Prepared for Prepared by - International Insurance Forum · 6/26/2017 · gbr_bb commercial gbp 20...

Prepared for

Prepared by • International Insurance Forum, Munich, 26 June 2017

• Eduard Held, PERILS AG

PERILS AG June 2017 Slide 2

“More Market Data, Please”

Agenda

► “More Data Please”

► PERILS

► Discussion

► Appendix


“More Data Please” (for natural catastrophes)

Better nat cat risk assessment

More liquidity/supply

Less surprises More stability

Higher efficiency Better economics


PERILS


PERILS - Data Aggregator & Reporting Agency

FOR THE INDUSTRY - BY THE INDUSTRY

PERILS Shareholders, each with equal share, include Allianz SE, AXA, Assicurazioni Generali, Groupama, Guy Carpenter, Insurance Australia Group, Munich Re, Partner Re, Swiss Re, and Zurich Insurance Group. PERILS’ purpose is to add transparency to the natural catastrophe risk landscape thereby increasing the liquidity and stability of the Nat Cat insurance market. For more info, please visit WWW.PERILS.ORG.

+


PERILS – Mission

1. Improve Cat risk assessment

► Real market data for model validation and model calibration

► Market TSI (IEDs), loss data and vulnerabilities

2. Facilitate industry-loss-based risk transfer

► Independent and specialized reporting agency required

vs.

Model Reality


8 Years of PERILS – 8 Years of Increasing Industry Support

► Since 8 years

► Market support > 65%

► By the Industry, for the Industry


PERILS Exposure Data 2017 - 4 Perils, 15 Countries

► Update released 1 April 2017

► Windstorm: Austria, Belgium, Denmark, France, Germany, Ireland, Luxembourg, Netherlands, Norway, Sweden, Switzerland, United Kingdom

► Flood: Italy, Turkey, United Kingdom

► Earthquake: Italy, Turkey

► ANP: Australia

► Per CRESTA Zones

► Per Property Line of Business

► Building/Content/BI

► Number of Risks


PERILS Exposure Data 2017: Example Germany

► Update released 1 April 2017

► Windstorm: Austria, Belgium, Denmark, France, Germany, Ireland, Luxembourg, Netherlands, Norway, Sweden, Switzerland, United Kingdom

► Flood: Italy, Turkey, United Kingdom

► Earthquake: Italy, Turkey

► ANP: Australia

► Per CRESTA Zones

► Per Property Line of Business

► Building/Content/BI

► Number of Risks


PERILS Loss Data: Example UK Flood Desmond 1/2

► Minimum of 4 loss reports

► Split Residential vs. Commercial

► Number of Losses

► MDRs

► Peak Gust values (3 sources)

► Geo-resolution CRESTA Zone

717 662 597 604

0

400

800

1st 2nd 3rd final

Flood “Desmond” (4 – 20 Dec 2015) GBP m

UK Floods "Desmond" - Aggregate Data National Currencies - 4th and final Report

CRESTA ID Occupancy Type Currency Number of Losses All LossJBA - % Flooded of

Built-Up Area

JBA - Avg Water Depth

in Built-Up Area [m]

Max Avg Gauge Height

above 5% Level [m]All MDR (%) Affected Risks (%) Avg Loss

GBR_BA COMMERCIAL GBP 0 0 n/a n/a n/a 0.000000% 0.000000% 0

GBR_BA RESIDENTIAL GBP 2 73,965 n/a n/a n/a 0.000246% 0.000892% 36,983

GBR_BB COMMERCIAL GBP 20 622,087 0.0038% 0.0002 0.8658 0.002587% 0.050281% 31,104

GBR_BB RESIDENTIAL GBP 40 853,613 0.0038% 0.0002 0.8658 0.002695% 0.013326% 21,340

GBR_BD COMMERCIAL GBP 20 353,534 n/a n/a 0.7705 0.001239% 0.039879% 17,677

GBR_BD RESIDENTIAL GBP 49 1,062,772 n/a n/a 0.7705 0.002906% 0.013885% 21,689


PERILS Loss Data: Example UK Flood Desmond 2/2


► Example EQ Italy, based on 70% + of the market

► Per 2-digit PC, split to commercial and residential

► Number of Risks

► Property sums insured: buildings, contents, business interruption

► Original insurance conditions: Loss limits, deductibles

Exposure Validation: Example EQ Italy

Aggregate Exposure Data - Earthquake Italy - in National Currency - Low-Resolution CRESTA Format

CRESTA ID CRESTA Description Property LOB Currency Number of Risks Buildings Value Contents Value BI Value LL Lower End LL Upper End LL Best Estimate

