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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

WC Cat Reinsurance

Seth Ruff, FCAS

Assistant Vice President, Treaty Underwriting

Swiss Re Underwriters Agency Inc.


Agenda

fun

Modeling

Agenda

Stuff weaskfor

Issues

What we do with it


Here s what we d like to see
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


Stochastic modeling fun
Stochastic Modeling Fun

Simulated

Losses

Contract

Structure

E[Profit]

Capital Required

ROC

Economic

Profit/(Loss)


Building the loss distribution
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


Loss dist chart

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)


Reinsurance contract structure
Reinsurance Contract Structure

  • Retention and Limit

  • Maximum Any One Life (MAOL)

  • Reinstatements

  • Premium

  • Loss sensitive features


Profit chart

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)


Drivers of capital requirements
Drivers of Capital Requirements

  • Profit/(Loss) distribution

  • Correlation with portfolio

  • Accounting/regulatory/rating agency impact

  • The basis of coverage


Which do you prefer

50

50

50

50

Which do you prefer?


Open issues
Open Issues

  • Terrorism

  • “Carve-out” v. Full P&C Coverage

  • Standard terms and conditions

  • Capacity and Security


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