Effective Loss Reserve Governance by Robert Giambo

1. Loss Reserve Governance Presented by: Robert Giambo Managing Director Swiss Reinsurance America Corp. CAS Spring 2008 Meeting

2. Background • Swiss Re Group is global reinsurer writing both P&C and L&H reinsurance. • P&C gross loss reserves are: • approximately $72B groupwide • $31B in the Americas • SR Group has the preponderance of its loss reserves in approximately 18 legal entities worldwide.

3. Reserving at SR Group • Loss Reserving is done within Corporate Actuarial • The reserving function reports to the Chief Risk Officer • maintaining some independence from Marketing, Finance and Underwriting • Reserving units are split • P&C vs. L&H • Regions – Americas, Europe, Asia • Each regional unit is responsible for the local legal entities. • P&C Corporate Actuarial staffing levels: • 62 worldwide • 27 in Americas, 16 members of the CAS

4. Reserving at SR Group • Reserve reviews are generally performed quarterly. May be a combination of: • top-down review for some segments • Chain Ladder / BF indications, etc. • Actual vs. Expected for others • Indications are done on a legal entity basis excluding inter-company retro’s (IGR’s); that is • all assumed from external ceding companies less • all ceded to external retrocessionaires • Booked reserves are determined at regional level by regional management in the form of a Regional Reserve Committee (RRC).

5. Regional Reserve Committee • Meets quarterly. • Responsible for setting appropriate GAAP loss reserves and related items • Voting Members include: • Group Actuary • Regional CFO • Senior members of underwriting and client markets • Other attendees include: • regional corporate actuary (responsible for preparing indications) plus other actuarial staff • regional head of claims • other invited guests

6. Regional Reserve Committee • RRC has a written charter defining roles and responsibilities. • Meetings have agendas and minutes. • Regional actuary provides best estimate and recommendation. • Any management selection different from recommendation would be minuted with justification for management action.

7. Regional Reserve Committee • Committee is provided with indications by reserve segment: • with quarter and year-to-date development. • explanation of all significant developments. • Summary exhibits provided to show: • trends by summary LoB • underwriting year • indications vs. initial pricing estimates

8. Legal Entity Reserves • The RRC is not sufficient by itself to fulfill the statutory obligations of the legal entities. • Separate meetings are held with legal entity boards. • RRC minutes and agendas are available to legal entitiy board members. • Usually 3 or 4 RRC members are on the legal entity boards.

9. Organizational Structure

10. Role of Group P&C Actuarial • Group P&C Actuarial • calculates a range of reasonable reserves for each major legal entity (assumed only). • provides a quarterly report to Executive Committee and Group Audit Committee. • because it is collecting data on a consistent basis from the underlying legal entities, it can be a focal point in responding at a group level to: • shareholders • rating agencies • stock analysts • Group indications are shared backed to the RRC’s.

11. Other Controls • Quarterly meeting with Claims to discuss large cases. • Review of quarterly indications with underwriting and marketing. • Quarterly meeting with Claims to discuss nat cat losses. • Pricing / Reserving Linkage: • Corporate Actuarial involvement in pricing parameters. • Corporate Actuarial involvement in pricing/underwriting audits. • Dialog with pricing actuaries on current underwriting year pricing loss ratio. • SOX