of Catastrophe Models

The Importance and Development of Catastrophe Models The University of Akron IdeaExchange@UAkron Honors Research Projects The Dr. Gary B. and Pamela S. Williams Honors College Spring 2018 The Importance and Development of Catastrophe Models Kevin Schwall

More information

A. Purpose and status of Information Note 2. B. Background 2. C. Applicable standards and other materials 3

A. Purpose and status of Information Note 2. B. Background 2. C. Applicable standards and other materials 3 GENERAL INSURANCE PRACTICE COMMITTEE Information Note: The Use of Catastrophe Model Results by Actuaries Contents A. Purpose and status of Information Note 2 B. Background 2 C. Applicable standards and

More information

Guidance paper on the use of internal models for risk and capital management purposes by insurers

Guidance paper on the use of internal models for risk and capital management purposes by insurers Guidance paper on the use of internal models for risk and capital management purposes by insurers October 1, 2008 Stuart Wason Chair, IAA Solvency Sub-Committee Agenda Introduction Global need for guidance

More information

INTERNATIONAL ASSOCIATION OF INSURANCE SUPERVISORS

INTERNATIONAL ASSOCIATION OF INSURANCE SUPERVISORS Guidance Paper No. 2.2.6 INTERNATIONAL ASSOCIATION OF INSURANCE SUPERVISORS GUIDANCE PAPER ON ENTERPRISE RISK MANAGEMENT FOR CAPITAL ADEQUACY AND SOLVENCY PURPOSES OCTOBER 2007 This document was prepared

More information

CAT301 Catastrophe Management in a Time of Financial Crisis. Will Gardner Aon Re Global

CAT301 Catastrophe Management in a Time of Financial Crisis. Will Gardner Aon Re Global CAT301 Catastrophe Management in a Time of Financial Crisis Will Gardner Aon Re Global Agenda CAT101 and CAT201 Revision The Catastrophe Control Cycle Implications of the Financial Crisis CAT101 - An Application

More information

Evaluating Sovereign Disaster Risk Finance Strategies: Case Studies and Guidance

Evaluating Sovereign Disaster Risk Finance Strategies: Case Studies and Guidance Public Disclosure Authorized Evaluating Sovereign Disaster Risk Finance Strategies: Case Studies and Guidance October 2016 Public Disclosure Authorized Public Disclosure Authorized Public Disclosure Authorized

More information

EVEREST RE GROUP, LTD LOSS DEVELOPMENT TRIANGLES

EVEREST RE GROUP, LTD LOSS DEVELOPMENT TRIANGLES 2017 Loss Development Triangle Cautionary Language This report is for informational purposes only. It is current as of December 31, 2017. Everest Re Group, Ltd. ( Everest, we, us, or the Company ) is under

More information

GN47: Stochastic Modelling of Economic Risks in Life Insurance

GN47: Stochastic Modelling of Economic Risks in Life Insurance GN47: Stochastic Modelling of Economic Risks in Life Insurance Classification Recommended Practice MEMBERS ARE REMINDED THAT THEY MUST ALWAYS COMPLY WITH THE PROFESSIONAL CONDUCT STANDARDS (PCS) AND THAT

More information

Explaining Your Financial Results Attribution Analysis and Forecasting Using Replicated Stratified Sampling

Explaining Your Financial Results Attribution Analysis and Forecasting Using Replicated Stratified Sampling Insights October 2012 Financial Modeling Explaining Your Financial Results Attribution Analysis and Forecasting Using Replicated Stratified Sampling Delivering an effective message is only possible when

More information

Risks. Insurance. Credit Inflation Liquidity Operational Strategic. Market. Risk Controlling Achieving Mastery over Unwanted Surprises

Risks. Insurance. Credit Inflation Liquidity Operational Strategic. Market. Risk Controlling Achieving Mastery over Unwanted Surprises CONTROLLING INSURER TOP RISKS Risk Controlling Achieving Mastery over Unwanted Surprises Risks Insurance Underwriting - Nat Cat Underwriting Property Underwriting - Casualty Reserve Market Equity Interest

