1 / 9

Random Thoughts On Loss Portfolio Transfers

Random Thoughts On Loss Portfolio Transfers. Bryan Ware CAS Fall Meeting - 2001. Loss Portfolio Transfers. Reasons for Buying Some Contract Features Modeling Considerations. Loss Portfolio Transfers. Reasons for Buying Exiting a Line or Segment of Business

mariot
Télécharger la présentation

Random Thoughts On Loss Portfolio Transfers

An Image/Link below is provided (as is) to download presentation Download Policy: Content on the Website is provided to you AS IS for your information and personal use and may not be sold / licensed / shared on other websites without getting consent from its author. Content is provided to you AS IS for your information and personal use only. Download presentation by click this link. While downloading, if for some reason you are not able to download a presentation, the publisher may have deleted the file from their server. During download, if you can't get a presentation, the file might be deleted by the publisher.

E N D

Presentation Transcript

  1. Random ThoughtsOnLoss Portfolio Transfers Bryan Ware CAS Fall Meeting - 2001

  2. Loss Portfolio Transfers • Reasons for Buying • Some Contract Features • Modeling Considerations

  3. Loss Portfolio Transfers • Reasons for Buying • Exiting a Line or Segment of Business • Protecting the Runoff of the Book • Risk Transfer & Reserve Adequacy

  4. Loss Portfolio Transfers • Reasons for Buying • Realize Discount • Use of Offshore Paper • Fund other Activities (segregated surplus generation) • Facilitate Merger or Acquisition

  5. Loss Portfolio Transfers • Contract Features • Full Loss Portfolio Transfer or Adverse Development Cover • Maximum Economic Loss • Contractually Agreed Net Present Value Amount of Maximum Loss • Calculate by Discounting Actual Cash Flows

  6. Loss Portfolio Transfers • Contract Features • Commutation • Mandatory vs. Optional • Maintenance Fees • Start after pre-determined number of years • Hard to determine needed amount • Encourages Commutation

  7. Loss Portfolio Transfers • Contract Features • Use of Sublimits • Security • Funds Transferred or Funds Withheld • Letter of Credit or Trust

  8. Loss Portfolio Transfers • Modeling Considerations • Aggregate Distribution • For Per-Occurrence Excess coverage, use Fast Fourier Transform with variety of curves • For Ground-up, use Lognormal • Reasonability checks – is this the right curve

  9. Loss Portfolio Transfers • Modeling Considerations • Expenses • High Up-front Cost • Varies with Outcome • Not Proportionally

More Related