ITA_00 ITA_00 COMMERCIAL EUR 15,751 68,160,464,466 49,137,607,624 11,009,670,945 20.00% 70.00% 38.00%

ITA_00 ITA_00 RESIDENTIAL EUR 13,002 16,354,756,163 1,653,586,379 59,396,001 20.00% 70.00% 40.00%

ITA_01 ITA_01 COMMERCIAL EUR 1,448 982,244,375 1,541,560,436 131,688,992 20.00% 70.00% 38.00%

ITA_01 ITA_01 RESIDENTIAL EUR 1,767 563,111,427 81,714,440 3,274,031 20.00% 70.00% 40.00%

ITA_02 ITA_02 COMMERCIAL EUR 505 528,215,782 560,639,787 80,918,958 20.00% 70.00% 38.00%

ITA_02 ITA_02 RESIDENTIAL EUR 661 174,081,015 19,680,450 662,708 20.00% 70.00% 40.00%

ITA_03 ITA_03 COMMERCIAL EUR 1,570 4,354,617,238 9,197,907,512 2,664,124,723 20.00% 70.00% 38.00%

Total Sum Insured per Coverage Loss Limits in % of Average TSI


► PERILS makes available industry exposure and loss data, including event intensity measures

► PERILS data allow the validation and calibration of modelled data with real data:

1. Industry Exposure

2. Vulnerability functions

3. Event Losses

► Improve reliability of Cat models for Australia

Modelled Loss PERILS Loss

vs.

vs.

Model Reality

PERILS

1,700 1,500

1,300

750

Model A Model B Model C Model D

Loss Validation: Example Tropical Cyclone Australia “Debbie”

1,116

http://www.google.ch/url?sa=i&rct=j&q=&esrc=s&source=images&cd=&cad=rja&uact=8&ved=0ahUKEwiYtLOy8uvOAhXK8RQKHUBaBcIQjRwIBw&url=http://nathan.frey.net/adventures/aust_newzea.htm&bvm=bv.131286987,d.d24&psig=AFQjCNHwggK1xQxMGvKSxpzrHAJX60CV8w&ust=1472741050559644


Vulnerability Validation / Derivation

Loss TSI Damage Degree

Physical Intensity

70 / 1’000’000 = 0.007% of TSI 28 m/s

► Vulnerability of Insured Values

► Highly crucial component in any Cat model

► Over time risk modelling will benefit and will make risk assessment more robust and realistic

► Shows the value of combining loss with exposure data

Dam

age

De

gre

e

Physical Intensity


PERILS Use Case - Model Comparison

► Model comparison using a consistent market exposure benchmark

► Over time will benefit risk modelling and will make risk assessment more robust and realistic

► Example: PERILS EQ and PERILS TC Australia Exposure DB 2016 modelled with vendor models

PERILS EQ /TC Australia Exposure DB 2016 modelled with vendor models

- AIR: Gross occurrence losses with average properties enabled, without demand surge, Touchstone v5 - Corelogic: Gross losses, after insurance conditions; RQE 16.10.00 Build 231 - RMS: RiskLink 16.0; wind only, no post-loss amplification. CRESTA level analysis. Both models will be updated in 2018


USD 14.2bn

0

5,000

10,000

15,000

2010 2011 2012 2013 2014 2015 2016 2017

PERILS Facilitates Significant Additional Risk Capacity 1/2

PERILS-based limits issued (cumulative) total issued 1 Jan 2010 to 18 Jan 2017, in USD m

Private and ILS

144A ILS, ILW, Collateralized R/I, Risk Swaps


PERILS Facilitates Significant Additional Risk Capacity 2/2

USD 3.3bn

► Consistent source and methodology for IED (used for risk assessment) and trigger

► Since 2010 more than USD 14bn of PERILS - based limits have been placed

► PERILS expects that its expansions to Australia and Canada will facilitate additional industry-loss based capacity in this market


Trigger Value

Act

ual

Lo

ss

Structured Industry Loss

Industry Loss

Parametric / Modelled Loss

► Industry Loss weighted by country, state / province or CRESTA

► Simple and straightforward protection

► Easy modelling

► No disclosure of proprietary data

► Reduced basis risk

PERILS-based Risk Transfer – Reducing Basis Risk


Discussion


Appendix


Recent Investigated Events

Event Name Event Start

Date Peril Captured Markets Original Industry Loss Status

Debbie 28-Mar-17 Tropical Cyclone AUS AUD 1’116m Qualifying

Zeus 06-Mar-17 Extratropical

Cyclone FRA EUR 269m Qualifying

Udo-Volkmar (Ewan)

26-Feb-17 Extratropical

Cyclone - - Non-qualifying

Thomas (Doris) 23-Feb-17 Extratropical

Cyclone BEL, DEU, GBR,

IRL, NLD EUR 249m Qualifying

Sydney Hailstorm 17-Feb-17 Hailstorm - - Non-qualifying

Kurt-Leiv-Marcel 03-Feb-17 Extratropical

Cyclone - - Non-qualifying

EQ Central Italy 18-Jan-17 Earthquake - - Non-qualifying

Egon 12-Jan-17 Extratropical

Cyclone DEU, FRA EUR 234m Qualifying

EQ Series Central Italy

26-Oct-16 Earthquake ITA EUR 125m Qualifying

EQ Central Italy 24-Aug-16 Earthquake ITA EUR 66m Qualifying


Event Loss Market Share

TSI Market Share

► TSI and Loss market shares in both maps are with identical colour coding

► Some zones have clearly higher Loss market shares than TSI market shares

► Why? ► Inferior risks than market

average? ► Claims adjustment? ► Claims fraud?

