Posts Tagged ‘PERILS’



October 9th, 2012

Comparing Solvency II Standard Scenarios for Windstorms with Catastrophe Model Outcomes – Updated Study: Part II

Posted at 1:00 AM ET

David Lightfoot, Head of GC Analytics® - International, Eddy Vanbeneden, Head of GC Analytics - Continental Europe and Markus Mueller, GC Analytics, Solvency II Continental Europe
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Benchmarking QIS5 Scenario Return Period against Vendor Models

Our analysis supports the fact that losses in the QIS5 windstorm scenarios are often within the range of the major vendor models. But how do return frequencies compare? The QIS5 standard scenarios are tailored to represent a 200 year return period in each territory. Looking at the QIS5 loss estimate on the modeled exceedance probability curves reveals the corresponding modeled return period. Plotting the implied vendor model return frequencies against the QIS5 scenarios’ 1-in-200 year level yields an interesting (albeit similar) spread, as shown in Table 1.

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October 8th, 2012

Comparing Solvency II Standard Scenarios for Windstorms with Catastrophe Model Outcomes – Updated Study: Part I

Posted at 1:00 AM ET

David Lightfoot, Head of GC Analytics® - International, Eddy Vanbeneden, Head of GC Analytics - Continental Europe and Markus Mueller, GC Analytics, Solvency II Continental Europe
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With the generalized use of catastrophe models to measure the natural catastrophe exposure of insurance portfolios, the outcomes of these models have more and more influence in the determination of reinsurance needs. With the introduction of the Solvency II regime, the decision on reinsurance purchase should also be an integral part of a company’s risk management process. Specifically, an important consideration is the impact of reinsurance contracts on the Solvency Capital Ratio, a key decision metric of the risk management process. This process is not always easy when the probable maximum losses (PMLs) derived by the cat models differ from the standard European scenarios under Solvency II for calculation of the Solvency Capital Requirement for cat risk (SCRCat).

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March 20th, 2012

Catastrophe Bonds: 2011 Review - Issuance Composition

Posted at 1:00 AM ET

Over the course of 2011, 14 sponsors brought 18 transactions to the 144A market. In terms of transaction count, this places 2011 equal to 2009 as the second most active year in the history of the market. The 2011 sponsor class also included three first-time sponsors and the inaugural securitization of California state workers compensation losses associated with California earthquake events.

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