More information

UPDATED IAA EDUCATION SYLLABUS

UPDATED IAA EDUCATION SYLLABUS II. UPDATED IAA EDUCATION SYLLABUS A. Supporting Learning Areas 1. STATISTICS Aim: To enable students to apply core statistical techniques to actuarial applications in insurance, pensions and emerging

More information

LLOYD S MINIMUM STANDARDS

LLOYD S MINIMUM STANDARDS LLOYD S MINIMUM STANDARDS Ms1.5 - EXPOSURE MANAGEMENT October 2015 1 Ms1.5 - EXPOSURE MANAGEMENT UNDERWRITING MANAGEMENT PRINCIPLES, MINIMUM STANDARDS AND REQUIREMENTS These are statements of business

More information

CARIBBEAN AND CENTRAL AMERICAN PARTNERSHIP FOR CATASTROPHE RISK INSURANCE POOLING RISK TO SAFEGUARD AGAINST CATASTROPHES GENERATED BY NATURAL EVENTS

CARIBBEAN AND CENTRAL AMERICAN PARTNERSHIP FOR CATASTROPHE RISK INSURANCE POOLING RISK TO SAFEGUARD AGAINST CATASTROPHES GENERATED BY NATURAL EVENTS CARIBBEAN AND CENTRAL AMERICAN PARTNERSHIP FOR CATASTROPHE RISK INSURANCE POOLING RISK TO SAFEGUARD AGAINST CATASTROPHES GENERATED BY NATURAL EVENTS May 2014 NINE COUNTRIES IN THE CARIBBEAN AND CENTRAL

More information

Lloyd s Minimum Standards MS6 Exposure Management

Lloyd s Minimum Standards MS6 Exposure Management Lloyd s Minimum Standards MS6 Exposure Management January 2019 2 Contents 3 Minimum Standards and Requirements 3 Guidance 3 Definitions 3 5 UW 6.1 Exposure Management System and Controls Framework 5 UW6.2

More information

Insurance-linked securities glossary

Insurance-linked securities glossary Insurance-linked securities glossary Insurance-linked securities (ILS) glossary We have compiled a comprehensive list of the most commonly used ILS terms. We hope this resource helps you navigate this

More information

Contents. Introduction to Catastrophe Models and Working with their Output. Natural Hazard Risk and Cat Models Applications Practical Issues

Contents. Introduction to Catastrophe Models and Working with their Output. Natural Hazard Risk and Cat Models Applications Practical Issues Introduction to Catastrophe Models and Working with their Output Richard Evans Andrew Ford Paul Kaye 1 Contents Natural Hazard Risk and Cat Models Applications Practical Issues 1 Natural Hazard Risk and

More information

THE INSURANCE BUSINESS (SOLVENCY) RULES 2015

THE INSURANCE BUSINESS (SOLVENCY) RULES 2015 THE INSURANCE BUSINESS (SOLVENCY) RULES 2015 Table of Contents Part 1 Introduction... 2 Part 2 Capital Adequacy... 4 Part 3 MCR... 7 Part 4 PCR... 10 Part 5 - Internal Model... 23 Part 6 Valuation... 34

More information

Risk Concentrations Principles

Risk Concentrations Principles Risk Concentrations Principles THE JOINT FORUM BASEL COMMITTEE ON BANKING SUPERVISION INTERNATIONAL ORGANIZATION OF SECURITIES COMMISSIONS INTERNATIONAL ASSOCIATION OF INSURANCE SUPERVISORS Basel December

More information

A.M. Best s New Risk Management Standards

A.M. Best s New Risk Management Standards A.M. Best s New Risk Management Standards Stephanie Guethlein McElroy, A.M. Best Manager, Rating Criteria and Rating Relations Hubert Mueller, Towers Perrin, Principal March 24, 2008 Introduction A.M.

