Captive actuarial services: feasibility studies and ongoing support

Actuarial support from formation onwards

Perrenial works with captive insurers, mutuals and risk retention groups (RRGs), and with the captive managers, brokers and group risk managers who advise them. Actuaries support captives across reserving, technical pricing, risk financing and capital requirements. Our work covers both sides of a captive's life: deciding whether and how to form one, and then managing the risk it retains.

Perrenial is a London general insurance (non-life) actuarial consultancy. Our captive work is led by Asad Khalil FIA, Managing Director and founder, who has significant experience across technical pricing, reserving and risk financing.

Captive feasibility studies

When a corporate is considering setting up a captive, the actuary works with the captive manager and the group insurance or risk manager to understand the risk appetite of the proposed captive. We then use that information, together with historical claims, to propose a number of (re)insurance programme structures that would allow the captive to self-insure a significant amount of risk.

The aim of the study is to optimise the (re)insurance programme design of the proposed captive by minimising its Total Cost of Risk (TCoR). The rewards of a captive can be significant, and so are the risks. A feasibility study gives the decision-makers a clear view of both.

Why data matters

The models behind a feasibility study depend heavily on the data provided. The core requirements are:

Individual claims data, such as date of loss, reported date, paid, outstanding and incurred amounts, fees and deductibles, so that frequency and severity distributions can be fitted

Triangulations of incurred claim amounts and claim numbers, so that claims can be projected to ultimate with allowance for IBNR

Exposure data, such as wage roll or headcount for Employers' Liability, so that historical losses can be trended to today's risk profile

Current (re)insurance programme and premiums, so that current and alternative structures can be compared

Where data is aggregated or incomplete, benchmark assumptions have to fill the gap, and that can push the projected captive premium too high or too low. Asad explains this in more detail in our article Data is key for captive formations.

Supporting established captives

Captives, mutuals and RRGs may need to show stakeholders that the premium spent on the current (re)insurance structure is justified. Their risk appetite may also have grown over the years, and they may now want to explore the effect of higher retentions. A (re)insurance programme design optimisation study can address both questions.

For ongoing reporting, our reserving service helps captives understand the funding needed for retained claims. We also provide Loss Reserving Specialist Opinions (LRSOs) and Statements of Actuarial Opinion (SAOs) for captive insurers in a number of domiciles.

Who we work with

Corporates and public sector entities considering a captive

Captive insurers, mutuals and RRGs

Captive managers, insurance brokers and group risk managers

Considering a captive, or reviewing an existing one?

Tell us about your current programme and the data you hold.

Contact Perrenial