► PERILS Market Data can be used to identify weak and strong spots in own portfolio

PERILS Data Application - Market Share Analysis


Tropical Cyclone “Debbie”, 28 Mar 2017

► First qualifying event for Australia

► First Loss Report released on 9 May 2017 (6 weeks after event)

► AUD 1’116m industry loss

► SE QLD, NE NSW

► Major river flooding next to wind damage

► Continued into NZL

► 2nd loss report on 28 June 2017

► Following loss reports in full resolution: 4 digit postcode, commercial/private lines

1,116 0

5001,0001,500

1st 2nd 3rd 4th

TC “Debbie” (28 Mar 2017) AUD m


Extra-Tropical Cyclone “Egon”, 12-13 Jan 2017

► Second Loss Report released on 12 Apr 2017 (3 months after event)

► EUR 234m industry loss

► Event period 12-13 Jan 2017

► FRA and DEU most affected

212 234 0

200400600

1st 2nd 3rd final

ETC “Egon” (12-13 Jan 2017) EUR m


► Loss Reports 1 & 2 released on 7 Dec and 26 Jan 2017

► 6 weeks and 3 months after event

► EUR 125m industry loss

► “Norcia” Earthquake

► EQ Series consisting of M5.4, M5.9 and M6.5 (!) earthquakes

► Similar epicentral area like August EQ but damaging shaking intensities extended over much wider area

EQ Series Central Italy 26-30 Oct 2016

31 125

0

100

200

1st 2nd 3rd final

EQ Series Italy (26-30 Oct 2016) EUR m


PERILS Use Case – “Model” Building

► PERILS DB provides all necessary data to build own (deterministic) Cat model

► Physical Event Intensity

► Mean Damage Ratios (% TSI) from past events

► PERILS Industry TSI DB

► Scenario Loss Model

Zone Gust* % TSI* TSI* Loss**

FRA-01 31 m/s 0.05% 10’000 5

FRA-02 35 m/s 0.10% 20’000 20

etc. etc. etc. etc. etc.

Total FRA - - 1’500’000 300

*from PERILS DB ** calculated


Live Loss Forecasts - Wind-Jeannie (WJ)

► Wind-Jeannie is a website providing real-time industry loss forecasts for European Windstorms

► Updates every 12 hours

► Functionality similar to weather forecast websites

► WJ can assist insurance companies to prepare for large windstorm events ► loss adjuster and call centers

► internal communication

► short-term protection

► Exclusive on-line service for PERILS data providers and clients

► www.wind-jeannie.org

Runs on PC, laptops, tablets, smart phones


Live Loss Forecasts - Wind-Jeannie

► download in Excel format

► loss footprint for each forecast

► wind footprint for each forecast


How Good is WJ? Selected Large Events

0 200 400 600 800 1,000 1,200

Christian

Xaver

Dirk

Tini

Elon-Felix

Niklas

Nils

Wind-Jeannie Forecasts (green) vs. Actual (orange) – EUR M

* Average last two loss forecasts closest in time to actual event.


Risk Transfer – Consistency between IED and Trigger Cat Bonds where PERILS acts as Reporting Agency

► All shown ILS transactions use PERILS IED for risk assessment and PERILS event loss for trigger

► Consistent source and methodology for IED (used for risk assessment) and trigger

► Majority of the bonds used for retrocession purpose

Protection Buyer ILS Name Limit USD m Weighting

Swiss Re Successor X 120 country

Swiss Re Vega Capital 107 country

AXA Calypso Capital I 395 CRESTA/LoB

Groupama Green Fields 99 CRESTA/LoB

Munich Re Queens Street II 100 country

Argo Re Loma Capital 100 none

Munich Re Queens Street III 150 country

AXA Calypso Capital II 248 CRESTA/LoB

Munich Re Queen Street IV 100 country

Swiss Re Successor X 50 country

Amlin Tramline 150 country

Scor Atlas VI 67 CRESTA

Swiss Re Successor X 23 CRESTA/LoB

Munich Re Queen Street V 75 CRESTA/LoB

Swiss Re Mythen Ltd. 250 country

Munich Re Queens Street VI 100 CRESTA/LoB

Hannover Re Eurus III 131 CRESTA

Munich Re Queens Street VII 75 CRESTA/LoB

Scor Atlas VII 168 CRESTA

Groupama Green Fields II 370 CRESTA/LoB

AXA Calypso II - A 250 CRESTA/LoB

AXA Calypso II - B 223 CRESTA/LoB

Catlin Galileo Re 300 country

Amlin Tramline II 200 country

XL Catlin Galileo Re II 300 country

Munich Re Queen Street XII 190 CRESTA/LoB

XL Catlin Galilei Re 2016-1 750 CRESTA/LoB

XL Catlin Galilei Re 2017-1 525 CRESTA/LoB


PERILS AG

Marktgasse 3

8001 Zurich

Switzerland

[email protected]

PERILS.ORG

T: +41 44 256 8100

PERILS AG Contact Details

Prepared for Prepared by - International Insurance Forum · 6/26/2017 · gbr_bb commercial gbp 20...

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