More information

FINANCIAL INSTITUTIONS

FINANCIAL INSTITUTIONS FINANCIAL INSTITUTIONS Quality Of Trading Risk Management Practices Varies In Financial Institutions Primary Credit Analysts: Prodyot Samanta New York (1) 212-438-2009 prodyot_samanta@ standardandpoors.com

More information

November 3, Transmitted via to Dear Commissioner Murphy,

November 3, Transmitted via  to Dear Commissioner Murphy, Carmel Valley Corporate Center 12235 El Camino Real Suite 150 San Diego, CA 92130 T +1 210 826 2878 towerswatson.com Mr. Joseph G. Murphy Commissioner, Massachusetts Division of Insurance Chair of the

More information

An overview of the recommendations regarding Catastrophe Risk and Solvency II

An overview of the recommendations regarding Catastrophe Risk and Solvency II An overview of the recommendations regarding Catastrophe Risk and Solvency II Designing and implementing a regulatory framework in the complex field of CAT Risk that lies outside the traditional actuarial

More information

AIRCurrents by David A. Lalonde, FCAS, FCIA, MAAA and Pascal Karsenti

AIRCurrents by David A. Lalonde, FCAS, FCIA, MAAA and Pascal Karsenti SO YOU WANT TO ISSUE A CAT BOND Editor s note: In this article, AIR senior vice president David Lalonde and risk consultant Pascal Karsenti offer a primer on the catastrophe bond issuance process, including

More information

Catastrophe Risk Modelling. Foundational Considerations Regarding Catastrophe Analytics

Catastrophe Risk Modelling. Foundational Considerations Regarding Catastrophe Analytics Catastrophe Risk Modelling Foundational Considerations Regarding Catastrophe Analytics What are Catastrophe Models? Computer Programs Tools that Quantify and Price Risk Mathematically Represent the Characteristics

More information

Value at Risk, Capital Management, and Capital Allocation

Value at Risk, Capital Management, and Capital Allocation CHAPTER 1 Value at Risk, Capital Management, and Capital Allocation Managing risks has always been at the heart of any bank s activity. The existence of financial intermediation is clearly linked with

More information

Understanding and managing damage uncertainty in catastrophe models Goran Trendafiloski Adam Podlaha Chris Ewing OASIS LMF 1

Understanding and managing damage uncertainty in catastrophe models Goran Trendafiloski Adam Podlaha Chris Ewing OASIS LMF 1 Understanding and managing damage uncertainty in catastrophe models 10.11.2017 Goran Trendafiloski Adam Podlaha Chris Ewing OASIS LMF 1 Introduction Natural catastrophes represent a significant contributor

More information

CATASTROPHE MODELLING

CATASTROPHE MODELLING CATASTROPHE MODELLING GUIDANCE FOR NON-CATASTROPHE MODELLERS JUNE 2013 ------------------------------------------------------------------------------------------------------ Lloyd's Market Association

More information

AIRCURRENTS: BLENDING SEVERE THUNDERSTORM MODEL RESULTS WITH LOSS EXPERIENCE DATA A BALANCED APPROACH TO RATEMAKING

AIRCURRENTS: BLENDING SEVERE THUNDERSTORM MODEL RESULTS WITH LOSS EXPERIENCE DATA A BALANCED APPROACH TO RATEMAKING MAY 2012 AIRCURRENTS: BLENDING SEVERE THUNDERSTORM MODEL RESULTS WITH LOSS EXPERIENCE DATA A BALANCED APPROACH TO RATEMAKING EDITOR S NOTE: The volatility in year-to-year severe thunderstorm losses means

More information

THE PITFALLS OF EXPOSURE RATING A PRACTITIONERS GUIDE

THE PITFALLS OF EXPOSURE RATING A PRACTITIONERS GUIDE THE PITFALLS OF EXPOSURE RATING A PRACTITIONERS GUIDE June 2012 GC Analytics London Agenda Some common pitfalls The presentation of exposure data Banded limit profiles vs. banded limit/attachment profiles

More information

Financial Risk Modelling for Insurers

Financial Risk Modelling for Insurers Financial Risk Modelling for Insurers In a racing car, the driver s strategic decisions, choice of fuel mixture and type of tires are interdependent and determine its performance. So do external factors,

