Reinsurance Loss Analysis#

Starting from engine v3.16 reinsurance loss estimates for traditional property contracts are available for event-based and scenario risk calculations.

The current implementation considers multiple layers of both proportional and non-proportional treaties.

Proportional treaties (Pro-Rata)

  • Quota Share

  • Surplus

  • Facultative

NOTE: proportional treaties may have a parameter “max_cession_event” limiting the total losses per event that can be ceded to the reinsurer. The excess of loss generated by events that exceed the maximum cession per event (overspill losses) is going back to the insurer.

Non-proportional treaties

  • Working excess of loss per risk, WXL/R (wxlr). The unit of loss under this treaty is the “risk”. The engine aggregates the losses per “risk” at the policy level, which can include single or multiple assets.

  • Catastrophic excess of loss per event, CatXL (catxl). The unit of loss under this treaty is the “event”.

  • When combined with proportional treaties, the non-proportional layers are applied over the net loss retention coming from the proportional layers; first the wxlr are estimated, and then the successive layers of CatXL are applied over the net loss retention

NOTE: The CatXL is applied over the net loss retention per event coming from the proportional layers and therefore it includes the overspill losses.

Reinsurance calculations provide, in addition to the ground up losses, the losses allocated to different treaties during a single event or during multiple events over a given time window. Outputs include average losses and aggregated loss curves at policy and portfolio level for the retention and cession under the different treaties.