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WC Cat Reinsurance

WC Cat Reinsurance. Seth Ruff, FCAS Assistant Vice President, Treaty Underwriting Swiss Re Underwriters Agency Inc. fun. Modeling. Agenda. Stuff we ask for. Issues. What we do with it. Here’s what we’d like to see. Exposure. Hazard Groups become less interesting

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WC Cat Reinsurance

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  1. WC Cat Reinsurance Seth Ruff, FCAS Assistant Vice President, Treaty Underwriting Swiss Re Underwriters Agency Inc.

  2. fun Modeling Agenda Stuff weaskfor Issues What we do with it

  3. Here’s what we’d like to see Exposure • Hazard Groups become less interesting • More concerned with concentrations • Drill down to individual account level Experience • Typical trend/chop/develop process = thing of the past • Multi-claimant occurrence detail = thing of the future

  4. Stochastic Modeling Fun Simulated Losses Contract Structure E[Profit] Capital Required ROC Economic Profit/(Loss)

  5. Building the Loss Distribution • Frequency of “Large” occurrences • Number of claimants per large occurrence • Severity distribution of each claimant • Non-modeled perils - the “Armageddon” factor

  6. Simulated Annual Loss Loss Dist - Chart Reinstated Limit Loss Free Relative Probability ...Twice Armageddon Partial Loss …Plus Partial 0 2 4 6 8 10 12 14 16 18 20 22 24 26 Loss ($m)

  7. Reinsurance Contract Structure • Retention and Limit • Maximum Any One Life (MAOL) • Reinstatements • Premium • Loss sensitive features

  8. Simulated Economic Profit Profit - Chart Win! Lose! Relative Probability Find new job. (20) (18) (16) (14) (12) (10) (8) (6) (4) (2) 0 2 4 Profit/(Loss) ($m)

  9. Drivers of Capital Requirements • Profit/(Loss) distribution • Correlation with portfolio • Accounting/regulatory/rating agency impact • The basis of coverage

  10. 50 50 50 50 Which do you prefer?

  11. Open Issues • Terrorism • “Carve-out” v. Full P&C Coverage • Standard terms and conditions • Capacity and Security

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