More information

Model change. Guidance notes & 2016 submission requirements. February 2016

Model change. Guidance notes & 2016 submission requirements. February 2016 Model change Guidance notes & 2016 submission requirements February 2016 Contents Introduction Page Background 3 Purpose 3 2016 Submission requirements Purpose of submission 4 Major model changes 4 Quarterly

More information

P&C Reinsurance Pricing 101 Ohio Chapter IASA. Prepared by Aon Benfield Inpoint Operations

P&C Reinsurance Pricing 101 Ohio Chapter IASA. Prepared by Aon Benfield Inpoint Operations P&C Reinsurance Pricing 101 Ohio Chapter IASA Prepared by Aon Benfield Inpoint Operations Agenda Focus on Treaty, P&C Reinsurance Certain concepts apply to Facultative and/or LYH Reinsurance Pro-Rata Reinsurance

More information

Stability and Capacity of Property Liability Insurance Markets. Neil Doherty Cartagena, Colombia May 2007

Stability and Capacity of Property Liability Insurance Markets. Neil Doherty Cartagena, Colombia May 2007 Stability and Capacity of Property Liability Insurance Markets Neil Doherty Cartagena, Colombia May 2007 1.4 1.3 1.2 1.1 1 0.9 0.8 0.7 0.6 Market Stability: Combined Ratio in Colombia Life P&C 1975 1976

More information

Using Reinsurance to Optimise the Solvency Position in an Insurance Company

Using Reinsurance to Optimise the Solvency Position in an Insurance Company Using Reinsurance to Optimise the Solvency Position in an Insurance Company Philippe Maeder, Head of Pricing Life & Health for Latin America Table of Contents / Agenda Solvency Framework Impact of Reinsurance

More information

STANDARD & POOR S ECONOMIC CAPITAL MODEL REVIEW PROMISES CAPITAL REWARDS

STANDARD & POOR S ECONOMIC CAPITAL MODEL REVIEW PROMISES CAPITAL REWARDS STANDARD & POOR S ECONOMIC CAPITAL MODEL REVIEW PROMISES CAPITAL REWARDS Willis Re Standard & Poor s Economic Capital Model Review Promises Capital Rewards 2 Standard & Poor s Economic Capital Model Review

More information

NON-TRADITIONAL SOLUTIONS August 2009

NON-TRADITIONAL SOLUTIONS August 2009 www.miller-insurance.com NON-TRADITIONAL SOLUTIONS August 2009 An introduction to risk finance By James Mounty CONTENTS How insurance works 03 What is risk finance 05 Probability distributions 07 Sample

More information

Preparing for a Successful Reinsurance Meeting

Preparing for a Successful Reinsurance Meeting Preparing for a Successful Reinsurance Meeting Tuesday, September 24, 2013, 1:00 p.m. David Thomas Managing Director Guy Carpenter & Company, LLC Philadelphia, Pa. David Thomas is a managing director in

More information

Finance and Insurance: Converging or Diverging?

Finance and Insurance: Converging or Diverging? Finance and Insurance: Converging or Diverging? Stephen Mildenhall Midwestern Actuarial Forum March 2003 1 Overview Insurer Financial Structure Stock Hedge or Diversify? No Arbitrage General Eq l Insurance

More information

INTERNAL CAPITAL ADEQUACY ASSESSMENT PROCESS GUIDELINE. Nepal Rastra Bank Bank Supervision Department. August 2012 (updated July 2013)

INTERNAL CAPITAL ADEQUACY ASSESSMENT PROCESS GUIDELINE. Nepal Rastra Bank Bank Supervision Department. August 2012 (updated July 2013) INTERNAL CAPITAL ADEQUACY ASSESSMENT PROCESS GUIDELINE Nepal Rastra Bank Bank Supervision Department August 2012 (updated July 2013) Table of Contents Page No. 1. Introduction 1 2. Internal Capital Adequacy

