The information contained in this document is strictly proprietary and confidential. © Benfield 2007 Caribbean Catastrophe Risk Insurance Fund A template for public/private partnership? David Simmons – Benfield ReMetrics IDRC : Davos 28 th August 2008
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The information contained in this document is strictly proprietary and confidential. © Benfield 2007
Caribbean Catastrophe Risk Insurance Fund
A template for public/private partnership?
David Simmons – Benfield ReMetrics
IDRC : Davos 28th August 2008
The information contained in this document is strictly proprietary and confidential. © Benfield 2008
CCRIF – what is it?
The information contained in this document is strictly proprietary and confidential. © Benfield 2008
CCRIF - Why and How
The information contained in this document is strictly proprietary and confidential. © Benfield 2008
CCRIF - the process
The information contained in this document is strictly proprietary and confidential. © Benfield 2008
CCRIF- Parametric Indices
The information contained in this document is strictly proprietary and confidential. © Benfield 2008
Parametric Index Example
Earthquake parameters from NEIC
Calculate the spectral acceleration and index value
Earthquake calculation locations & index parameters given in the policy
COUNTRY α βCaymanIslands 675,676 1.25
LOCN_ID LAT LON WEIGHTCYM-001 19.297005 -81.377695 0.603136CYM-002 19.277016 -81.274823 0.361424CYM-003 19.669272 -80.072703 0.003220CYM-004 19.689300 -79.879100 0.032220
Event DATE MAG (M) DEPTH_KM (D) LAT LON14/12/2004 6.8 10 18.96 -81.41
Where ‘R’ is the hypocentral distance
EQ Location R SASA calculated using equation Index Value
CYM-001 37.67 0.150601 1 27,469.76 CYM-002 38.05 0.150601 1 16,461.02 CYM-003 161.15 0.036109 3 0.44 CYM-004 180.14 0.031092 3 0
Total 43,931.22
The information contained in this document is strictly proprietary and confidential. © Benfield 2008
Parametric Index Example
Formula for calculating the spectral acceleration
Formula for calculating the Earthquake Index Formula
The information contained in this document is strictly proprietary and confidential. © Benfield 2008
The information contained in this document is strictly proprietary and confidential. © Benfield 2008
The information contained in this document is strictly proprietary and confidential. © Benfield 2008
The information contained in this document is strictly proprietary and confidential. © Benfield 2008
Coverage
11
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Expected Loss Experience
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Features of 2007 reinsurance programme
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Broking Argument
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2008 Renewal
15
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Correlation of >1 in 25 island event to >$1bn US events
Source: EQECAT
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Wind correlations within Caribbean – annual agg losses
All good – but true? Jamaica, Cayman and Haiti
All good – but true? Jamaica, Cayman and Haiti
17
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And the downside is...
18
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Improvements for 2009
19
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CCRIF – a repeatable success?
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The secrets of success
21
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