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Grace M. Osborne Director. Interactive rating process Overview of catastrophe models for - Primary insurance companies - Professional catastrophe reinsurers Standard & Poor’s. Standard & Poor’s Approach To Evaluating Catastrophe Exposure Risk.
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Interactive rating process Overview of catastrophe models for - Primary insurance companies - Professional catastrophe reinsurers Standard & Poor’s Standard & Poor’s Approach To Evaluating Catastrophe Exposure Risk
Primary Model Qualitative Approach Quantitative Measures Key Catastrophe Ratio Bench Marks Standard & Poor’s Catastrophe Model forPrimary Insurance Companies
Proprietary Catastrophe Model Primary Companies • Utilize: - Industry & Company-Specific Data - Historical Industry Data (Frequency & Severity Factors) • Company-Specific Data - Customized To Insurer - By Line - By State • Starting Point In Analyzing Catastrophe Risk Standard & Poor’s
Catastrophe Model Quantitative Measures Recovery Ratio (x) Net Expected Catastrophe Exposure 3 Year Average Pre-Tax Income _____________________________________________________ Exposure Ratio (%) Net Expected Catastrophe Exposure Statutory Surplus _____________________________________________________ Liquidity Ratio (%) Net Expected Catastrophe Exposure Liquid Assets Standard & Poor’s
Key Catastrophe Ratio Benchmarks BB Or Rating Level/ Ratio AAA AA A BBB Lower Cat Recover Ratio (x) 0<x<1.0 0.5<x<2.5 2.0<x<5.0 4<x<6 5<x & x<0 Cat Exposure Ratio 0<x<15% 10%<x<35% 15%<x<40% 30%<x<60% 55%<x Cat Liquidity Ratio 0<x<10% 7.5%<x<25% 20% <x<50% 40%<x<100% 95% <x Standard & Poor’s
Review Catastrophe & Property Reinsurance Programs Review Other Sources Of Liquidity Evaluate Access To Capital Markets Assess Parent/Subsidiary Relationship Evaluate Impact Of Various State Initiatives Standard & Poor’s Qualitative ApproachCatastrophe Methodology