More information

The AIR Crop Hail Model for the United States

The AIR Crop Hail Model for the United States The AIR Crop Hail Model for the United States Large hailstorms impacted the Plains States in early July of 2016, leading to an increased industry loss ratio of 90% (up from 76% in 2015). The largest single-day

More information

Risk adjustment and the power of four

Risk adjustment and the power of four Risk adjustment and the power of four Ksenia Draaghtel, ASA, MAAA Diane Laurent For a long time, the healthcare industry has recognized the value of health status adjustments for predicting future healthcare

More information

Windpool. Exposure Risk Management

Windpool. Exposure Risk Management Property & Casualty Insurance Windpool Exposure Risk Management By Ming Li and Zack Schmiesing Windpool operations and assessments are changing the face of property catastrophe risk management in the United

More information

Q u a n A k t t Capital allocation beyond Euler Mitgliederversammlung der SAV 1.September 2017 Guido Grützner

Q u a n A k t t Capital allocation beyond Euler Mitgliederversammlung der SAV 1.September 2017 Guido Grützner Capital allocation beyond Euler 108. Mitgliederversammlung der SAV 1.September 2017 Guido Grützner Capital allocation for portfolios Capital allocation on risk factors Case study 1.September 2017 Dr. Guido

More information

The Financial Reporter

The Financial Reporter Article from: The Financial Reporter December 2004 Issue 59 Rethinking Embedded Value: The Stochastic Modeling Revolution Carol A. Marler and Vincent Y. Tsang Carol A. Marler, FSA, MAAA, currently lives

More information

Answers to Concepts in Review

Answers to Concepts in Review Answers to Concepts in Review 1. A portfolio is simply a collection of investment vehicles assembled to meet a common investment goal. An efficient portfolio is a portfolio offering the highest expected

More information

GUIDELINE ON ENTERPRISE RISK MANAGEMENT

GUIDELINE ON ENTERPRISE RISK MANAGEMENT GUIDELINE ON ENTERPRISE RISK MANAGEMENT Insurance Authority Table of Contents Page 1. Introduction 1 2. Application 2 3. Overview of Enterprise Risk Management (ERM) Framework and 4 General Requirements

More information

Strategies for Controlling your Cost of Risk

Strategies for Controlling your Cost of Risk Strategies for Controlling your Cost of Risk 1 controlling cost of risk is a learning process 2 which direction will you go to control your cost of risk 3 understanding your industry is crucial to creating

More information

Model Change. Appendix to the guidance notes VALIDATION ACTIVITY FOR DIFFERING CHANGE TYPES. July 2016

Model Change. Appendix to the guidance notes VALIDATION ACTIVITY FOR DIFFERING CHANGE TYPES. July 2016 Model Change Appendix to the guidance notes VALIDATION ACTIVITY FOR DIFFERING CHANGE TYPES July 2016 1 THIS PAGE IS INTENTIONALLY BLANK 2 Contents Purpose... 5 Summary of requirements... 6 Common examples

More information

Getting Beyond Ordinary MANAGING PLAN COSTS IN AUTOMATIC PROGRAMS

Getting Beyond Ordinary MANAGING PLAN COSTS IN AUTOMATIC PROGRAMS PRICE PERSPECTIVE June 2015 In-depth analysis and insights to inform your decision-making. Getting Beyond Ordinary MANAGING PLAN COSTS IN AUTOMATIC PROGRAMS EXECUTIVE SUMMARY Plan sponsors today are faced

More information

Catastrophe Risk Management in a Utility Maximization Model

Catastrophe Risk Management in a Utility Maximization Model Catastrophe Risk Management in a Utility Maximization Model Borbála Szüle Corvinus University of Budapest Hungary borbala.szule@uni-corvinus.hu Climate change may be among the factors that can contribute

More information

Long-term care services. Strategies and tools to manage risk and build your business in long-term care insurance

Long-term care services. Strategies and tools to manage risk and build your business in long-term care insurance Long-term care services Strategies and tools to manage risk and build your business in long-term care insurance A commitment to long-term care Whether you re entering new markets, developing new products,

More information

The Simple Truth Behind Managed Futures & Chaos Cruncher. Presented by Quant Trade, LLC

The Simple Truth Behind Managed Futures & Chaos Cruncher. Presented by Quant Trade, LLC The Simple Truth Behind Managed Futures & Chaos Cruncher Presented by Quant Trade, LLC Risk Disclosure Statement The risk of loss in trading commodity futures contracts can be substantial. You should therefore

More information

Public Disclosure Authorized. Public Disclosure Authorized. Public Disclosure Authorized. cover_test.indd 1-2 4/24/09 11:55:22

Public Disclosure Authorized. Public Disclosure Authorized. Public Disclosure Authorized. cover_test.indd 1-2 4/24/09 11:55:22 cover_test.indd 1-2 4/24/09 11:55:22 losure Authorized Public Disclosure Authorized Public Disclosure Authorized Public Disclosure Authorized 1 4/24/09 11:58:20 What is an actuary?... 1 Basic actuarial

More information

Solvency II Standard Formula: Consideration of non-life reinsurance

Solvency II Standard Formula: Consideration of non-life reinsurance Solvency II Standard Formula: Consideration of non-life reinsurance Under Solvency II, insurers have a choice of which methods they use to assess risk and capital. While some insurers will opt for the

More information

Pioneer ILS Interval Fund

Pioneer ILS Interval Fund Pioneer ILS Interval Fund COMMENTARY Performance Analysis & Commentary March 2016 Fund Ticker Symbol: XILSX us.pioneerinvestments.com First Quarter Review The Fund returned 1.35%, net of fees, in the first

More information

REINSURANCE SERVICES BRINGING TRANSPARENCY TO AN OPAQUE INDUSTRY

REINSURANCE SERVICES BRINGING TRANSPARENCY TO AN OPAQUE INDUSTRY REINSURANCE SERVICES BRINGING TRANSPARENCY TO AN OPAQUE INDUSTRY 1 EDITORIAL WELCOME Transacting reinsurance should be easy. It involves only the exchange of data, the setting of terms and the transfer

More information

An Analysis of the Market Price of Cat Bonds

An Analysis of the Market Price of Cat Bonds An Analysis of the Price of Cat Bonds Neil Bodoff, FCAS and Yunbo Gan, PhD 2009 CAS Reinsurance Seminar Disclaimer The statements and opinions included in this Presentation are those of the individual

More information

Solvency II Detailed guidance notes for dry run process. March 2010

Solvency II Detailed guidance notes for dry run process. March 2010 Solvency II Detailed guidance notes for dry run process March 2010 Introduction The successful implementation of Solvency II at Lloyd s is critical to maintain the competitive position and capital advantages

More information

BERMUDA MONETARY AUTHORITY THE INSURANCE CODE OF CONDUCT FEBRUARY 2010

BERMUDA MONETARY AUTHORITY THE INSURANCE CODE OF CONDUCT FEBRUARY 2010 Table of Contents 0. Introduction..2 1. Preliminary...3 2. Proportionality principle...3 3. Corporate governance...4 4. Risk management..9 5. Governance mechanism..17 6. Outsourcing...21 7. Market discipline

More information

Catastrophe Risk Engineering Solutions

Catastrophe Risk Engineering Solutions Catastrophe Risk Engineering Solutions Catastrophes, whether natural or man-made, can damage structures, disrupt process flows and supply chains, devastate a workforce, and financially cripple a company

More information

Catastrophe Risk Modeling and Application- Risk Assessment for Taiwan Residential Earthquake Insurance Pool

Catastrophe Risk Modeling and Application- Risk Assessment for Taiwan Residential Earthquake Insurance Pool 5.00% 4.50% 4.00% 3.50% 3.00% 2.50% 2.00% 1.50% 1.00% 0.50% 0.00% 0 100 200 300 400 500 600 700 800 900 1000 Return Period (yr) OEP20050930 Catastrophe Risk Modeling and Application Risk Assessment for

More information

Modeling the Solvency Impact of TRIA on the Workers Compensation Insurance Industry

Modeling the Solvency Impact of TRIA on the Workers Compensation Insurance Industry Modeling the Solvency Impact of TRIA on the Workers Compensation Insurance Industry Harry Shuford, Ph.D. and Jonathan Evans, FCAS, MAAA Abstract The enterprise in a rating bureau risk model is the insurance

More information

Empirical Issues in Crop Reinsurance Decisions. Prepared as a Selected Paper for the AAEA Annual Meetings

Empirical Issues in Crop Reinsurance Decisions. Prepared as a Selected Paper for the AAEA Annual Meetings Empirical Issues in Crop Reinsurance Decisions Prepared as a Selected Paper for the AAEA Annual Meetings by Govindaray Nayak Agricorp Ltd. Guelph, Ontario Canada and Calum Turvey Department of Agricultural

More information

15285 AccessIntroBookEngCover 4/3/06 12:34 PM Page 1 ACCESS A NEW LEVEL OF PORTFOLIO MANAGEMENT

15285 AccessIntroBookEngCover 4/3/06 12:34 PM Page 1 ACCESS A NEW LEVEL OF PORTFOLIO MANAGEMENT 15285 AccessIntroBookEngCover 4/3/06 12:34 PM Page 1 ACCESS A NEW LEVEL OF PORTFOLIO MANAGEMENT 15285 AccessIntroBookEngCover 4/3/06 12:34 PM Page 2 15285 AccessIntroBookEngCover 4/3/06 12:34 PM Page 3

More information

BERMUDA INSURANCE (GROUP SUPERVISION) RULES 2011 BR 76 / 2011

BERMUDA INSURANCE (GROUP SUPERVISION) RULES 2011 BR 76 / 2011 QUO FA T A F U E R N T BERMUDA INSURANCE (GROUP SUPERVISION) RULES 2011 BR 76 / 2011 TABLE OF CONTENTS 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 Citation and commencement PART 1 GROUP RESPONSIBILITIES

More information

CHAPTER 5: ANSWERS TO CONCEPTS IN REVIEW

CHAPTER 5: ANSWERS TO CONCEPTS IN REVIEW CHAPTER 5: ANSWERS TO CONCEPTS IN REVIEW 5.1 A portfolio is simply a collection of investment vehicles assembled to meet a common investment goal. An efficient portfolio is a portfolio offering the highest

More information

STRESS TESTING GUIDELINE

STRESS TESTING GUIDELINE c DRAFT STRESS TESTING GUIDELINE November 2011 TABLE OF CONTENTS Preamble... 2 Introduction... 3 Coming into effect and updating... 6 1. Stress testing... 7 A. Concept... 7 B. Approaches underlying stress

More information

Nat Cat reinsurance trends in CEE. Thierry S Pelgrin, Head of Continental Europe, Sompo Canopius Re, Zurich

Nat Cat reinsurance trends in CEE. Thierry S Pelgrin, Head of Continental Europe, Sompo Canopius Re, Zurich Nat Cat reinsurance trends in CEE Thierry S Pelgrin, Head of Continental Europe, Sompo Canopius Re, Zurich Overview Introduction to Sompo Canopius Re Nat Cat perils in CEE Our view on main Nat Cat reinsurance

More information

CATASTROPHE RISK MODELLING AND INSURANCE PENETRATION IN DEVELOPING COUNTRIES

CATASTROPHE RISK MODELLING AND INSURANCE PENETRATION IN DEVELOPING COUNTRIES CATASTROPHE RISK MODELLING AND INSURANCE PENETRATION IN DEVELOPING COUNTRIES M.R. Zolfaghari 1 1 Assistant Professor, Civil Engineering Department, KNT University, Tehran, Iran mzolfaghari@kntu.ac.ir ABSTRACT:

More information

Solvency II: Best Practice in Loss Reserving in Property and Casualty Insurance the foundation is critical

Solvency II: Best Practice in Loss Reserving in Property and Casualty Insurance the foundation is critical Solvency II: Best Practice NFT in Loss Reserving 1/2007... Solvency II: Best Practice in Loss Reserving in Property and Casualty Insurance the foundation is critical by Heike Klappach Heike Klappach heike.klappach@towersperrin.com

More information

June 18, Bermuda: Reinsurance Market Capital in Focus

June 18, Bermuda: Reinsurance Market Capital in Focus June 18, 2015 Bermuda: Reinsurance Market Capital in Focus Bermuda is an island the size of Manhattan. As anyone who has ever tried to buy real estate in a big city like Manhattan knows, there is a wide

More information

Solvency Opinion Scenario Analysis

Solvency Opinion Scenario Analysis Financial Advisory Services Insights Solvency Opinion Scenario Analysis C. Ryan Stewart A scenario analysis is a common procedure within the cash flow test performed as part of a fraudulent transfer or

More information

Fundamentals of Catastrophe Modeling. CAS Ratemaking & Product Management Seminar Catastrophe Modeling Workshop March 15, 2010

Fundamentals of Catastrophe Modeling. CAS Ratemaking & Product Management Seminar Catastrophe Modeling Workshop March 15, 2010 Fundamentals of Catastrophe Modeling CAS Ratemaking & Product Management Seminar Catastrophe Modeling Workshop March 15, 2010 1 ANTITRUST NOTICE The Casualty Actuarial Society is committed to adhering

More information

Beazley Group plc Analysts Presentation RDS/Catastrophe Stress Testing

Beazley Group plc Analysts Presentation RDS/Catastrophe Stress Testing Beazley Group plc Analysts Presentation RDS/Catastrophe Stress Testing 4 July 2005 Content Introduction Natural Catastrophe Specialty Lines Offshore Energy Account Conclusion Looking Forward! Content Introduction

More information

Corporate Risk Appetite and Program Structuring White paper 3 of 3

Corporate Risk Appetite and Program Structuring White paper 3 of 3 The first paper in this series discussed the impact that loss volatility has on the risk finance decision making process, and the second paper explored the notion of loss dependence and the influence of

More information

Global Resilience Risk

Global Resilience Risk Global Resilience Risk An Insurers Perspective WEC Energy Summit 16 March 2016 Jamie Summons, Head of Weather Solutions, Asia Pacific Swiss Re Weather Market Capability Global presence, market leadership

More information

AIRCURRENTS: NEW TOOLS TO ACCOUNT FOR NON-MODELED SOURCES OF LOSS

AIRCURRENTS: NEW TOOLS TO ACCOUNT FOR NON-MODELED SOURCES OF LOSS JANUARY 2013 AIRCURRENTS: NEW TOOLS TO ACCOUNT FOR NON-MODELED SOURCES OF LOSS EDITOR S NOTE: In light of recent catastrophes, companies are re-examining their portfolios with an increased focus on the

More information

Documentation note. IV quarter 2008 Inconsistent measure of non-life insurance risk under QIS IV and III

Documentation note. IV quarter 2008 Inconsistent measure of non-life insurance risk under QIS IV and III Documentation note IV quarter 2008 Inconsistent measure of non-life insurance risk under QIS IV and III INDEX 1. Introduction... 3 2. Executive summary... 3 3. Description of the Calculation of SCR non-life

More information

Lloyd s Minimum Standards MS13 Modelling, Design and Implementation

Lloyd s Minimum Standards MS13 Modelling, Design and Implementation Lloyd s Minimum Standards MS13 Modelling, Design and Implementation January 2019 2 Contents MS13 Modelling, Design and Implementation 3 Minimum Standards and Requirements 3 Guidance 3 Definitions 3 Section

More information

The utilization and cost of reinsurance is a significant consideration in

The utilization and cost of reinsurance is a significant consideration in A American DECEMBER 2008 Academy of Actuaries The American Academy of Actuaries is a national organization formed in 1965 to bring together, in a single entity, actuaries of all specializations within

More information